The impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

Abstract

This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.

Analisis dampak covid 19 terhadap kinerja portofolio saham lq45 dengan metode sharpe, treynor, dan jensen

“…Penelitian selanjutnya akan mengetahui apakah Covid-19 mengakibatkan menurunnya kinerja saham dengan menggunakan penyusaian risiko yang terdiri dari tiga metode yaitu indeks Sharpe, Treynor, dan model Alfa Jensen. Karena, sangat penting bagi investor untuk berhati-hati untuk investor surat-surat berharga, terutama di masa pandemi sekarang, seorang investor harus bisa membaca terlebih dahulu kinerja perusahaan dan memikirkan konsekuensi serta risiko yang akan yang akan dihadapi (Nurhayati et al, 2021).…”

The Effect of Trading Volume, Frequency and Market Capitalization on Stock Return of Chemical Sub Sector

“…Macro factors are factors that include those from outside the company, including macroeconomic factors which include general domestic interest rates, foreign exchange rates, inflation rates (Nurhayati, Endri, Aminda, et al (2021) Endri et al, (2020) and international economic conditions and non-economic factors which include domestic and foreign political events, wars, mass demonstrations and environmental cases (Nurhayati, Endri, Suharti, et al, 2021).…”

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

“…Binangkit and Savitri [1] examine a significant difference between the returns on two different optimal portfolios. Nurhayati et al [2] state significant differences in the risk of stocks before and during the 2008 economic crisis. Nurhayati et al [2] posit significant differences in risk before and during the 2008 economic crisis.…”

“…Nurhayati et al [2] state significant differences in the risk of stocks before and during the 2008 economic crisis. Nurhayati et al [2] posit significant differences in risk before and during the 2008 economic crisis. Nurhayati et al [2] conduct a performance comparison through the Sharpe Ratio on stocks classified as optimal portfolios before and during the pandemic.…”

“…Nurhayati et al [2] posit significant differences in risk before and during the 2008 economic crisis. Nurhayati et al [2] conduct a performance comparison through the Sharpe Ratio on stocks classified as optimal portfolios before and during the pandemic. The results prove differences in portfolios before and during the Covid-19 pandemic.…”