ANALISIS KINERJA INDEKS SAHAM GABUNGAN DENGAN MENGGUNAKAN TREYNOR INDEX, SHARPE RATIO DAN JENSEN'S ALPHA PAD A BURSA EFEK INDONESIA

Investing in public stocks requires risk and expected return calculation as the main consideration. Nowadays, more and more mutual funds do mirroring against portfolio that constructs specific stocks index. Therefore, this research was conducted to evaluate the stock index performance level by using Treynor Index, Sharpe Ratio and Jensen�s Alpha methods in order to be used as a reference for stocks investment decision making. From the research conducted by using those three methods, be concluded that there are 6 stock index that consistently outperform the market performance level, which are Consumer Goods, Manufacturing, Trade & Service, Property & Real Estate, Basic Industry and Main Board. Those six stock indexes may be used as a reference for investing in stock market. Various aspects can affect stock index performance in the future, so additional analyzes will be needed, both in fundamental and technical