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

Abstract

Evaluation of portfolio investment performance aims to assess the performance of portfolios that have been formed in accordance with investment objectives. Portfolio performance can be assessed by the Treynor model. The Treynor model is a calculation that measures the level of systematic risk (beta). This type of research is descriptive research that aims to evaluate the investment performance of stock portfolios that have been formed using the Treynor model. The population in this study is LQ45 index shares on the IDX in the 2019-2022 period. The types of data used in this research are monthly closing stock prices, the Jakarta Composite Index (IHSG) and Bank Indonesia Certificates (SBI). The method of analysis in this study is quantitative analysis and refers to the calculation of the Treynor model. The sampling method used the purposive sampling method to obtain 30 consistent companies during the study period, namely 2019-2022. Shares that have an ERB value > C* are ADRO, ANTM, BBCA, BRPT, INCO, INDY, ITMG, & MEDC shares. The 8 stocks are optimal stocks for the LQ45 index during the period February 2019-December 2022. The results show that the average RVOR value is 0.0112 or 1.12%. the highest treynor performance value is ANTM with a value of 0.0298 compared to other optimal portfolio stocks and the lowest performance is BBCA stock with a value of 0.0083, The 8 stocks are optimal stocks for the LQ45 index during the period February 2019-December 2022. The results show that the average RVOR value is 0.0112 or 1.12%. the highest treynor performance value is ANTM with a value of 0.0298 compared to other optimal portfolio stocks and the lowest performance is BBCA stock with a value of 0.0083, The 8 stocks are optimal stocks for the LQ45 index during the period February 2019-December 2022. The results show that the average RVOR value is 0.0112 or 1.12%. the highest treynor performance value is ANTM with a value of 0.0298 compared to other optimal portfolio stocks and the lowest performance is BBCA stock with a value of 0.0083,