Capital market enable company issuing securities like bonds or stocks to raise fund, if they fulfill the condition that has been set by Bapepam. Instead the investors certainly expect the return that is higher than other investment instrument like savings. But the higher the return, the higher the risk, and the lower the return the lower the risk. Judging the statement above, a good investor will appreciate the importance of information about the company they are going to invest and analyze it. The result of the
analysis will give investors, a specific view of financial condition over the company, so it could help investors to make investment decision. In order to make that analysis, the writer will focus on stock performance with using three tools, Sharpe Ratio, Treynor Index, and Jensen’s Alpha. The writer will use
stocks from consumer goods industries, that have been listed at Bursa Efek Jakarta. The result of this research will show the performance of all the stocks, and also the list of the stocks that have best performance. Sharpe Ratio basically measures excess return per unit of total risk. Sharpe ratio of a stock will be good if the result will be higher than Sharpe ratio of market. Treynor Index measures of excess return per unit of beta. Treynor Index
of a stock will be good if the result will be higher than Treynor index of market.. Jensen’s Alpha measures the difference between the stock’s risk premium and the market’s risk premium multiply by beta. If the Jensen’s Alpha is positive, it means the stock has
superior performance comparing with the market. If Jensen’s Alpha is negative, it means the stock has inferior performance comparing with the market. If Jensen’s Alpha is zero, it means the stock has the same performance as the market. The result of the thesis has found out that the top ten of the best performance stocks, using Sharpe ratio are dominated by stocks that come from pharmaceutical
industry and food and drink industry. According to Treynor Index, the top ten of the best performance stocks are dominated by food and drink industry. According to Jensen’s Alpha, top ten of the best performance stocks, are dominated by food and drink industry. Conclusion of the thesis, is that using three tools for analysis will give each stock different result. The difference depends on variable that must be used for calculation, and perspective that must be considered for doing the analysis. But stocks that come from pharmaceutical industry, and food and drink industry, dominate the top ten of the best performance stocks, either using Sharpe Ratio, Treynor Index, or Jensen’s Alpha. Capital market make company possible to raise fund, if they fulfill the term that has been set by the authority, by issuing securities like bonds or stocks. And the investor certainly expect return that higher than other investment instrument like savings. But higher the return follow by higher risk, and lower the return follow by lower risk. Judging with the statement above, a good investor will appreciate the importance of information and analyze that information about the company they are going to invest. Result of that information will give investor, specific view of financial condition over the company, so it could help investor to make investment decision.
In order to make that analysis, writer will focused on stock performance with using three tools, and they are Sharpe Ratio, Treynor Index, and Jensen’s Alpha. Writer will use stocks from consumer goods industry, that has been listed at Bursa Efek Jakarta.
Result of this research will get performance of all the stocks, and also list of the stocks that have best performance. Sharpe Ratio is basically measure excess return per unit of total risk. The higher Sharpe ratio, will give better performance of the stocks. Treynor Index is a measure of excess return per unit of beta. The higher Treynor Index, will give
better performance of the stocks. Jensen’s Alpha measure the spread between stock’s risk premium and market’s risk premium times beta. If the Jensen’s Alpha is positive, it means the stock has superior performance than the market. If Jensen’s Alpha is negative, it means the stock has inferior performance than the market. If Jensen’s Alpha is zero, it means the stock has the same performance with the market. The result of the thesis discover that top ten of the best performance stocks, with using Sharpe ratio, are dominated by stocks that come from pharmaceutical industry, food and drinking industry. Top ten of the best performance stocks according to Treynor Index are dominated by food and drinking industry, and pharmaceutical industry. And top ten best performance according to Jensen’s Alpha, are dominated by food and
drinking industry, and pharmaceutical industry.
Conclusion of the research, is that using three tools for analysis will give each stock different result. The difference depend on variable that must be used for calculation, and perspective that must be considered for doing the analysis. But the same result are stocks that come from pharmaceutical industry, and food and drinking industry, dominated the top ten performance either using Sharpe Ratio, Treynor Index, or Jensen’s Alpha. |