The impact of COVID-19 on formation and evaluation of portfolio performance: A case of Indonesia

This paper examines how to build a portfolio and assess the impact of COVID-19 on performance using Sharpe single index model. The research sample consists ten high market capitalization stocks representing five price fractions population listed Indonesia Stock Exchange during outbreak from March 1 May 31, 2020. results show that there are four included in formation, namely CASA with proportion 50%, BNLI 26 %, UNVR 15%, HMSP 9%. Based testing model, it is known has negative ratio, meaning underperforming. findings provide evidence had stock so many investors have suffered losses their portfolios. implications must evaluate restructure formation new portfolios by considering pandemic as systematic risk factor can determine expected returns.