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Al-Iqtishad: Vol. VII No. 1, Januari 2015 127

MEASUREMENT OF SHARIAH STOCK PERFORMANCE 
USING RISK ADJUSTED PERFORMANCE

Zuhairan Y Yunan & Mia Rahmasari1

Abstrak. Measurement of Shariah Stock Performance Using Risk Adjusted 
Performance. The aim of this research is to analyze the shariah stock performance 
using risk adjusted performance method. There are three parameters to measure the 
stock performance i.e. Sharpe, Treynor, and Jensen. This performance’s measurements 
calculate the return and risk factor from shariah stocks. The data that used on this 
research is using the data of stocks at Jakarta Islamic Index. Sampling method that 
used on this paper is purposive sampling. This research is using ten companies as 
a sample. The result shows that from three parameters, the stock that have a best 
performance are AALI, ANTM, ASII, CPIN, INDF, KLBF, LSIP, and UNTR.

Keywords: Risk Adjusted Performance, Stock Performance, Shariah Stock

Abstrak. Pengukuran Kinerja Saham Syariah Menggunakan Risk Adjusted 
Performance.. Tulisan ini bertujuan memberikan gambaran mengenai kinerja 
saham-saham syariah di Indonesia dengan menggunakan metode Risk Adjusted 
Performance. Terdapat tiga parameter yang digunakan untuk mengukur kinerja 
saham yaitu: Sharpe, Treynor, dan Jensen. Metode pengukuran kinerja ini 
memperhitungkan faktor tingkat pengembalian (return) dan tingkat resiko dari 
saham-saham syariah. Data yang digunakan yaitu saham-saham yang terdaftar 
di Jakarta Islamic Index periode Januari 2008 – Desember 2012. Penarikan 
sampel dilakukan dengan metode purposive sampling dari populasi sehingga 
diperoleh sampel sebanyak 10 perusahaan. Berdasarkan ketiga parameter tersebut 
diperoleh saham dengan peringkat kinerja terbaik yaitu AALI, ANTM, ASII, 
CPIN, INDF, KLBF, LSIP, dan UNTR.

Kata Kunci: Risk Adjusted Performance, Kinerja Saham, Saham Syariah

First draft: October, 4th 2014, Revision: December, 5th 2014, Accepted: December, 20th  
2014

1  Syarif Hidayatullah State Islamic University Syarif Hidayatullah Jakarta, Jl. Ir. H. Juanda 
No. 95, Ciputat, South Tangerang, Banten.

University of Prof Dr. Hamka (Uhamka), Jl. Limau, Kebayoran Baru, South Jakarta
Email: zuhairan@uinjkt.ac.id, miarahmasari2@gmail.com



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Introduction

Islam is a way of life that is balanced and integrated, designed to deliver 
human happiness through enforcement of harmony between the needs of human 
moral and material, and the actualization of socio-economic justice and brotherhood 
in society. The call for justice-oriented welfare and the balance is repeated five times 
each day. The Muslims have embarked welcomed this call and there is a revival in 
the Islamic world. This revival is also reflected in the intellectual field (Chapra, 
1996). The Islamic economic system teaches us to balance the life of the world and 
the hereafter. Islam also teaches that we balance between personal interests, other 
people, society, and the universe. Islam forbids speculation (gharar), uncertainty 
(juhala), riba (interest), and all forms of cheating, fraud and various actions that 
harm others. As an alternative to economic muamalah, Islam teaches the concept of 
sharing (Nafik, 2009).

One model of economic development in the era of globalization is the 
development of capital markets in the country. Capital markets as an alternative 
funding for the development of the business world has a strategic role in the 
implementation of national development and also serves as one of the investment 
advice to investors who have excess funds. The investor is investing excess funds at 
their disposal, parties who have excess funds in anticipation of receiving compensation 
from the fund allocation.

One of the Islamic financial instruments that are growing is the Islamic 
financial market. The development of Islamic financial market is very rapidly in the 
world, both money markets and capital markets, especially in countries where the 
majority Muslim population. It is characterized by the establishment of the Islamic 
Financial Market in Kuala Lumpur which was pioneered by Islamic countries 
(Hamid, 2009). In the capital market-based Indonesian Islam is Jakarta Islamic 
Index, which was launched in cooperation with PT. Jakarta Stock Exchange (JSX) 
in cooperation with PT. Danareksa Investment Management (DIM) which took 
place in 2000. The stock exchange based on Islamic values   also exist in countries 
that apply the ideology of capitalism in the economic development of the world, 
namely on Wall Street, the Dow Jones. Wall Street, the Dow Jones in 1999 precisely 
in February has launched Dow Jones Islamic Market Index (DJIMI) which is 
welcomed by many parties that were hit by the crisis of confidence in the capital 
markets of conventional (Mohammed, 2007).

