Jensen Methods Research Articles

Analisis Perbandingan Kinerja Reksadana Saham dan Unit Linked Saham Pasca Pandemi COVID-19

This study, conducted with meticulous attention to detail, aims to test whether there is a difference in the performance of stock mutual funds and stock unit-linked funds after the COVID-19 pandemic. The sample of this study consists of 30 stock mutual funds and 9 stock unit links traded on the capital market in 2022. The performance of stock mutual funds and stock unit links is measured using the Sharpe, Treynor, and Jensen methods. The data analysis method uses the Independent Sample t-test, a two-mean difference test between the performance of stock mutual funds and stock unit-linked funds. Hypothesis testing uses a significance level of 5%. The study results show that (1) there is no difference in the performance of Stock Mutual Funds and Stock Unit Links after the COVID-19 pandemic using the Sharpe, Treynor, and Jensen methods. (2) The best-performing Stock Mutual Funds after the COVID-19 pandemic are MNC-Dana Syariah Equitas and BNP-Paribas Solaris. In contrast, the best-performing Unit Linked fund after the COVID-19 pandemic is the Sucorinvest Equity Fund.

COMPARISON OF BONDS PERFORMANCE WITH SYARIAH BONDS (SUKUK)

The purpose of this study is to determine the comparison of bond performance with sharia bonds (sukuk) in 2010-2023. This study uses quantitative calculations with a comparative type of research. The data used are sourced from secondary data from OJK. This study uses a population, namely the capitalization of sharia bond performance data (sukuk) compared to the capitalization of bond performance data, using the Sharpe, Jensen method for the 2010-2022 period (monthly data) in the Indonesian Capital Market. Data analysis was carried out using the Sharpe and Jensen methods and using the MANOVA test with the help of the SPSS statistical application program. The results of this study indicate that the performance of sukuk with bonds using the Sharpe and Jensen methods is not significantly different. This shows that the sukuk return and the bonds based on the Sharpe and Jensen methods that will be received will be relatively the same.

Differences of Performance Measurement in Mutual Funds and Their Impact on Investment Decisions

This study discusses the performance of mutual funds in the capital market, divided into conventional and sharia mutual funds. The population of this research is all mutual funds, both conventional and sharia, which are traded on the Bibit application platform. Total of 77 conventional mutual funds and 31 sharia mutual funds. Based on sampling, 17 conventional mutual funds and 9 sharia mutual funds were obtained. The research observation period spans from 2021 to 2023. This research uses a quantitative approach with the Risk-Adjusted Return method, consisting of the Sharpe, Treynor, and Jensen methods. Then it will analyze the differences in performance between conventional and sharia mutual funds. The Mann-Whitney U Test is the analysis technique employed using SPSS 25. The results showed that there was no difference in performance between conventional mutual funds and sharia mutual funds based on the Shape, Treynor, and Jensen methods.

Analisis Komparatif Kinerja Reksadana Saham & Reksadana Indeks Berdasarkan Metode Sharpe, Treynor, dan Jensen

Mutual fund get investors attention cause the risk rate are smaller than the other investment instrument, its because mutual fund are managed by a reliable party on investment called professional management. Different types of mutual funds offer different ranks of risk and return. This study use secondary data and independent sample t-test analysis technique with computer assist program SPSS 13 to compare performance between equity fund that use active management strategies and mutual fund index that use passive management strategies. Test result show that performance between equity fund and mutual fund index measured using sharpe, treynor and jensen methods are don’t have significant performance differences. So investors are free to invest their money on equity fund instrument or mutual fund index, cause its return and risk are similar.

Asset Selection and Portfolio Management on LQ 45 Using Active and Passive Management Strategy

The aim of this research is to build a stock portfolio contained in the LQ 45 index using passive and active strategy methods based on financial report data published during the 2016-2019 period, choosing that year to avoid abnormal performance during Covid year between 2020 - 2022. To form the portfolio, it is grouped based on high, medium and low Tobin's Q values and high, medium and low of ROE. To measure the performance of the portfolio using we used Sharpe, Treynor and Jensen methods. The research results show that using an active strategy shows the highest average total return of 19.97% with a risk of 18.23%, followed by an annual active management strategy and then semi-annual active management. Meanwhile, using a passive management strategy shows that the medium ROE group produces an optimum portfolio, while the annual active and semi-annual active groups show that the optimum portfolio is in the medium Tobis' Q group. The varied results contradict the research conducted by Pasaribu (2009), Hidayat and Hendrawan (2017), Hendrawan and Salim (2017), and Hendrawan et al. (2020). In contrast to the research conducted by Pham (2018), the composition of ROE is more capable of providing higher returns than the Tobin's Q composition. This research also shows varied results of the ROE portfolio, in contrast to Barka and Hamza (2019).

