Investment in essence is the placement of funds at this time with the hope to make a profit in the future. Investment always associated with return and risk. Investors are willing to accept greater risks but should be compensated by the opportunity to get a return which is also great. This study aims to analyze the macro and micro variables, they are inflation rate, BI rate, exchange rate and debt-to-equity ratio of the investment risk by return on equity (ROE). Population in this study are all members of the shares belonging to the Jakarta Islamic Index (JII), the sample used is 9 companies using purposive sampling techniques. The analysis tools are path analysis. The results showed no significant effect on the inflation rate to return on equity (ROE), the inflation rate significantly to investment risk. BI rate significant on return on equity (ROE), BI rate significant investment risk. Exchange rate significant on return on equity (ROE), exchange rate significant risk investment. Debt to equity ratio (DER) a significant effect on return on equity (ROE), debt to equity ratio (DER) are not significant to investment risk. Return on equity (ROE) is not significant to investment risk.