Proceedings of the 19th International Symposium on Management (INSYMA 2022)

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

Authors
Evelyn Kusuma1, Putu Anom Mahadwartha1, *, Endang Ernawati1
1University of Surabaya, Surabaya, Indonesia
*Corresponding author. Email: anom@staff.ubaya.ac.id
Corresponding Author
Putu Anom Mahadwartha
Available Online 5 December 2022.
DOI
10.2991/978-94-6463-008-4_11How to use a DOI?
Keywords
portfolio; treynor; sharpe; LQ45; investment
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.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 19th International Symposium on Management (INSYMA 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
5 December 2022
ISBN
978-94-6463-008-4
ISSN
2352-5428
DOI
10.2991/978-94-6463-008-4_11How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Evelyn Kusuma
AU  - Putu Anom Mahadwartha
AU  - Endang Ernawati
PY  - 2022
DA  - 2022/12/05
TI  - Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45
BT  - Proceedings of the 19th International Symposium on Management (INSYMA 2022)
PB  - Atlantis Press
SP  - 78
EP  - 84
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-008-4_11
DO  - 10.2991/978-94-6463-008-4_11
ID  - Kusuma2022
ER  -