SHARPE, TREYNOR AND JENSEN METHODS IN DOING STOCK PORTFOLIO PERFORMANCE ANALYSIS
No Thumbnail Available
Date
2021
Journal Title
Journal ISSN
Volume Title
Publisher
Review of International Geographical Education, 11(5), Spring
Abstract
This study aims to determine the performance of stock portfolios in the Property Industry, Real Estate and
Building Construction sectors listed on the IDX for the period 2015 - 2019 using the Sharpe, Treynor and
Jensen methods. The research method uses a comparative descriptive method. The population in this
study were 91 companies. The sample selection technique used purposive sampling method and
obtained a sample of 50 companies. The calculation of stock portfolio performance in this study uses a
different test using One Way of Variance by Rank with Kruskal-Wallis. The results showed that there were
significant differences in stock performance between the Sharpe, Treynor and Jensen methods. Another
test by looking at the difference in the three mean ranks, the Treynor method is the one that shows the
most consistency, because Treynor has the lowest mean rank difference compared to using the Sharpe
and Jensen methods.
Description
Keywords
Performance Analysis