Analisis Kinerja Saham Syariah dengan Metode Indeks Sharpe dan Indeks Treynor di Bursa Efek Indonesia Tahun 2020–2024 Sharia Stock Performance Analysis with the Sharpe Index and Treynor Index Methods on the Indonesia Stock Exchange in 2020–2024
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Page Numbers:
4102-4127
Digital Object Identifier:
10.58578/arzusin.v6i4.10680
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Authors:
Paizah Rahmayeni1, Maulana Yusuf2, M. Maulana Hamzah3 
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Authors retain copyright and grant the journal right of first publication.
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Abstract
The performance of Islamic stocks in the Jakarta Islamic Index needs to be evaluated comprehensively because movements in returns and risk during the 2020–2024 period showed dynamics that were not always stable. This study aims to analyze the performance of Islamic stocks on the Indonesia Stock Exchange using the Sharpe Index and the Treynor Index. This study uses a descriptive quantitative approach with a risk-based investment performance evaluation design. The research sample consisted of 11 companies listed in the Jakarta Islamic Index and was selected through purposive sampling based on data completeness during the observation period, resulting in 55 observational data. Data were collected through documentation from the Indonesia Stock Exchange, Yahoo Finance, company official websites, and other supporting sources. Data analysis was conducted by calculating stock returns, the risk-free rate of return, standard deviation, stock beta, the Sharpe Index, and the Treynor Index. The results show that the performance of Islamic stocks varied during the observation period. ADRO and PTBA showed relatively better performance based on return efficiency relative to risk, whereas KLBF, WIKA, and PGAS showed inefficiency in several periods. The conclusion of this study affirms that risk-based measurement of Islamic stock performance is important for assessing investment effectiveness more objectively. These findings contribute to the development of Islamic capital market literature and provide practical implications for investors in selecting stocks based on risk and return efficiency.
Keywords: Islamic Stocks; Sharpe Index; Treynor Index; Jakarta Islamic Index; Investment Risk
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