Analysis of Investment Performance of Islamic Mutual Funds in Indonesia Using Sharpe, Treynor and Jensen Methods

Analysis of Investment Performance of Islamic Mutual Funds in Indonesia Using Sharpe, Treynor and Jensen Methods

Comparative Analysis of Indonesia and Malaysia Sharia Stock Index Performance Using Sharpe, Treynor, and Jensen Methods

Comparative Analysis of Indonesia and Malaysia Sharia Stock Index Performance Using Sharpe, Treynor, and Jensen Methods

Analysis of Sri-Kehati Stock Performance in The Period Before and During Covid-19 Using The Sharpe, Treynor, and Jensen Methods

This research aims to compare the performance of the SRI-KEHATI index stocks before and during the COVID-19 period using the Sharpe Ratio, Treynor Ratio, and Jensen's Alpha. A quantitative method with a descriptive approach was used in this study, utilizing secondary data. Sample data selection employed a non-probability method with a purposive sampling technique from a single population. Statistical tests were then conducted using paired sample t-test to examine whether there is a difference in portfolio performance among the stocks in the SRI-KEHATI index between the periods before and during the COVID-19 pandemic using the Sharpe, Treynor, and Jensen methods. The results of this research indicate that there was a notable contrast between the periods before and during the COVID-19 pandemic when utilizing the Sharpe Ratio and Treynor Ratio measurement methods. However, this discrepancy was not observed when employing the Jensen Method, as there was no significant difference detected between the two periods.

Comparison Of The Performance Of Sharia Stock Mutual Funds With The Performance Of Conventional Stock Mutual Funds

This study aims to determine the differences in the performance of Islamic stock mutual funds with the performance of conventional stock mutual funds. This type of research is a descriptive statistical analysis with a sample population of Islamic stock mutual funds and conventional stock mutual funds that are actively listed on the IDX for the 2016-2020 period. The sample selection used the purpose sumpling technique. Purpose sampling method is a sampling method based on certain criteria. The method used is the Independent Sample T Test different test. The mutual funds tested were the performance of sayriah stock mutual funds and the performance of conventional stock mutual funds based on the value of return and risk of mutual funds using the Sharpe, Treynor, Jensen and MM methods. The results of this study indicate that there is a significant difference between the performance of Islamic stock mutual funds and the performance of conventional stock mutual funds.

DIFFERENCES IN STOCK PERFORMANCE OF THE SRI-KEHATI AND LQ45 INDEX THROUGH RISK-ADJUSTED RETURN METHOD

This research aims to examine differences in stock performance between the SRI-KEHATI and LQ45 indices using the risk adjusted return method through the Sharpe, Treynor and Jensen ratios. Testing was carried out from 2020 to 2022 on fifteen SRI-KEHATI index shares and fifteen LQ45 shares using the Mann-Whitney test, Independent Sample t Test, and Kruskal-Wallis test. The research results show that there are no differences in stock performance in the two indices using the Sharpe method, Treynor and Jensen methods. It was also found that there were differences between the three methods in the SRI-KEHATI and LQ45 indexes, where the Treynor method was the most consistent method in measuring the performance of the two indices. Overall, the LQ45 index is superior based on average stock performance, especially in the 2020 and 2021 periods, so it can outperform the increase in the SRI-KEHATI index in 2022.

Comparative performance analysis of bitcoin cryptocurrency, stocks and gold as investments alternative

Based on data from the Indonesian Central Securities Depository (KSEI), more people are investing in the capital market due to easy access and education through technology. This study compares the performance of Bitcoin, stocks, and gold to help investors make informed choices. The sample consists of monthly closing prices for these three investments from January 1, 2018, to April 30, 2023, with a total of 192 data. Results show no significant return difference between Bitcoin, LQ45 stock, and UBS gold. However, there are significant differences in risk between these three investments. Performance calculations using Sharpe, Treynor, and Jensen methods also show significant differences. Based on the research, LQ45 stock is the best investment option for investors.

