Portfolio Performance Evaluation for LQ 45 Index in 2016-2020 Periods Using the Treynor Method

Abstract

This research discussed the portfolio performance evaluation using the Treynor method. The portfolio performance evaluation aims to assess the established portfolio whether had a good performance and suitable to the investment goals. At the research, a portfolio was selected based on the efficient stock by taking two criteria that were, the first, ( portfolio A ) based on the greatest positive expected returns and the second (portfolio B) based on the smallest positive risk (beta). The result showed from the formation of the portfolio are for portfolio A was selected AKRA and PTBA stocks, as for portfolio B was selected ICBP and BBCA stocks. Of these two portfolios, both had good performance since the index Treynor acquired had positive results and portfolio B had better performance than portfolio A.