Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1108230 | Procedia - Social and Behavioral Sciences | 2015 | 10 Pages |
Abstract
This reseach focuses on portfolio performance analysis of LQ45. The purpose of this research is to analyze the consistency of Sharpe index, Treynor index and Jensen index as measurement of risk-adjusted performance. This research uses Kruskal Wallish test to analyze the consistency of those indexes as measurement of risk-adjusted performance. Before that, standardized with Z-score transformation was conducted to test comparison between treatments. This result indicates that there is no significant difference between the tehcniques test. Furthermore, according to the three tools used, Treynor's shows the consistent result from performance measurement.
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