Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
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All Journal Journal of Management
R Lutfi Zakaria
Universitas Kebangsaan Republik Indonesia
Economics, Econometrics & Finance

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Comparative Analysis Of Cryptocurrency And Lq45 Stock Portfolio Performance Using Sharpe, Treynor, And Jensen Methods R Lutfi Zakaria; Suharyanto; Gema Merdeka Goeyardi; Made Kamisutara; Rony Wardhana
Journal of Management Vol. 5 No. 2 (2026): July-December
Publisher : Yayasan Pendidikan Belajar Berdikari

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Abstract

This study compares the risk-adjusted performance of a cryptocurrency portfolio and an LQ45 stock portfolio on the Indonesia Stock Exchange using the Sharpe, Treynor, and Jensen methods. The sample consists of five major cryptocurrencies (Bitcoin, Ethereum, BNB, Solana, and XRP) and ten LQ45 stocks, observed monthly from January 2021 to June 2026 (66 months), with the Jakarta Composite Index (JCI) as the market benchmark and the Bank Indonesia (BI) Rate as the risk-free rate. Equal-weighted portfolios are formed for each asset class, and differences in performance are tested using the Jobson–Korkie test with Memmel’s correction. The results show that the cryptocurrency portfolio delivers a much higher annualized return (44.1% versus 0.8%) and higher Sharpe, Treynor, and Jensen values than the LQ45 portfolio, but at the cost of extreme volatility and a maximum drawdown of 91%. The difference in Sharpe ratios is not statistically significant over the full sample, though it is significant in 2021–2023. Rankings across the three measures are broadly consistent. Adding a small allocation of cryptocurrency (5–10%) to an LQ45 portfolio improves its Sharpe ratio. The findings suggest that cryptocurrency is better viewed as a small satellite allocation than as a substitute for blue-chip stocks.
Co-Authors Gema Merdeka Goeyardi Kamisutara, Made Rony Wardhana Suharyanto