Portfolio Performance Evaluation for LQ 45 Index in 2016-2020 Periods Using the Treynor Method

DOI

10.2991/assehr.k.210508.046How to use a DOI?

Keywords

Performance evaluation, Treynor method, CAPM

Abstract

This research discussed the portfolio performance evaluation using the Treynor method. The portfolio performance evaluation aims to assess the established portfolio whether had a good performance and suitable to the investment goals. At the research, a portfolio was selected based on the efficient stock by taking two criteria that were, the first, (portfolio A) based on the greatest positive expected returns and the second (portfolio B) based on the smallest positive risk (beta). The result showed from the formation of the portfolio are for portfolio A was selected AKRA and PTBA stocks, as for portfolio B was selected ICBP and BBCA stocks. Of these two portfolios, both had good performance since the index Treynor acquired had positive results and portfolio B had better performance than portfolio A.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wahidah Alwi
AU  - B Nurhafsari.
AU  - Ilham Syata
AU  - Risnawati Ibnas
AU  - Sri Dewi Anugrawati
PY  - 2021
DA  - 2021/05/11
TI  - Portfolio Performance Evaluation for LQ 45 Index in 2016-2020 Periods Using the Treynor Method
BT  - Proceedings of the 1st International Conference on Mathematics and Mathematics Education (ICMMEd 2020)
PB  - Atlantis Press
SP  - 83
EP  - 88
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210508.046
DO  - 10.2991/assehr.k.210508.046
ID  - Alwi2021
ER  -