ANALISIS KINERJA PORTOFOLIO SAHAM DENGAN METODE SHARPE, TREYNOR DAN JENSEN (Saham LQ 45 di Bursa Efek Indonesia Tahun 2003 sampai 2007)

ABSTRACT The performance of stock portfolio observe not only return but also risk of portfolio. The performance of stock portfolio can be measured by Three portfolio performance measures. Three portfolio performance measures are used to measure those indexes namely the Sharpe performance measure, the Treynor performance measure, and Jensen's differential return measure. This research is motivated by a tendency from investors’ observable fact that they incline to invest their funds on stocks classified as index of LQ 45. LQ 45 index for companies enlisted at Jakarta Stock Exchange reflected from the high volume of market capitalization and their liquidity. So The purpose of this research is to analyze the consistency of Sharpe index, Treynor index, and Jensen index as measures of risk-adjusted performance. This research use Kruskal Wallish test to analyze the consistency of Sharpe index, Treynor index, and Jensen index as measures of risk-adjusted performance. Before that, doing standardized with Z-score transformation. At least, use the test of comparation between treatmen. The result of Kruskal Wallish test shows that Sharpe, Treynor and Jensen indices has χ2=1,514, with Asymp. Sig 0,469. Statistically significant correlation as measures of the performance of stock portfolio for five years period (2003-2007) indices show a positive and statistically significant correlation for all stock portfolio group so hypothesis (H0) is accepted. The test of comparation between treatment shows that isn’t difference about the third of mean rank. Treynor measures indices show consistent as measures of stock portfolio performance. Because value of mean rank more lower than Sharpe index or Jensen index. The Sharpe, Treynor, and Jensen indices are consistent as measures of stock portfolio performance. Key words: Sharpe index, Treynor index, Jensen index, stock portfolio performanc