SKRIPSI DIGITAL
The Comparison Performance Analysis of Sectoral Stock Index Base On Risk-Adjusted Performance Approach : Case Study of Various Sektor IDX-IC 2021
IDX Industrial Classification (IDX-IC) was launced on January 25, 2021 with 11 (eleven) new sectoral indexes belonging to the IDX-IC sectoral index group. Since March 2020, The COVID-19 outbreak has had a significant impact on various sectors including macroeconomic performance to a major impact on the financial sector and the Capital Market. Purpose of this research are : (1) To find out the performance of sectoral stock index portfolios based on the risk-adjusted performance approach on sectoral indexes IDX-IC 2021, (2) To compare the portfolio performance of sectoral stock indices based on the risk-adjusted performance sectoral stock indexes IDX-IC 2021. Method of this research is descriptive quantitative with risk-adjusted performance measurement. Secondary data processed are historical data on 11 sectoral index stock prices in the 2021 IDX-IC & JCI published by www.idx.com and risk-free rates published by www.bi.go.id. Results and Conclusions of this research are : (1) Based on the Sharpe, Treynor and Jensen indexes, the financial sector, the property & real estate, the primary consumer goods sector, the infrastructure sector and the industrial sector index, show the most underperforming performance indexes (2) The measurement of sectoral stock index performance based on the Sharpe, Treynor, and Jensen indexes has different calculation benchmarks so that they cannot be compared with each other. The technology sector, the transportation sector, the energy sector, the non-primary consumer goods sector, the health sector, and the basic materials sector show that in 2021 the sectoral stock indexes that occupy the outperforming performance.
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