The existence of capital markets helped build the national economy. Capital 
market became one of the most important factors, have proven many industries and 
companies that use this capital market institutions as a medium to absorb investment 



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and media to strengthen its financial position. Moreover, not many people are aware 
that the Sharia-compliant investment not only in the banking and insurance sector 
but also present in the Islamic capital market. The development of Islamic stocks 
will continue to rise in line with market demand. This suggests that the growth of 
the Islamic capital market that is prospective in the next year based on some of the 
advantages that can be obtained by issuers and investors. Issuers are included in 
the list of Islamic securities have a much broader market because they can sell the 
securities, both to Islamic institutions and non-islamic institution.

There are two factors that can affect stock investment. First, through the 
fundamental factors such as performance and the company’s internal conditions 
that tends to be controlled. Second, technical factors that reflected the conditions 
of macro-economic indicators such as inflation, interest rates of SBI, the money 
supply, exchange rate against the USD, the Gross Domestic Product (GDP), balance 
of payments such as exports and imports, foreign exchange reserves, stock index in 
the world market, security and political conditions, and etc.

Both of these factors can be used as a basis for investors to predict returns, risk 
or uncertainty, the amount, timing, and other factors associated with an investment 
in the capital market activities. Investment in the capital market is basically aimed 
at obtaining returns, but investors should consider the risks that must be endured. 
To overcome and minimize risk, investors need to diversify by creating a portfolio. 
In the formation of a portfolio, an investor needs to evaluate the performance of 
the portfolio. In investing, the investor would consider the best possible company 
to which capital will be invested. The selected firm course healthy company and 
produce a good performance. Market participants, especially investors should 
conduct performance measurements to decide on stock shares which it will invest. 
This indicates that in addition to the aspect of sharia, also should pay attention to 
the aspect of prudence.

This paper evaluates the performance of stocks in Jakarta Islamic Index 
began the period January 2008 to December 2012, namely, stock-listed since the 
launch of the index in 2000. Selection of the study period in 2008, because in that 
year the global financial crisis in the world, then in later years that the year 2009-
2012 as the period of recovery from the global crisis, as well as the development of 
the sharia stock performance in Indonesia until now. The variables used are stock 
performance. Risk is calculated with the beta, the rate of return calculated by the 
expected return. To calculate the performance of the stock used method of Risk 
Adjustment Performance.



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Literature Review

In concept, the investment is allocated activities or resources investment at this 
time, in the hope of benefit in the future (Noor, 2009). Therefore, understanding the 
investment can be formulated as a sacrifice of current consumption opportunities, 
to get a benefit in the future. With the postponement of consumption currently 
used for the investment is expected to benefit in the future. In Islam, investment 
activities can be categorized as economic activities including muamalah activity i.e. 
an activity that regulates the relationship between humans (Sutedi, 2011).

Capital market is a means to reconcile a party that has excess funds to the 
cash-strapped, which traded funds are a long-term funds (Manan, 2009). Trading 
in the stock market occur, both in the primary market and the secondary market. 
The primary market is the first sale of securities to the public (Fakhruddin, 2008). 
Through the primary market, or better known as the IPO (Initial Public Offering) 
the company issuing the securities actually receive the funds. The next trade occurs 
in the secondary market. The useful of secondary market for securities owners to sell 
securities, either for reasons to obtain liquidity or to gain or increase in the price 
of these securities (Darmawi, 2006). Islamic capital market is a market where the 
activities carried out in accordance with Islamic principles. Islamic capital market 
presents affirmation of religious law in capital market transactions in which the free 
market of activities that are prohibited and of elements such as usury, gambling, and 
gharar (Huda, 2009).

