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)
Keywords:Single Index Model, LQ45, Sharpe
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.