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

Evelyn Kusuma, Putu Anom Mahadwartha () and Endang Ernawati
Additional contact information
Evelyn Kusuma: University of Surabaya
Putu Anom Mahadwartha: University of Surabaya
Endang Ernawati: University of Surabaya

A chapter in Proceedings of the 19th International Symposium on Management (INSYMA 2022), 2023, pp 78-84 from Springer

Abstract: 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.

Keywords: portfolio; treynor; sharpe; LQ45; investment (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-008-4_11

Ordering information: This item can be ordered from
http://www.springer.com/9789464630084

DOI: 10.2991/978-94-6463-008-4_11

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().