Diversifikasi Portofolio dan Risiko Sistematik terhadap Kinerja Saham Sektor FMCG: Pendekatan Sharpe Ratio dan Treynor Ratio

Ridho Ramadhani; Siti Fatonah; Leni Triana

doi:10.53363/yud.v6i2.206

Authors

Ridho Ramadhani Universitas Bina Bangsa
Siti Fatonah Universitas Bina Bangsa
Leni Triana Universitas Bina Bangsa

DOI:

https://doi.org/10.53363/yud.v6i2.206

Keywords:

diversifikasi portofolio; risiko sistematik; kinerja saham; Sharpe Ratio; Treynor Ratio, portfolio diversification; systematic risks; stock performance; Sharpe Ratio; Treynor Ratio

Abstract

Portfolio diversification and systematic risk management are two of the main strategies for investors in dealing with capital market uncertainty, but empirical studies on the influence of both on stock performance still show inconsistencies, especially when performance is measured on different risk bases. This study aims to analyze the influence of portfolio diversification and systematic risk on the stock performance of companies in the Fast Moving Consumer Goods (FMCG) sector listed on the Indonesia Stock Exchange for the 2021–2025 period, as measured through the Sharpe Ratio and Treynor Ratio. The study used an associative quantitative approach with secondary data from eight FMCG companies selected by purposive sampling, resulting in 40 panel data observations. Portfolio diversification is measured through the correlation coefficient between stock returns, while systematic risk is measured through stock beta. Data were analyzed using descriptive statistics, classical assumption tests, multiple linear regression, t-test, F test, and determination coefficients with the help of IBM SPSS Statistics 27. The results showed that portfolio diversification had a positive and significant effect on the Sharpe Ratio (t=2.638; Sig.=0.012), but did not have a significant effect on the Treynor Ratio (Sig.=0.877). Systematic risk had a negative and significant effect on the Sharpe Ratio (t=-2.499; Sig.=0.017), but was not significant on the Treynor Ratio (Sig.=0.292). Simultaneously, both variables had a significant effect on the Sharpe Ratio (F=4.933; Sig.=0.013; R²=21.5%), but not significant to the Treynor Ratio (F=0.720; Sig.=0.494; R²=3.7%). This study concludes that the relevance of portfolio diversification and systematic risk to the performance of FMCG stocks is highly dependent on the risk base used in performance measurement, thus making an empirical contribution to the importance of using more than one measure of performance in the evaluation of stock investments.

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