Constructing Share Investment Portfolio: Valuing and Measuring Performance of IDX30 as a Stock-Based Invesment in Indonesia Financial Market with Risk Adjusted Performance
This study is aimed to analyze, to construct, to measure and to value the portfolio
performance of IDX30 as stock-based investment with risk adjusted performance. The
findings are there were factors from a different group to another different variables, data
analysis was performed using Paired Sample Test, ANOVA, and used different test by using
One Way of Variance by Rank with Kruskal-Wallish, before it was analyzed, the data has to be
standardized with z-score transformation. The results showed that there was different of
IDX30 index performance between treatments (hypothesis 1 accepted), another results from
expected return showed that there was different between individual performance method
and risk adjusted performance on Sharpe (hypothesis 2 accepted) but there were not
different on Treynor and Jensen (hypothesis 3 and 4 were rejected), according to groups test
between expected return risk adjusted performance showed that there was a significant
differences between treatments (hypothesis 5 was accepted), the last result showed that net
profit affected the index of sharp and Treynor (hypothesis 6a and 6b accepted) but it was not
affect Jensen (hypothesis 6c rejected)
performance of IDX30 as stock-based investment with risk adjusted performance. The
findings are there were factors from a different group to another different variables, data
analysis was performed using Paired Sample Test, ANOVA, and used different test by using
One Way of Variance by Rank with Kruskal-Wallish, before it was analyzed, the data has to be
standardized with z-score transformation. The results showed that there was different of
IDX30 index performance between treatments (hypothesis 1 accepted), another results from
expected return showed that there was different between individual performance method
and risk adjusted performance on Sharpe (hypothesis 2 accepted) but there were not
different on Treynor and Jensen (hypothesis 3 and 4 were rejected), according to groups test
between expected return risk adjusted performance showed that there was a significant
differences between treatments (hypothesis 5 was accepted), the last result showed that net
profit affected the index of sharp and Treynor (hypothesis 6a and 6b accepted) but it was not
affect Jensen (hypothesis 6c rejected)