Sharpe, Treynor and Jensen Methods in Doing Stock Portfolio Performance Analysis


  • Dede Hertina ,Nada Destriani ,Muhammad Daffa Naufal ,Riva Desilva Dauliah ,Dewi Sisca Sinaga ,Ayu Wardani Nursapriti ,Mohd Haizam Saudi


IDX, Kruskal-Wallis, investment fields, stock portfolio


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.