RISK ADJUSTED RETURN ANALYSIS OF PUBLICLY LISTED MULTI FINANCE COMPANY IN INDONESIA USING SHARPE INDEX, TREYNOR RATIO, AND JENSEN ALPHA FINAL PROJECT

• Main Author: Syaifuddin Yusuf, Handitya
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/62092
• Institution: Institut Teknologi Bandung

This research analyzes the risk adjusted return of publicly listed Multi Finance companies in Indonesia by using Sharpe Index, Treynor Ratio, and Jensen Alpha. The companies evaluated are Adira Dinamika Multi Finance Tbk (ADMF), Buana Finance Tbk (BBLD), BFI Finance Indonesia Tbk (BFIN), Batavia Prosperindo Finance Tbk (BPFI), Clipan Finance Indonesia Tbk (CFIN), Danasupra Erapacific Tbk (DEFI), Fuji Finance Indonesia Tbk (FUJI), Radana Bhaskara Finance Tbk (HDFA), Intan Baruprana Finance Tbk (IBFN), Indomobil Multi Jasa Tbk (IMJS), Mandala Multifinance Tbk (MFIN), Pool Advista Finance Tbk (POLA), Tifa Finance Tbk (TIFA), Trust Finance Indonesia Tbk (TRUS), Verena Multi Finance Tbk (VRNA), Wahana Ottomitra Multiartha Tbk (WOMF). Data used in this research is weekly closing price of each respective companies, while risk-free rate is taken from Bank Indonesia (BI) rate during the period of May 2017 to May 2021. Data were obtained from Yahoo Finance and Bank Indonesia official website. The results obtained in this study is that based on Sharpe Index and Jensen Alpha, all publicly listed Multi Finance companies in Indonesia are good investment option, as they are able to gain positive score on both measurements, indicating that all companies are performing better than risk-free investment instrument per total risk when viewed based on Sharpe Index, and better than the market when viewed based on Jensen Alpha. However, only 13 companies were able to perform better than the risk-free instrument based on Treynor Ratio, which means that the 13 companies are good investment options and are performing better than risk-free investment instrument per systematic risk. 3 companies, IBFN, HDFA, and TRUS were unable to achieve positive score in this measurement, which means that the 3 companies are not good investments and are performing worse than the risk-free investment instrument per systematic risk. TIFA is the best performing company within this research, as it manages to top the score in Sharpe Index and is consistently scoring within the top 4 of the other 2 measures. On the other hand, CFIN is the worst performing company within this research as it scores the worst result on Sharpe Index and Jensen Alpha along with fourth worst score on Treynor Ratio. Investors or Potential Investors are expected to use the findings of this research as a part of a bigger analysis prior to investment. It is wiser to analyze the companies further using different metrics in order to find the best possible investment option. Future researcher should utilize more measurements in order to give a more comprehensive information regarding the risk adjusted return of publicly listed Multi Finance companies in Indonesia. Some examples are by using the Adjusted Sharpe Index to eliminate the bias in estimating standard deviation or Information Ratio to calculate excess returns against a