ANALYSIS OF STOCK PORTFOLIO PERFORMANCE WITH SHARPE,

JENSEN AND TREYNOR METHODS

(10 Shares in Indonesia and International Stock Exchange for the
December 2016-December 2017 Period)

ABSTRACT
This analysis evaluates the performance of the stock portfolio using Sharpe, Jensen and Treynor
methods. This study aims to determine the optimal portfolio performance of 10 companies in
Indonesia and international.. The design of the analysis carried out using secondary data in the
form of stock price data, Portfolio Returns, Annual rate, Index December 2016- December 2017.
There are several steps in this method that relate to the formula Sharpe, Jansen and Treynor
namely Return portfolio, Average risk free (Rf),IHSG, Average return market (Rm), standard
deviation return (STEDV) and Beta portfolio, which are used for 1 year in a portfolio of 10
shares.

INTRODUCTION
Investment analysis often faces problems, namely the assessment of risks faced by investors. if
the risk of investment increases, the level of profit required by investors is greater. To reduce
losses / investment risks, investors can invest in various types of stocks by forming a portfolio.
Portfolios are closely related to investments in a variety of financial instruments that can be
traded on the Stock Exchange and money markets with the aim of spreading sources of return
and risk possibilities (Jones, 2000). The financial instruments in question include stocks, bonds,
foreign exchange, deposits, stock price indices, other derivative products (Samsul, 2006).
Portfolios are also defined as a series of combinations of assets that are invested and held by
investors, both individuals and institutions. The existence of a positive relationship between
return and risk in investing is known as high risk-high return, which means that the greater the
risk that must be borne, the greater the return generated. In investing not only in one type of
investment, but by diversifying various investments with expectations will minimize risk and
maximize returns. There are 3 parameters that can be used to measure portfolio performance
developed by William Sharpe, Michael Jensen and Jack Treynor. These three performance
measurements are called Sharpe performance measures, Jensen performance and Treynor
performance. these three performance measures assume a linear relationship between portfolio
returns with returns from several market indices. The three models base their analysis on past
returns to predict future returns and risks (Samsul, 2006).

THEORY FOUNDATION
Investment is the placement of funds at this time with hopes for the future (Halim, 2003).
Investments in shares which are grouped as long-term investments are carried out in various
purposes (Jones, 2000), namely for the company itself, fixed income for each period, special
funds, guarantee of continuity of material supply and maintenance of relationships between
subsidiaries. Tandelilin (2001), Defining Returns in return for investors' courage in the
investments made. sum of results and capital gains are called total investment returns. Risk is an
easy return value
3 actual received with the expected return. the impact of stocks, variances, and covariance of
these stocks. what happens to these variables will change from portfolio. The portfolio theory
used by Markowitz (called the financial management teacher referred to as (the father of modern
portfolio theory) has applied the concept of portfolio diversification quantitatively, which is
defined as a group of investments invested by investors, both individuals and entities. cannot be
done on an average higher than the others Husnan, (2003) While the optimal portfolio is a
portfolio chosen by investors from the many choices available, in an efficient portfolio collection
(Tandelilin, 2001). Portfolio performance occurred in the late 60s pioneered by William Sharpe,
Trenor, and Michael Jensen. Risk-adjusted) portfolio performance measures (Samsul, 2006).
1) Sharpe Model
According to Sharpe, portfolio performance in the future can be predicted using two measures,
namely the expected rate of return (E) and the predicted variability or so-called standard
deviation and compensation. With the following formula (Samsul, 2006):

Description:
2) Jensen Model Jensen Index is an index that produces a level between the actual level using the
same portfolio. With the following formula:

Description:

3) Treynor Model
According to, Treynor in performance using the average return from the past as the expected
results and using beta as a benchmark of the Treynor method with the following reasons (Samsul,
2006):

Description :
CONCLUSION
Based on the results of the calculations and discussions that have been presented, it can be
concluded that:
1. The results of testing the portfolio performance using the Sharpe method, the average Sharpe
index value is -0.69549901. The worst performing company with the Sharpe index of - -
1.671234357 Coca Cola Company (KO). While the company that has the best performance with
the Sharpe index is -0.179088495 namely Apple, Inc. (AAPL).
2. The results of testing portfolio performance using the Jensen method, the average value of
Jensen's index is -0.03691777 which means that the portfolio performance is considered bad.
The company that had the worst performance with the Jensen index was -0.00797928 namely
Bank Mandiri (Persero) Tbk. (BBMRI). While the company that has the best performance with
the Jensen index is -0.5941167, namely Mc Donald’s Corporation. (MCD).
3. The results of testing portfolio performance using the Treynor method, the average Treynor
index value is 0.192147757 which means that portfolio performance is considered good. The
company that had the worst performance with the Treynor index was -0.868556950 namely
Bank Central AsiaTbk. (BBCA). While the company that has the best performance with the
Treynor index is 1.453438068, namelyIndofood Sukses Makmur, Tbk. (INDF).