Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45

Kusuma, Evelyn and Mahadwartha, Putu Anom and Ernawati, Endang (2022) Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45. In: 19th International Symphosium on Management, 19-20th May 2022, The Patra Hotel and Resort, Kuta-Bali.

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Abstract

This study forms an optimal portfolio using a single index model on LQ45 index stocks and compares its performance before and during the Covid-19 pandemic. Return, risk, Sharpe ratio, and Treynor ratio are compared between the period before and during the pandemic. The calculation of excess return to beta results obtains three stocks that make up the optimal portfolio (2016 to 2021), namely ANTM, BBCA, and INCO, with sequential proportions of 89.87%, 1.96%, and 8.17%. The different paired sample t-test results show differences in risk and Sharpe ratio performance in the portfolio before and during the Covid-19 pandemic. The risk is higher during than before the pandemic, with a higher Sharpe ratio value before the pandemic, even though both are negative. Meanwhile, the paired sample t-test comparison results for returns and Treynor ratio show no difference in portfolio performance before and during the Covid-19 pandemic.

Item Type:	Conference or Workshop Item (Paper)
Uncontrolled Keywords:	portfolio; treynor; sharpe; LQ45; investment
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Ester Sri W. 196039
Date Deposited:	09 Dec 2022 09:02
Last Modified:	24 Jul 2023 03:22
URI:	http://repository.ubaya.ac.id/id/eprint/42953

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