ANALISIS PERBEDAAN KINERJA PORTOFOLIO SAHAM SEKTOR OTOMOTIF YANG TERCATAT DI BURSA EFEK INDONESIA PERIODE 2019-2022 DENGAN METODE SHARPE, TREYNOR, DAN JENSEN

This study aims to determine whether there are differences between the Sharpe, Treynor, and Jensen methods in measuring the performance of the automotive sector stock portfolio. This study uses the One Way of Variance by Rank Kruskal Wallis test. In this study, the values of Sharpe, Treynor, and Jensen were standardized through Zscore transformation (standardized) followed by a Mean Rank difference test between treatments to determine which index performance was most consistent. The test results using the Kruskal Wallis test obtained χ2 = 0.115, with a probability of 0.944. It is known that the test probability > 0.05. These results indicate that there is no significant difference between testing using the Sharpe, Treynor, and Jensen methods. Thus, H0 in this study is accepted. The test results between the three treatments, namely the mean rank difference test, show that there is no significant difference between each treatment because the difference is not too far. The Sharpe and Treynor methods have the lowest mean rank difference, meaning that the Sharpe and Treynor methods are the most consistent with no difference.