PERFORMANCE EVALUATION AND RISK AVERSION RATE FOR SEVERAL STOCK INDICES IN INDONESIA STOCK EXCHANGE

Abstract

There are numerous stock indices in Indonesia Stock Exchange. Several of them are LQ-45, MBX, DBX, JII, SRI-KEHATI, PEFINDO-25, BISNIS-27, IDX-30 and KOMPAS-100. Unfortunately there are limi­ted researches which have been done to measure those indices performance specifically. The same condition also occurs on risk aversion level usage in Indonesia Stock Exchange, only few numbers of researches use this me­a­surement in the portfolio valuation. Based on that, this research measured the performance and risk aversion rate of those indices in Indonesia Stock Exchange. The results of this study were SRI-KEHATI becomes the best performer with the highest risk aversion rate, while Jakarta Islamic Index (JII) produces the lowest positive per­formance with the lowest risk aversion rate. This finding shows that sharia stocks’ characters (i.e. usury free) could give relieveness and convenience regardless its per­formance.

Keywords

• Portfolio performance evaluation; sharpe ratio; treynor ratio; risk aversion rate.