Treynor Ratio to Measure Islamic Stock Performance in Indonesia

  • Mohammad Farhan Qudratullah UIN Sunan Kalijaga
Keywords: Islamic Finance, Islamic Performance Stock, Risk Free Return, Treynor Ratio

Abstract

Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua.

[Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]

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References

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Published
2019-04-30
Section
Articles