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

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

Author

Listed:
  • Evelyn Kusuma

    (University of Surabaya)

  • Putu Anom Mahadwartha

    (University of Surabaya)

  • Endang Ernawati

    (University of Surabaya)

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.

Suggested Citation

  • Evelyn Kusuma & Putu Anom Mahadwartha & Endang Ernawati, 2023. "Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45," Advances in Economics, Business and Management Research, in: Werner Ria Murhadi & Dudi Anandya & Noviaty Kresna Darmasetiawan & Juliani Dyah Trisnawati & Putu An (ed.), Proceedings of the 19th International Symposium on Management (INSYMA 2022), pages 78-84, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-008-4_11
    DOI: 10.2991/978-94-6463-008-4_11
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