There are several requirements that must be met to be an efficient market, all 
the terms of the efficient market is in accordance with the Quran and the Hadith 
is as follows (Hamid, 2009). First, the stock price should be free to go down or up. 
Second, there is no monopoly in the market. Third, there should be a requirement 
that requires companies disclose information about themselves. Fourth, Cost to get 
information is to a minimum, and that information must be received by the investor 
at the same time. Fifth, the information is randomized and independently. Sixth, the 
investor can take a quick action for the new information.

As already explained, the efficient market must meet these requirements, 
otherwise it may be said that the market is not in accordance with the Islamic 
concept. There are fundamental differences between the conventional capital 
markets with the Islamic capital market. Islamic capital market does not know the 
sort of short selling activity -Buy trading or selling in a very short time to get the 
advantage of the difference between the selling and buying. Sharia shareholder is 
a shareholder for a relatively long period. Such a pattern of share ownership has a 
positive impact. The company will surely get shareholders that are more attentive 
and have a sense of belonging; this would be an effective control. The Company and 



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shareholders are partners who respect each other and remind that the two sides will 
meet communication in order to achieve the good of both parties. Characteristics 
of Islamic stock ownership only priority achievement gains or losses will be shared 
will be shared (profit and loss sharing), will not create sharp fluctuations in trading 
activities and speculative (Manan, 2009).

Stocks that entered into sharia index is the issuer whose business is not contrary 
to the shariah, such as gambling businesses, businesses conventional financial 
institutions, businesses that produce, distribute, and trade food and drink that 
are unlawful and destructive nature of moral and disadvantages. In stock selection 
process that goes Jakarta Islamic Index, Indonesia Stock Exchange do stages election 
also consider aspects of liquidity and financial condition of the issuer, ie selecting 
a collection shares with the main type of business already recorded more than 3 
months, pick stocks based on the annual financial statements or the middle of the 
year ended which has a maximum ratio of liabilities to assets by 90%, choose 60 
shares of stock composition above is based on an average order of the largest market 
capitalization over the past year, and chose the 30 stocks with the order based on the 
average level of liquidity regular trading value during one last year (Sutedi, 2011).

Jakarta Islamic Index is an index developed by the JSE in cooperation with 
Danareksa Investment Management to respond to the needs of information relating 
to Islamic investment. Jakarta Islamic Index filtered the listing of shares. The reference 
in the filtration is Islamic fatwa issued by the National Islamic Council (DSN). 
With this fatwa Jakarta Stock Exchange listed companies sort out its business units 
in accordance with sharia (Hamid, 2009).

The fundamental difference between the conventional index with the 
index of Islam is conventional indices include all stocks listed on the exchange by 
ignoring aspects of halal haram, which is important stocks listed issuer (listing) is 
in conformity with the applicable rules (legal) (Sutedi, 2011). As a result, it is not a 
problem if there are issuers who sell their shares on the stock moves in the business 
sector are contrary to Islamic principles.

Methods

This paper uses a quantitative approach with secondary data analysis methods. 
The analysis used in assessing the performance of stocks of sharia is the approach 
of Risk Adjusted Performance. The object of this research is to study the stocks 
listed in the Jakarta Islamic Index in the period 2008 to 2012. In this study the 
object of study is the Islamic stock performance. The Islamic stocks as measured its 
performance is consistently listed shares in Jakarta Islamic Index. The selection of 
stocks consistently listed in the Jakarta Islamic Index once every 6 months because 



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the stocks listed in the Jakarta Islamic Index is evaluated whether it was feasible with 
the assessment and specific criteria. 

Sampling technique in this study using purposive sampling, the sample 
selection based on certain criteria. The criteria that must be met, namely in this study 
that became the object of study is the Islamic stock performance. The Islamic stocks 
as measured its performance is consistently listed shares in Jakarta Islamic Index. 
The selection of stocks consistently listed in the Jakarta Islamic Index once every 6 
months because the stocks listed in the Jakarta Islamic Index is evaluated whether 
it was feasible with the assessment and specific criteria. Stocks that are consistently 
listed in the Jakarta Islamic Index during the period 2008-2012 can be seen in Table 
1. The data used in this paper is secondary data which data are: the shariah stock 
price, market price of Jakarta Islamic Index, Bank Indonesia Certificates Sharia as 
the risk free rate. As well, several other publications relating to the shares listed on 
the Jakarta Islamic Index as an object of study.

