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STOCK PERFORMANCE ASSESSMENT OF THE 10 LARGEST COMPANIES IN INDONESIA: A MULTI-INDEX APPROACH
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ABSTRACTThe increasing number of capital market investors in Indonesia, the majority of whom are novice investors, has presented challenges, including market manipulation leading to investment losses. This study aims to analyze in-depth the stock performance of the 10 largest companies by market capitalization listed on the Indonesia Stock Exchange from 2020 to 2024, using a multi-index approach encompassing the Sharpe, Treynor, and Jensen performance indices. Using saturated sampling techniques and quantitative descriptive analysis, this study provides a comprehensive evaluation of risk-adjusted returns in the Indonesian market context. The findings indicate that Pantai Indah Kapuk Dua Tbk (PANI) consistently ranked among the top three best-performing companies based on the Sharpe and Jensen indices over the five-year period. These results provide valuable insights for investors, especially novice investors seeking evidence-based investment strategies in emerging markets.Keywords: Jensen Index; Sharpe Index; Treynor Index; Investment; Stock Performance
ABSTRACTPeningkatan jumlah investor pasar modal di Indonesia, yang sebagian besar merupakan investor pemula, telah menimbulkan tantangan, termasuk manipulasi pasar yang menyebabkan kerugian investasi. Studi ini bertujuan untuk menganalisis secara mendalam kinerja saham dari 10 perusahaan terbesar berdasarkan kapitalisasi pasar yang terdaftar di Bursa Efek Indonesia selama periode 2020 hingga 2024, dengan menggunakan pendekatan multi-indeks yang meliputi indeks kinerja Sharpe, Treynor, dan Jensen. Dengan menggunakan teknik sampling jenuh dan analisis deskriptif kuantitatif, studi ini memberikan evaluasi komprehensif terhadap pengembalian yang disesuaikan dengan risiko dalam konteks pasar Indonesia. Temuan menunjukkan bahwa Pantai Indah Kapuk Dua Tbk (PANI) secara konsisten masuk dalam tiga besar perusahaan dengan kinerja terbaik berdasarkan indeks Sharpe dan Jensen selama periode lima tahun tersebut. Hasil ini memberikan wawasan yang berharga bagi investor, terutama pemula yang mencari strategi investasi berbasis bukti di pasar negara berkembang.Keywords: Indeks Jensen; Indeks Sharpe; Indeks Treynor; Investasi; Kinerja Saham
UPT Penerbitan Universitas Jember
Title: STOCK PERFORMANCE ASSESSMENT OF THE 10 LARGEST COMPANIES IN INDONESIA: A MULTI-INDEX APPROACH
Description:
ABSTRACTThe increasing number of capital market investors in Indonesia, the majority of whom are novice investors, has presented challenges, including market manipulation leading to investment losses.
This study aims to analyze in-depth the stock performance of the 10 largest companies by market capitalization listed on the Indonesia Stock Exchange from 2020 to 2024, using a multi-index approach encompassing the Sharpe, Treynor, and Jensen performance indices.
Using saturated sampling techniques and quantitative descriptive analysis, this study provides a comprehensive evaluation of risk-adjusted returns in the Indonesian market context.
The findings indicate that Pantai Indah Kapuk Dua Tbk (PANI) consistently ranked among the top three best-performing companies based on the Sharpe and Jensen indices over the five-year period.
These results provide valuable insights for investors, especially novice investors seeking evidence-based investment strategies in emerging markets.
Keywords: Jensen Index; Sharpe Index; Treynor Index; Investment; Stock Performance
ABSTRACTPeningkatan jumlah investor pasar modal di Indonesia, yang sebagian besar merupakan investor pemula, telah menimbulkan tantangan, termasuk manipulasi pasar yang menyebabkan kerugian investasi.
Studi ini bertujuan untuk menganalisis secara mendalam kinerja saham dari 10 perusahaan terbesar berdasarkan kapitalisasi pasar yang terdaftar di Bursa Efek Indonesia selama periode 2020 hingga 2024, dengan menggunakan pendekatan multi-indeks yang meliputi indeks kinerja Sharpe, Treynor, dan Jensen.
Dengan menggunakan teknik sampling jenuh dan analisis deskriptif kuantitatif, studi ini memberikan evaluasi komprehensif terhadap pengembalian yang disesuaikan dengan risiko dalam konteks pasar Indonesia.
Temuan menunjukkan bahwa Pantai Indah Kapuk Dua Tbk (PANI) secara konsisten masuk dalam tiga besar perusahaan dengan kinerja terbaik berdasarkan indeks Sharpe dan Jensen selama periode lima tahun tersebut.
Hasil ini memberikan wawasan yang berharga bagi investor, terutama pemula yang mencari strategi investasi berbasis bukti di pasar negara berkembang.
Keywords: Indeks Jensen; Indeks Sharpe; Indeks Treynor; Investasi; Kinerja Saham.
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