ANALYSIS OF STOCK PORTFOLIO PERFORMANCE USING THE SHARPE METHOD (CASE STUDY OF THE LQ45 INDEX ON THE INDONESIA STOCK EXCHANGE FOR THE 2019-2022 PERIOD)

Authors

  • Putri Maqfirah University State of Makassar
  • Chalid Imran Musa University State of Makassar
  • Anwar University State of Makassar
  • Nurman University State of Makassar
  • Andi Mustika Amin University State of Makassar

Keywords:

Single Index Model, LQ45, Sharpe

Abstract

This study aims to determine portfolio performance assessment using the Sharpe method, a case study of the LQ45 index on the Indonesian stock exchange for the 2019-2022 period. The population in this study is LQ45 index shares on the Indonesian stock exchange for the 2019-2022 period based on a purposive sampling technique. Data collection is documentation and literature study. The data analysis that will be used in this study is by using the Microsoft Excel 2010 application program to form an optimal portfolio using the Single index model and to assess the performance of the stock portfolio using the Sharpe index method. The results show that the analysis of stock diversification using the Single Index Model, based on the results consistent LQ45 index shares during the period February 2019- December 2022 the research sample is 30 stocks. After comparing the ERB values ​​with C*, 8 stocks are included in the optimal portfolio stocks, namely ERB values ​​> C*, namely ADRO, ANTM, BBCA, BRPT, INCO, INDY, ITMG, & MEDC stocks. The results of the calculation of stock performance analysis, the average value of the Sharpe method is 0.1241. From the results of the average stock performance method, it has a positive performance value, which means good portfolio performance.

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Published

2023-05-06

How to Cite

Putri Maqfirah, Chalid Imran Musa, Anwar, Nurman, & Andi Mustika Amin. (2023). ANALYSIS OF STOCK PORTFOLIO PERFORMANCE USING THE SHARPE METHOD (CASE STUDY OF THE LQ45 INDEX ON THE INDONESIA STOCK EXCHANGE FOR THE 2019-2022 PERIOD). Journal of Economics,Education,Business and Managements, 1(2), 149–161. Retrieved from http://pemudin.com/index.php/JEEBM/article/view/12