Analisis Perbandingan Kinerja Green Portofolio Optimal Pada Strategi Aktif Dengan Metode Sharpe, Treynor, Dan Jensen Pada Indeks Saham SRI-KEHATI Sebelum Dan Setelah COVID-19

Abstract

This study aims to comparatively analyse the performance of an optimal green portfolio on the SRI-KEHATI stock index using an active strategy approach before and after the COVID-19 pandemic. The optimal portfolio was constructed using the Single Index Model (SIM) approach and then evaluated using three risk-adjusted performance measurement methods: the Sharpe ratio, Treynor ratio, and Jensen’s Alpha. The data used covers the periods before COVID-19 (2019–2021) and after COVID-19 (2022–2024), taking into account significant changes in market dynamics. To test for differences in portfolio performance between the two periods, the non-parametric Mann-Whitney U-Test was employed. The results show significant differences in the Sharpe and Jensen ratios before and after the pandemic, reflecting changes in risk-adjusted returns and the portfolio manager’s ability to generate alpha. However, the Treynor ratio did not show significant differences, indicating that compensation for systematic risk tended to remain stable across both periods. These findings offer important implications for investors implementing sustainable investment strategies in fluctuating market conditions.