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Evaluate The Performance Of The Stock Portfolio By Oil Palm Companies Using Sharpe, Treynor And Jensen Index

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Evaluate The Performance Of The Stock Portfolio By Oil Palm
Companies Using Sharpe, Treynor And Jensen Index
Abstract
This research is intended to evaluate the performance of palm oil company stock portfolio using the Sharpe,
Treynor and Jensen index methods. Stock performance of palm oil companies needs to be evaluated because
they have experienced price fluctuations in times of turmoil in world oil prices. The population of this study are
all stocks of the palm oil companies listed on the Indonesia Stock Exchange in the period July 2012 to June
2016. While the sample is the stocks that are consistently active in the Indonesian Stock Exchange during the
study period. The formation of a stock portfolio is done by the Single Index Model. Stock portfolios formed in
the period before the crisis were PT. Astra Agro Lestari Tbk. (AALI) and PT. Tunas Baru Lampung, Tbk.
(TBLA). Whereas in the period after the decline in world oil prices all stocks of palm oil companies have a
negative ERB value so that the stock portfolio cannot be formed. The results of this study indicate that the
performance of stocks of plantation companies in the period before the decline in world oil prices have Sharpe
index, Treynor index and Jensen index higher than the period after the decline in world oil prices. Thus it can
be concluded that the stock portfolio of palm oil companies in the period before the decline in world oil prices
has a better performance than the stock portfolio in the period after the decline in world oil prices. .
Keywords: stock portfolio, single index model, sharpe index, treynor index, jensen index.

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Series Title

Evaluate The Performance Of The Stock Portfolio By Oil Palm Companies Using Sharpe, Treynor And Jensen Index.

Call Number

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Publisher

IOSR Journal of Economics and : IOSR Journal of Economics and Finance (IOSR-JEF)., 2020

Collation

Hal : 07-14

Language

English

ISBN/ISSN

p-ISSN: 2321-5925

Classification

Manajemen

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-

Carrier Type

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Edition

Volume 11 Nomor 4

Subject(s)

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Evaluate The Performance Of The Stock Portfolio By Oil Palm Companies Using Sharpe, Treynor And Jensen Index

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