Analisis Kinerja Portofolio Saham-saham ILQ-45 dengan Menggunakan Sharpe dan Treynor selama Periode Januari-Desember 2005

Iqbal, (2007) Analisis Kinerja Portofolio Saham-saham ILQ-45 dengan Menggunakan Sharpe dan Treynor selama Periode Januari-Desember 2005. Masters thesis, Universitas Terbuka.

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Abstract

A portfolio performance measure is useful, for example, in ranking the performance of mutual funds. Any index of portfolio performance would have to measure the actual returns of funds relative to some risk or return relationship. There are factors to be considered by an investor when evaluating portfolios and this is not possible to do without knowing the level of risk involved. The purpose of this research are to compare the degree of portfolio performance that consist of 5 ILQ-45 stocks (January-December 2005) and also to test about consistency of portfolio performance measurement using measure of Sharpe (RVAR) and Treynor (RVOL) where each measure have different indicator to see a risk of portfolio. Portfolio performance in this research is measured using composite (risk-adjusted) measure of portfolio performance consist of Sharpe (RV AR) and Treynor (RVOL). RVAR uses standard deviation of returns as the measure of risk while RVOL measure uses beta (systematic risk). RV AR therefore evaluates the portfolio manager on the basis of both rate of return performance and diversification. The higher the value of RVAR and RVOL the better the portfolio performance is. Then the result is tested using nonparametric statistic test in particular Kendall's W test to know about measurement to 9 portfolio of 5 ILQ-45 stocks which is using measure of Sharpe and Treynor are consistent or not. If value of W statistic close to 1, it means measurement to 9 portfolio of 5 ILQ-45 stocks are consistent. The result of this research indicates that according to the statistic test of Kendall's W to 5 lLQ-45 stocks using measure of Sharpe and Treynor are consistent only for the first and second period while the third period is inconsistent. This inconsistency based on the difference measure of Sharpe and Treynor measurement. And it is indicated that the best 3 portfolio performance of the whole period are A, B and C.

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