Analysis Of Stock And Mutual Fund Portfolio Performance Using Sharpe, Treynor, And Jensen Methods (10 Blue Chip Stocks and 5 Best Mutual Funds 2023)

Abstract

Analysis of Stock Portfolio Performance and Mutual Funds with the Sharpe, Treynor, and Jensen Index methods on the best blue chip stocks and mutual funds on the Indonesia Stock Exchange. The purpose of this study is to determine the optimal portfolio performance of a stock portfolio formed from the 10 best blue chip stocks and the 5 best mutual funds in 2023. Based on the results of the analysis, the stock portfolio formed from the 10 best blue chip stocks provides better portfolio performance than mutual funds. However, 2 portfolios formed from each of the 5 best stocks, give different results on the Sharpe Index and Treynor Index, compared to the Jensen Index Method. The stock portfolio formed from the 5 best stocks gives a result of 0.0931 on the Sharpe Index Method and 1.1673 on the Treynor Index method, which is the highest portfolio performance compared to other portfolios and mutual funds. However, the results are different in the calculation according to the Jansen Index method with the highest value of 2.4159 in the stock portfolio formed from the second 5 best stocks. The higher the Sharpe index value, the better the performance of the stock portfolio.

Keywords: Stock Portfolio Performance, Mutual Funds, Sharpe Index, Trenor Index, Jensen Index