COMPARATIVE ANALYSIS OF SHARIA AND CONVENTIONAL STOCKS PORTFOLIO PERFORMANCE USING SHARPE, TREYNOR AND JANSEN METHODS

The Sharia capital market emerged as an alternative vehicle for the investor community to invest in the financial world in accordance with Sharia principles. As an alternative investment vehicle, the Sharia capital market is of course also targeted by investors who care about Sharia in addition to the general objective as a vehicle used to a profitable investing. Based on this basic framework, this research was conducted with the aim of analyzing and comparing stock performance in the form of stock portfolios between Sharia-based and conventional one. The JII70 stock index was used as an object for the Sharia stock portfolio, while the conventional stock portfolio was represented by the LQ45 index. The performance assessment used on these two portfolios was a portfolio performance assessment using the Sharpe, Treynor, and Jensen methods during the Covid-19 pandemic. The performance of these stock portfolios according to the three methods showed positive results. The performance of the JII70 stock portfolio was lower than the LQ45 index although it is insignificant. Meanwhile, according to the Treynor index, the performance of the JII70 was better than the LQ45 although it is insignificant.

Prevalence of tuberculosis and associated factors among presumptive TB refugees residing in refugee camps in Ethiopia

BackgroundTuberculosis (TB) causes significant morbidity and mortality in refugee populations. Although Ethiopia is the third largest refugee-hosting country in Africa, there is limited published data on the prevalence and associated factors of TB in refugees. The objective of this study was to estimate the prevalence of bacteriologically confirmed pulmonary TB (PTB) and explore associated factors in presumptive TB refugees residing in refugee camps in Ethiopia.MethodsA facility-based cross-sectional study was conducted between February and August 2021 in refugee camps in Ethiopia. Data were collected consecutively from 610 presumptive TB refugees who attended for TB diagnosis in selected refugee camp clinics in Ethiopia. A pre-tested questionnaire was used to collect data, and sputum samples were collected from eligible study participants. The Xpert Mycobacterium tuberculosis (MTB)/Rifampicin (RIF) assay was performed on direct spot sputum samples, whereas morning sputum samples were processed and inoculated for bacteriological culture using Mycobacterium Growth Indicator Tube (MGIT) and Lowsteen Jensen (LJ) methods. The statistical software package (STATA version 14) was used for statistical analysis. A logistic regression model was used for the evaluation of the association between bacteriologically confirmed TB cases and the associated factors. Descriptive statistics were used for the expression of the results, and statistical significance was assumed at p < 0.05.ResultsOut of 610 study participants, more than half were female (54.9%), and the mean age was 37.9 years (SD, 16.64). The prevalence of bacteriologically confirmed PTB cases among refugees residing in refugee camps in Ethiopia was 13.3% (95% CI, 10.7–16.2%) using the Xpert MTB/RIF assay and/or culture. MTB was detected in 12.8% (95% CI, 10.2–15.7%) of the individuals using the Xpert MTB/RIF assay, while culture positivity was observed in 11.6% (95% CI, 9.2–14.5%). The multivariable logistic regression model showed South Sudan origins (adjusted odds ratio, AOR = 7.74; 95% CI, 3.05–19.64), age group, 19–38 years old (AOR = 5.66; 95% CI, 1.86–17.28), and male sex (AOR = 2.69; 95% CI, 1.58–4.56) were significantly associated with the bacteriologically confirmed TB among refugees residing in refugee camps in Ethiopia.ConclusionThe prevalence of bacteriologically confirmed PTB among presumptive TB refugees residing in refugee camps in Ethiopia was high. The national TB program should strengthen TB prevention and control activities in the refugee camps of Ethiopia. Moreover, an active TB survey program should be implemented in refugee camps in Ethiopia.

