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)