Analisis Kinerja Saham Syariah Dengan Metode Indeks Sharpe Dan Indeks Treynor Di Bursa Efek Indonesia Tahun 2020–2024

Abstract

This study aims to evaluate the performance of Islamic stocks on the Indonesia Stock Exchange during the 2020–2024 period using two assessment approaches: the Sharpe Index and the Treynor Index. The Sharpe Index measures the efficiency of total risk versus return, while the Treynor Index assesses the return per unit of systematic risk. This study employed descriptive quantitative research. The population comprised all companies listed on the Jakarta Islamic Index (JII), with a sample of 14 companies selected using purposive sampling based on data availability over the four years of the study. The analysis revealed that the performance of Islamic stocks varied significantly. Stocks such as ADRO and PTBA consistently performed well, with positive Sharpe and Treynor values, indicating efficiency in generating returns relative to the risks involved. Conversely, stocks such as KLBF, WIKA, and PGAS recorded extremely negative values on both indices, indicating inefficiency and high risk without adequate returns. Furthermore, stocks such as TLKM and JPFA exhibited fluctuating performance, reflecting high sensitivity to market dynamics. These findings underscore the importance of using the Sharpe and Treynor indicators as a consideration tool in selecting Islamic stocks, enabling investors to make more rational decisions based on risk-return efficiency.