TA DIGITAL
Evaluasi Kinerja Portofolio Menggunakan Indeks Sharpe, Treynor, dan Jensen Pada Saham IDX BUMN20 Periode 2019-2023. = Portfolio Performance Evaluation Using The Sharpe, Treynor, and Jensen Indexes on Stocks Indexed IDX BUMN20 For The 2019-2023 Period
This research analyzes the optimal stock portfolio using the Single Index Model, then looks at the performance of the portfolio formed on IDX BUMN20 shares for the 2019-2023 period with a sample of 13 shares based on the Sharpe, Treynor and Jensen indexes. This research includes quantitative descriptive applications that focus on the performance of the IDX BUMN20 stock portfolio due to the phenomenon that IDX BUMN20 managed to recover more quickly from the Covid 19 pandemic. The results of this research show that there are 3 shares in the optimal portfolio composition, namely ANTM (proportion 43%), BBRI (proportion 54%), and ELSA (proportion 3%) with a portfolio return of 1.47% and a risk of 0.5%. This optimal portfolio has a Sharpe index value of 0.1426, a Treynor Index of 0.0059 and a Jensen Index of 0.0087 which is positive, indicating that this portfolio has good performance.
Keywords : Portfolio Performance, Sharpe, Treynor, Jensen
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