Proceedings of the 6th Annual International Conference on Management Research (AICMaR 2019)

Jakarta Islamic Index Performance Analysis, Before, During and After the 2008 Global Crisis Using Sharpe, Treynor, and Jensen Index

Authors
Mohammad Benny Alexandri, Meita Pragiwani, Aldi Bahtiar
Corresponding Author
Mohammad Benny Alexandri
Available Online 6 April 2020.
DOI
https://doi.org/10.2991/aebmr.k.200331.001How to use a DOI?
Keywords
Sharpe, Treynor, Jensen, Jakarta Islamic Index
Abstract
The stages of the investment decision process include five stages of decision, which is the determination of investment objectives; investment policy determination; selection of portfolio strategy; asset selection; measurement and evaluation of portfolio performance. This study aims is to find out (1) which optimal portfolio is best performing after being measured by Sharpe, Treynor, and Jensen Indexes (2) Comparison of the performance rankings of the Sharpe, Treynor, and Jensen models of the optimal portfolios of the Jakarta Islamic Index which were formed before, medium, and after the crisis whether the results obtained are the same or there are differences between the three models. The results of this study indicate that there is no significant difference in the measurement of optimal portfolio performance in the period before, during, and after the 2008 global crisis using the Sharpe, Treynor, and Jensen methods.
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Proceedings
6th Annual International Conference on Management Research (AICMaR 2019)
Part of series
Advances in Economics, Business and Management Research
Publication Date
6 April 2020
ISBN
978-94-6252-948-9
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.200331.001How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Mohammad Benny Alexandri
AU  - Meita Pragiwani
AU  - Aldi Bahtiar
PY  - 2020
DA  - 2020/04/06
TI  - Jakarta Islamic Index Performance Analysis, Before, During and After the 2008 Global Crisis Using Sharpe, Treynor, and Jensen Index
BT  - 6th Annual International Conference on Management Research (AICMaR 2019)
PB  - Atlantis Press
SP  - 1
EP  - 6
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200331.001
DO  - https://doi.org/10.2991/aebmr.k.200331.001
ID  - Alexandri2020
ER  -