Table 1. Stocks that consistent listed in Jakarta Islamic Index, year 2008-2012

No. Code Name
1. AALI Astra Agro Lestari Tbk
2. ANTM Aneka Tambang (Persero) Tbk
3. ASII Astra Internasional Tbk
4. CPIN Charoen Pokphand Indonesia Tbk
5. INDF Indofood Sukses Makmur Tbk
6. KLBF Kalbe Farma Tbk
7. LSIP PP London Sumatera Tbk
8. SMGR Semen Gresik (Persero) Tbk
9. TLKM Telekomunikasi Indonesia Tbk

10. UNTR United Tractors Tbk
Source: Indonesian Stock Exchange, 2013

In this paper, the method used to measure the performance of the stock is 
to use the Risk Adjustment Performance measurement method. The process is as 
follows: first, develop and establish a sharia stocks included in the Jakarta Islamic 
Index during the period January 2008 - December 2012. Second, Determination 
of the study sample with the criteria is consistent stock included in the calculation 
of the Jakarta Islamic Index during the study period. Third, collect the individual 
stock’s price data during the study period. Fourth, collect the data of Bank Indonesia’s 
certificate as a monthly risk free asset. Fifth, calculate the monthly stock’s return. 
Sixth, calculate the deviation standard and stock’s beta. Seventh, measure the sharia 
stock’s performance using risk adjusted performance.



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Once these stages carried out, then compare the performance of the shares 
of sharia with Risk Adjusted Performance of the method which has the best 
performance to be able to invest. The calculation is performed by calculating the 
standard deviation, beta stocks using stock price data and SBIS. Stock performance 
analysis is using Risk Adjusted Performance with three parameters, namely the 
method of Sharpe, Treynor, and Jensen.

Treynor’s models is the size of the investment performance using the excess 
return of the beta, the risk can’t be eliminated through diversification. This model 
firstly proposed by Jack Treynor so called Treynor Index. This measurement assumes 
that the portfolio is well diversified, so that the risk in the portfolio is only systematic 
risk (Zubir, (2011). In evaluating the performance of mutual funds (stocks) Treynor 
using the average return of the past as the expected return and use the beta as a measure 
of risk. Beta indicates the size of the change in the return of a stock to changes in 
market return, Rm (Samson, 2006). The higher the Treynor’s ratio, the performance 
of the portfolio will be better. As a measure of investment risk is used beta because in 
general fluctuations in stock prices affected by market fluctuations. Average return 
is still regarded as the best measure for the return guidelines predictions, assuming 
all markets are efficient. Comparison between return and risk show investors that 
the higher the risk the higher the expected return. Treynor’s model can be write as 
follow (Samsul, 2006):

 R/Vt – (Rp – Rf)/βp

Where: 
R/Vt  = reward to volatility model Treynor;
Rp  = average return portofolio;
Rf  = risk free rate;

p  = portfolio beta
The second measurement model is a model of Sharpe. Basic measurement 

methods Sharpe is the risk premium, i.e. the difference between the average 
performances produced by the average stock with a risk-free investment performance. 
The indication is the higher the Sharpe ratio, the better the performance of a stock 
(Nature, 2010). The performance of mutual funds in the future can be predicted by 
using two measures, namely the expected rate of return (E) and predicted variability 
of risk is expressed as a deviation standard return, p (Samson, 2006).

Expected rate return is the average annual return. Predicted variability of risk 
is the standard deviation of annual return. The standard deviation shows the change 
value of return on average return. Excess return is the difference between the average 
rates of return minus the risk free rate. Sharpe’s model can be written as follows 



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(Samsul, 2006):  
R/Vs = (Rp – Rf)/ p

Where:
R/Vs  = reward to variability ratio model Sharpe
Rp  = average portofolio’s return
Rf  = risk free rate

p  = standard deviation of portofolio’s return 
Performance measurement model of Treynor and Sharpe models are 

complementary to each other because of different information. The non-diversified 
portfolio is going to get high rankings for Treynor, but rank lower for measurement 
Sharpe.

