Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45-Reference-Cited by-同舟云学术

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

Published:2022-12-06 Issue: Volume: Page:78-84
ISSN:2731-7854
Container-title:Proceedings of the 19th International Symposium on Management (INSYMA 2022)
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Author:

Kusuma Evelyn,Mahadwartha Putu Anom,Ernawati Endang

Abstract

AbstractThis 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.

Funder

University of Surabaya

Publisher

Atlantis Press International BV

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