Performance Comparative Analysis of Sharia Mutual Funds and Conventional Mutual Funds

This study aims to compare the performance assessment of Islamic and conventional mutual funds for 2017-2021. This study uses quantitative research, which analyzed the performance of Islamic and conventional mutual funds for 2017-2021. This study relies on secondary data collected from the official website of the Financial Services Authority (OJK). The research compares the performance of Islamic stock mutual funds, mixed mutual funds (comprising both Islamic and conventional funds), and mixed conventional mutual funds using the Sharpe, Treynor, and Jensen methods. Among these methods, the Sharpe method stands out as providing a superior performance evaluation compared to Treynor and Jensen. Both Islamic and conventional stock mutual funds receive a positive assessment, deemed as "good." However, in the case of mixed sharia mutual funds and conventional mutual funds, the former is considered to have a better assessment due to its perceived safety, offering a more secure alternative compared to conventional mutual funds, which carry higher risk.

ANALYSIS OF STOCK PORTFOLIO PERFORMANCE USING THE SHARPE, TREYNOR AND JENSEN METHODS

This study aims to find out whether using the single index method will produce an optimal portfolio of Jakarta Islamic Index 70 (JII70) stocks listed on the IDX for the 2019-2022 period and continue to assess its performance using the Sharpe Ratio, Treynor and Jensen methods to find out the best method in assessing the performance of stock portfolios formed in a period. The selection of this research sample was used based on purposive random sampling technique. This study used the One Way of Variance by Rank Kruskal-Wallis different test. In this study, the Sharpe, Treynor, and Jensen values were standardized through the Z-score transformation (standardized) followed by the Mean Rank difference test between treatments. The test results using the Kruskal-Wallis test were obtained with a probability of 0.000. It is known that the probability of testing ≤ 0.05. These results indicate that there are significant differences between the tests with the Sharpe, Treynor, and Jensen methods. Thus, the null hypothesis H0 in this study was rejected. The test results between the three treatment differences in mean rank, showed no significant difference between each treatment because Jensen had the lowest difference in mean rank to Sharpe and Treynor. Jensen's method has a mean difference the lowest rank against Sharpe and Treynor, meaning that Jensen is the most consistent with indifference. Based on the results of the issuer's Jensen method analysis.

Analisis Kinerja Portofolio Saham Menggunakan Metode Sharpe, Treynor dan Jensen

The purpose of this study was to determine the optimal stock portfolio performance on the LQ45 stock index on the Indonesia Stock Exchange for the period February 2019- December 2022. The data analysis method uses a single index model to form an optimal portfolio and uses the Sharpe, Treynor, and Jensen index methods to assess performance stock portfolio. Based on the results of the analysis of optimal portfolio formation, it shows that out of 30 samples of LQ45 index stocks, 8 stocks were obtained which included optimal portfolio stocks, namely ERB values &gt; C*, namely ADRO, ANTM, BBCA, BRPT, INCO, INDY, ITMG, &amp; MEDC stocks. the results of the stock portfolio performance appraisal analysis show that of the three portfolio performance appraisal index methods, the calculation of stock performance analysis, the average value of the Sharpe method is 0.1241, while the treynor method is 0.0112, and the Jensen method is 0.0334. The highest performance of the third method is the Sharpe method with an average performance value of 0.1241. So the Sharpe method is the best performance method compared to the Treynor and Jensen methods. The higher the Sharpe index value, the better the performance of the stock portfolio.

Analyzing the Ability of Investment Managers in Equity Mutual Funds during the Covid-19 Pandemic in Indonesia

Mutual fund is one of the investment instruments widely used as an investment option. There are two essential things to be considered by the Investment Manager as a mutual fund manager: the stock selection and the market timing ability. The Covid-19 pandemic has caused many investors to experience potential investment losses. Understanding stock selection and market timing will be needed for determining which Investment Managers perform well in managing equity mutual fund, especially while dealing with the Covid-19 pandemic. The objective of this study is to analyze the ability of Investment Managers to perform stock selection and market timing, the performance of equity mutual fund, and the effect of stock selection and market timing ability on the performance of equity mutual fund in Indonesia. This study applies the Fama net selectivity methods to assess stock selection ability and Treynor-Mazuy and Henriksson-Merton models to analyze market timing ability. Sharpe, Treynor, and Jensen's alpha methods are also used for measuring mutual fund performance. The data is processed per mutual fund to recognize each mutual fund's stock selection and market timing ability. Furthermore, the research spans two time periods: before and following the Covid-19 pandemic. A dataset of 104 equity mutual funds from 2016-2021 has been analyzed. The findings show that only 9 and 12 Investment Managers have stock selection ability prior to and following the Covid-19 pandemic, respectively. According to Treynor Mazuy model, there are only two Investment Managers with market timing ability prior to the Covid-19 pandemic, and only twelve Investment Managers have market timing ability during the Covid-19 pandemic, according to the Henriksson-Merton model. Every mutual fund with stock selection ability outperformed the benchmark. However, not all equity mutual fund with market timing ability outperformed the benchmark.