In the Jensen models, it is assumed that the investor will invest if it can 
generate a return that exceeds the expected return or the minimum rate of return 
(Samson, 2006). Jensen uses the beta factor in measuring the performance of a 
portfolio investment. Investment portfolio performance measurement using this 
model Jensen measure the real return to the expected return, assuming that it has a 
well-diversified portfolio (Hadi, 2013). The Jensen’s model can be written as follows 
(Samsul, 2006): 

E(Rj) = Rf + j[E(Rm) - Rf]
Where:
E(Rj)  = expected return of stock j
Rf  = risk free, interest rate

j  = beta of stock j
E(Rm)  = expected market return

Discussion

One of the indicators that can be used and easy to predict the performance of 
Islamic stocks is by looking at the development of the stock return itself. Here is a 
table of the average return of sharia stocks from 2008 through 2012

Table 2. Average Return of Shariah Stock (%)

Emiten 2008 2009 2010 2011 2012
AALI -5,25 7,48 1,47 -1,28 -0,49
ANTM -10,07 6,83 1,32 -2,97 -1,06
ASII -12,26 11,13 4,22 2,78 -7,50
CPIN -5,10 16,42 7,64 2,55 5,11



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INDF -7,41 12,64 3,03 -0,13 2,10
KLBF -8,09 11,55 8,56 0,62 -2,90
LSIP -7,19 9,83 1,72 -6,91 0,93
SMGR -1,77 5,43 2,08 2,15 3,00
TLKM -2,41 4,45 -1,77 -0,94 2,37
UNTR -3,12 11,70 3,79 1,26 -0,01

Source: Indonesian Stock Exchange   

Based on Table 2, the overall 2009 was a year with the best sharia stock returns 
where the return of the tenth Islamic stocks is positive. Fluctuations in stock returns 
occur each year, because affected by the performance of the company itself whether 
it is in a good or bad performance. Fluctuations in stock returns are influenced by 
internal factors and external factors such as economic conditions. Based on the data, 
all the stock has a negative return in 2008, but in 2009 the company could get up 
and improve its performance.

Islamic stocks return that have increased in every year are AALI, ANTM, 
CPIN, INDF, KLBF, LSIP, TLKM SMGR and this can be considered an investor to 
invest in the stock. There are some stocks that show a negative return almost every 
year, it shows that the company is not in a good performance and easily affected by 
negative sentiments. Although the stocks have the good performance this year, it is 
likely affected by negative sentiment in the coming years, therefore, as an investor 
must be responsive to address the outstanding issues so that no one take investment 
decisions.

The Sharpe’s model measurement is emphasis on total risk or standard 
deviation. The standard deviation indicates the size of the change in the return of 
a share of the average return of the stock. To predict the future performance of the 
period used the data from the previous period. Return on average the previous period 
is considered as a return prediction coming period and the standard deviation of the 
return of the previous period is considered as a risk prediction coming period. To 
analyze the performance of the model of Sharpe, the required data is average stock 
returns, standard deviations, and the risk free rate. The results of the calculation of 
the stock performance of the group shares the Jakarta Islamic Index Sharpe method 
for each period can be seen in Table 3.

Table 3. Stock’s Performance Using Sharpe’s Model

Emiten 2008 2009 2010 2011 2012
AALI -24,371 95,404 11,477 -24,074 -10,231

ANTM -76,310 43,266 8,272 -35,671 -10,805



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ASII -80,086 82,031 39,763 33,038 -29,313
CPIN -33,521 71,545 21,011 11,572 40,305
INDF -51,625 82,543 27,716 -7,818 41,080
KLBF -69,088 60,938 66,036 1,072 -12,964
LSIP -33,155 66,330 9,268 30,297 4,567

SMGR -21,493 52,689 22,963 14,650 34,595
TLKM -28,596 42,070 -36,918 -46,688 25,187
UNTR -16,331 87,303 54,975 7,643 -2,628

Source: Indonesia Stock Exchange  
     
Table 3 shows that the Sharpe index of the period 2008 to 2012 was in the 

range -80 086 to 95 404. If the value of the Sharpe’s performance index is positive 
and always increasing, it shows the better stock performance. Every year Sharpe 
index is always fluctuating. There are some sharia stocks from 2008 until 2012 that 
always show increased Sharpe performance index, namely: AALI, ANTM, CPIN, 
INDF, SMGR, and TLKM. The period 2008 to 2012, Sharpe index shows that 
almost evenly in each year there are still stocks is negative. This indicates that the 
stock portfolios of Jakarta Islamic Index, yet all of them have a positive Sharpe 
index. Table 3 shows the Islamic stocks from 2008 to 2012 which showed a decrease 
in the performance index Sharpe namely: ASII, KLBF, LSIP, and UNTR.

