Stock Portfolio Performance Analysis in Estate Crop Subsector Using Sharpe Measure, Treynor Measure, and Jensen Measure

Penulis

  • Artie Arditha Rachman
  • Igo Febrianto

DOI:

https://doi.org/10.25181/esai.v6i3.999

Abstrak

Investors form a stock portfolio in order to gain returns from several sources and distribute possible risks. Several methods are required when forming a stock portfolio to measure and evaluate portfolio performance. The current research showed different results of the Sharpe Measure, Treynor Measure, and Jensen Measure when measuring stock portfolio performance in estate crop companies listed in Indonesia Stock Exchange. The data used in this research were stock data of PT Astra Agro Lestari Tbk. (AALI), PT PP London Sumatera Tbk. (LSIP), and PT Bakrie Sumatera Plantation Tbk. (UNSP), data of stock composite index, and Bank of Indonesia rate, taken from January 2006 to January 2012. The Sharpe Measure result showed that best stock combination came from portfolio of AALI and LSIP, while The Treynor Measure and The Jensen Measure result showed that the best stock combination came from AALI and UNSP. The difference was caused by using of different risk variable in the calculation of each measurement. This difference makes investors have chances to decide which method is suitable to investor perception of risk in forming portfolio. Keywords: portfolio, Sharpe, Treynor, Jensen.

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Biografi Penulis

Artie Arditha Rachman

Staf Pengajar pada Program Studi Akuntansi Jurusan Ekonomi dan Bisnis Politeknik Negeri Lampung

Igo Febrianto

Staf Pengajar pada Program Studi Sistem Informasi Jurusan Sistem Informasi Teknokrat Lampung

Referensi

Arditha, A. dan Asliana, E., 2007, Analisis Investasi Saham Perusahaan Go Public Sektor Pertanian di Bursa Efek Jakarta, Ekuitas 11, 391-410

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Reilly, F.R. and Brown, K.C., 1997, Investment Analysis and Portfolio Management, Thomson South-Western

Samsul, Mohamad, 2006, Pasar Modal dan Manajemen Portofolio, Erlangga

Sharpe, W., 1994, The Sharpe Ratio, Journal of Portfolio Management 21, 49-58

Treynor, J.L., 1966, How to Rate Management Investment Funds, Harvard Business Review 43, 63-75

Jensen, M., 1969, Risk, The Pricing of Capital Assets, and The Evaluation of Investment Performance, Journal of Business 42, 167-247

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2018-07-12

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