Treynor, Sharpe, and Jensen Ratio of Health Sector Companies on The Indonesia Stock Exchange Before and During Covid-19 Pandemic Period

Dewi Tamara; Ashuri Ashuri; Satria Katon Bagaskara; Sulhadi Sulhadi

doi:10.46799/syntax-idea.v3i10.1525

Treynor, Sharpe, and Jensen Ratio of Health Sector Companies on The Indonesia Stock Exchange Before and During Covid-19 Pandemic Period

Dewi Tamara Management Department, Binus Business School Master Program, Bina Nusantara University, Jakarta, Indonesia
Ashuri Ashuri Management Department, Binus Business School Master Program, Bina Nusantara University, Jakarta, Indonesia
Satria Katon Bagaskara Management Department, Binus Business School Master Program, Bina Nusantara University, Jakarta, Indonesia
Sulhadi Sulhadi Management Department, Binus Business School Master Program, Bina Nusantara University, Jakarta, Indonesia

DOI: https://doi.org/10.46799/syntax-idea.v3i10.1525

Keywords: Treynor Ratio, Sharpe Ratio, Jensen Ratio, Health Sector, Jakarta Stock Exchange, Pandemic Covid-19

Abstract

This research aims to compare the return and risk in investment at the stock portfolio of Health Sector Companies in period before the COVID-19 pandemic and during the COVID-19 pandemic in Indonesia. This research conducted using quantitative method with descriptive approach with secondary data with samples of the stock of Health Sector Companies listed in the Indonesia Stock Exchange ("IDX") which then formulated into a stock portfolio. The research period used is the period March 2019-Feb 2020 for before COVID19 pandemic, and the period March 2020 - Feb 2021 for during the COVID19 pandemic. The stock portfolio return and risk measurement is measured by Sharpe, Treynor, and Jensen Ratio which then will be statistically tested to see if there are significant differences of ratios between the two conditions.

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Published

2021-10-20

Issue

Vol 3 No 10 (2021): Syntax Idea

Section

Articles

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