In evaluating the performance of the stock with a Treynor’s model is by using 
the average return the previous period as the expected return and beta as a measure 
of risk. Beta indicates the size of the change in the return of a stock to changing 
market return. As a investment risk benchmark is used beta, because in general 
fluctuations in stock prices affected by market fluctuations. A securities that have 
beta <1 said a smaller risk than market risk. Instead of a security that has a beta value 
of> 1 is said to have a larger systematic risk than market risk.

Return regarded as the best measure for prediction guidelines, assuming the 
market is efficient. Comparison between return and risk show investors, that the 
higher the risk the higher the expected return. To analyze the performance of the 
Treynor’s model required data such as average return, beta stocks, and the risk free 
rate. The results of the calculation of the stock performance of the 10 groups of 
stocks Jakarta Islamic Index using Treynor’s model can be seen in table 4.

Table 4. Stock’s Performance Using Treynor’s Model

Emiten 2008 2009 2010 2011 2012
AALI -331,522 2634,615 167,857 387,234 -221,053

ANTM -1125,773 480,620 54,861 1350 -171,951
ASII -1248,571 1296,296 249,324 -622,222 -159,553



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CPIN -550,926 3359,574 203,143 -502,500 -417,544
INDF -809,804 817,007 308,642 -478,571 277,778
KLBF -1103,704 -36400 730 -21,622 303,738
LSIP -464,740 713,178 95,968 -1182,540 -446,154

SMGR -396,970 372,093 178,161 -203,797 363,014
TLKM -479,412 670,175 -343,284 925 306,061
UNTR -243,558 1627,941 366,292 -200 -29,752

Source: Indonesia Stock Exchange

Table 4 shows that the Treynor index of the period 2008 to 2012 was in 
the range -1248.571 up to 3359.574. If the value of Treynor index is positive and 
increased, the stock performance will getting better. Table 4 shows that there is a 
stock from 2008 until 2012 always show increased Treynor’s performance index, 
namely: ASII, CPIN, INDF, KLBF, LSIP, SMGR, and TLKM. The period 2008 
to 2012, shows that there are some stocks still have the negative Treynor index in 
each year. This indicates that the stock portfolios formed Jakarta Islamic Index, the 
Treynor performance is not all be positive. The data in Table 4 shows that there 
is a stock from 2008 until 2012, show a decrease in Treynor’s performance index, 
namely: AALI, ANTM and UNTR.

Jensen method calculated the value of the investment return exceeds the 
expected return or the minimum rate of return. Return is the average return the 
previous period. To analyze the method of Jensen require data such as average 
return, beta stocks, and the risk free rate. The results of the calculation of the stock’s 
performance of the tenth group of stocks Jakarta Islamic Index Jensen method in 
Table 5.

Table 5. Stock’s Performance Using Jensen’s Model

Emiten 2008 2009 2010 2011 2012
AALI 633,840 537,840 6,640 -100,690 -107,940

ANTM -436,280 -110,140 -145,640 -306,020 -192,660
ASII -601,200 591,540 138,120 286,280 -1094,960

CPIN 135,080 1312,980 165 270,200 547,820
INDF -136,480 368,980 123,640 -91,220 135,310
KLBF -346,440 1108,980 631,400 72,010 -257,590
LSIP 365,480 189,860 -74,440 -853,990 66,190

SMGR 184,160 -250,140 19,280 297,670 219,010
TLKM 133,680 59,380 -334,520 -120,320 160,420
UNTR 704,880 722,120 187,160 134,280 -112,230

Source: Indonesia Stock Exchange



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Table 5 shows that the index Jensen from the period 2008 to 2012 was in the 
range -1094.960 until 1108.980. If the value of Alpha Jensen highest and significant 
shows that this portfolio is the best of the existing portfolio. Alpha which has a 
positive value indicates a better performance than the market index; while a negative 
value indicates a lower performance than the market index. As in Table 5, there are 
stocks from 2008 to 2012 that always showed an increase Jensen index, namely: 
ANTM, CPIN, INDF, KLBF, LSIP, SMGR, and TLKM. However, from the results 
of Jensen index calculation, there are stocks that have a negative value. Some stocks 
which show a decrease in Jensen index is: AALI, ASII, and UNTR.