The Comparison of the performance of crypto assets, stocks, bonds, and gold in Indonesia during Covid-19 Pandemic

This study aims to determine whether crypto assets are suitable as an alternative investment when compared to the performance of the LQ 45 stock index, 10-year Indonesian Government Bonds, and Antam's precious metal in the form of gold. The measurement of the performance of an investment is not only seen from the rate of return but also needs to pay attention to the risks to be borne, then the performance measurement is used using the Sharpe, Treynor, and Jensen measurement methods. The three models base their analysis on past rates of return to determine the compensation for the returns obtained for each measure of risk borne. This study used descriptive analysis with case study methods, while hypothesis testing was carried out by nonparametric statistical tests using Kruskal-Wallis H because there were more than two independent variables. The values of the Sharpe Index and Jensen Index show that Bitcoin investment instruments are the highest-performing instruments while the LQ45 stock index is the lowest. The conclusion of this study shows that there is no significant difference between investment performance using the Sharpe method, while in the Treynor and Jensen methods, there are significant differences.

Analisis perbandingan evaluasi knerja portofolio saham sebelum dan di masa pandemi COVID-19 di IDX 30

Economic conditions during the Covid-19 pandemic caused portfolio changes when the stock market experienced volatility in March 2020. This impact had an impact on the weak performance of the IDX30 so that many investors experienced panic selling at that time. This is due to the lack of investor knowledge about the formation of stock portfolios, one of which is by using CAPM. This study aims to analyze the formation of a stock portfolio measured using CAPM and analyze the presence / absence of differences in the evaluation of stock portfolio performance as measured using the Sharpe index, Treynor index and Jensen index. These results show the H0 hypothesis is accepted which means that there is no significant difference between testing with the Sharpe, Treynor, and Jensen methods both before and during the Covid 19 pandemic. The test results between treatments both before the Covid-19 pandemic showed that the third difference in the average ranking of the Treynor index, while during the covid-19 pandemic it was the Jensen Index which showed the greatest consistency with the uncertainty between the three measurements.

Evaluation of Reference Evapotranspiration Estimation Methods for the Assessment of Hydrological Impacts of Photovoltaic Power Plants in Mediterranean Climates

Large-scale photovoltaic (PV) power plants may affect the hydrological cycle in all its components. Among the various components, evapotranspiration is one of the most important. As a preliminary step for assessing the impacts of PV plants on evapotranspiration, in this study, we performed an evaluation study of methods for estimating reference evapotranspiration (ETo). FAO and ASCE recommend the Penman–Monteith (PM) method for the estimation of ETo when the data for all involved variables are available. However, this is often not the case, and different empirical methods to estimate ETo, requiring mainly temperature data, need to be used. This study aimed at assessing the performance of different temperature- and radiation-based empirical ETo estimation methods against the standardized PM ETo method in an experimental photovoltaic power plant in Piazza Armerina, Sicily, Italy, where a meteorological station and a set of sensors for soil moisture were installed. The meteorological data were obtained from the Lab from July 2019 to end of January 2022. By taking the ETo estimations from the PM method as a benchmark, the study assessed the performance of various empirical methods. In particular, the following methods were considered: Hargreaves and Samani (HS), Baier and Robertson (BR), Priestley and Taylor (PT), Makkink (MKK), Turc (TUR), Thornthwaite (THN), Blaney and Criddle (BG), Ritchie (RT), and Jensen and Haise (JH) methods, using several performance metrics. The result showed that the PT is the best method, with a Nash–Sutcliffe efficiency (NSE) of 0.91. The second method in order of performance is HS, which, however, performs significantly worse than PT (NSE = 0.51); nevertheless, this is the best among methods using only temperature data. BG, TUR, and THN underestimate ETo, while MKK, BG, RT, and JH showed overestimation of ETo against the PM ETo estimation method. The PT and HS methods are thus the most reliable in the studied site.