Share Portfolio Performance Analysis Using Sharpe, Trey nor and Jensen Methods with the Geographical Perspective of Indonesia Stock Exchange

Abstract

This study aims to determine the performance of stock portfolios in the Property Industry, Real Estate and
Building Construction sectors listed on the IDX for the period 2015 - 2019 using the Sharpe, Treynor and
Jensen methods. The research method uses a comparative descriptive method. The population in this
study were 91 companies. The sample selection technique used purposive sampling method and
obtained a sample of 50 companies. The calculation of stock portfolio performance in this study uses a
different test using One Way of Variance by Rank with Kruskal-Wallis. The results showed that there were
significant differences in stock performance between the Sharpe, Treynor and Jensen methods.
Another test by looking at the difference in the three mean ranks, the Treynor method is the one that
shows the most consistency, because Treynor has the lowest mean rank difference compared to using
the Sharpe and Jensen methods.