Table 6. Rating of Shariah Stock’s Performance (year 2008 – 2010)

No.
2008 2009 2010

Sharpe Treynor Jensen Sharpe Treynor Jensen Sharpe Treynor Jensen
1. UNTR UNTR UNTR AALI CPIN CPIN KLBF UNTR KLBF
2. SMGR AALI AALI UNTR AALI KLBF UNTR INDF UNTR
3. AALI SMGR LSIP INDF UNTR UNTR ASII ASII CPIN
4. TLKM LSIP SMGR ASII ASII ASII INDF CPIN ASII
5. LSIP TLKM CPIN CPIN INDF AALI SMGR SMGR INDF

Source: Indonesia Stock Exchange

Stock performance will be measured using three different methods, namely 
Methods Sharpe, Treynor, and Jensen. Measurement of performance shares for the 
three different methods require data such as stock returns, standard deviation, the 
market return and risk free rate. Tables 6 and 7 show the best performance ratings 
Islamic stock during the period 2008 to 2012.

Table 7. Rating of Shariah Stock’s Performance (year 2011-2012)

No.
2011 2012

Sharpe Treynor Jensen Sharpe Treynor Jensen
1. ASII ANTM SMGR INDF SMGR CPIN
2. LSIP TLKM ASII CPIN TLKM SMGR
3. SMGR AALI CPIN SMGR KLBF TLKM
4. CPIN KLBF UNTR TLKM INDF INDF
5. UNTR SMGR KLBF LSIP UNTR LSIP

Source: Indonesia Stock Exchange        

Given the formulation and performance measurement characteristics of 
each are different, then the value of the performance index obtained from the 
calculation of index numbers are different. Each of these methods has a basic stock 
performance relative numbers can’t be compared directly with one another given 



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measurement method is different. The results show a significant difference in the 
performance measurement method. Treynor method show consistency among the 
three measurements, as Treynor had a mean difference of the lowest rank of the 
methods Sharpe and Jensen (Sulistyorini, 2009). According to the ranking of stock’s 
performance using the three measurement show that there are consistency of stock 
that have a best rank, i.e. AALI, ANTM, ASII, CPIN, INDF, KLBF, LSIP, and 
UNTR.

Conclusion

Judging from the results of the return of each stock that the whole of the 
period of the study in 2008-2012 AALI (Astra Agro Lestari Tbk), ANTM (Antam 
(Persero) Tbk), CPIN (Charoen Pokphand Indonesia Tbk), INDF (Indofood 
Sukses Makmur Tbk), KLBF (Kalbe Farma Tbk), LSIP (PP London Sumatra, PT), 
SMGR (Semen Gresik (Persero) Tbk), and TLKM (Telecommunications Indonesia, 
Tbk) have consistency for the highest return. These results can be a reference for 
investors to facilitate stock is chosen to invest, investors can choose companies in 
major sectors, meaning the company in the field of basic human needs, such as food 
ingredients, food, building materials (infrastructure) and others which will certainly 
continue to increase the performance of the company because every year definitely 
increase the demand for these needs.

The results obtained from the calculation of the Islamic stock performance 
with the method of Risk Adjusted Performance shows that the Islamic stocks have 
performed well, because it tends to increase each year. Based on the rating sharia 
stock performance calculation by using method Sharpe, Treynor and Jensen show 
that there is the consistency of shares whose have the best ratings in each year. 
These shares are AALI (Astra Agro Lestari Tbk), ANTM (Antam (Persero) Tbk), 
ASII (Astra International, Tbk), CPIN (Charoen Pokphand Indonesia Tbk), INDF 
(Indofood Sukses Makmur Tbk), KLBF (Kalbe Farma Tbk), LSIP (PP London 
Sumatra, PT), and UNTR (United Tractors Tbk). It could also be a reference 
to strengthening investor to invest in the stock. In addition to this performance 
analysis, can also use technical and fundamental analysis in order to know the ins 
and outs of the company’s performance from year to year and his track record does 
include companies that are healthy or not.

References

Al Arif, M.N.R. 2012. Islamic Financial Institutions. Bandung: Pustaka Setia.
Chapra, M.U. 1996. Monetary Policy in an Islamic Economy in Money and Banking 

in Islam. Jeddah: International Centre for Research in Islamic Economics.



Al-Iqtishad: Vol. VII No. 1, Januari 2015 140

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