Analysis of Markowitz Portfolio Performance Evaluation on IDX Quality 30 with the Jensen Alpha Method

Abstract

The capital market has an important role in the economy as a funding medium and a means for companies to obtain funds from investors. This study aims to evaluate the Markowitz Optimal Portfolio using Jensen Alpha at IDX Quality 30. Evaluation is carried out after the portfolio is formed using the Markowitz Model, then the performance is measured with Jensen Alpha to show that the portfolio is producing risk-adjusted returns that exceed the expected returns. The method used was descriptive quantitative with purposive sampling techniques based on certain criteria, using weekly data from January - December 2024. 24 stocks were selected as samples. The optimal portfolio consists of 8 stocks, namely ADRO (4.14%), BBCA (42.85%), BFIN (0.94%), MYOR (28.05%), SIDO (13.86%), and UNTR (4.42%), with portfolio return expectations (0.19%) and risk (1.65%). Evaluation using Jensen Alpha shows that UNTR shares have the best performance based on the SML approach with an alpha value of 14.89%, while ADRO shares show the best performance based on the CML approach with an alpha value of 24.92%, which shows a performance above market expectations. The portfolio's performance was also positive with alphas of 7.63% (SML) and 13.62% (CML). The Markowitz and Jensen Alpha models complement each other in the concept  of Risk-Management and can be used to manage and evaluate portfolios in the midst of declining market conditions.