ANALISIS KINERJA SAHAM PADA SUBSEKTOR MAKANAN DAN MINUMAN DI BURSA EFEK INDONESIA DENGAN MODEL SHARPE MODEL JENSEN DAN MODEL TREYNOR PADA PERIODE 2018-2022

There are 3 parameters that can be used to measure portfolio performance developed by William Sharpe, Jack Treynor, and Michael Jensen. These three performance measurements are called Sharpe performance measures, Treynor performance measures and Jensen performance measures. These three performance measurements assume a linear relationship between portfolio returns and returns from several market indexes. This research aims to see differences in stock performance in the food and beverage sub-sector when measured using the Sharpe, Jensen and Treynor method.
The hypothesis is whether there is a difference in stock performance when measured using the Sharpe Jensen and Teynor Method. The test used is a different test using One Way of Variance by Rank with Kruskal-Wallish using a non- parametric test because the data in this study has been standardized with the Z- Score transformation.
The research objects highlighted are food and beverage subsector companies listed on the Indonesia Stock Exchange. Considering that Indonesia is a developing country, apart from economic and environmental factors, consumption is an important factor which plays an important role in contributing to Indonesia's economic growth.
The test results using the Kruskal Wallish test for the three methods obtained 2χ = 4.628, with a probability of 0.099. So it can be seen that the test probability is
> 0.05 and χ2 calculated < χ2 table (49.4750). These results indicate that there is no significant difference between tests using the Sharpe, Treynor and Jensen methods. Treynor, and Jensen, namely with Z-score transformation (Standardized). The results of the Z-score transformation show that the Sharpe index places the STTP (Siantar Top Tbk) portfolio, which occurred in 2020, as the first rank. Meanwhile, the Treynor index produces the DLTA (Delta Djakarta Tbk) portfolio which will be ranked first in 2021. The Jensen Index produces the TBLA (Tunas Baru Lampung
Tbk) portfolio which in 2020 will be ranked first