Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.

Ermal M, Eky (2016) Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index. Masters thesis, Universiti Sains Malaysia.

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    Abstract

    Kajian ini bertujuan untuk mengkaji prestasi indeks SRI Kehati berbanding Indeks Komposit Jakarta sebagai indeks pasaran. Dengan menggunakan saringan dalam kriteria pelaburan, pelaburan bertanggungjawab sosial ini adalah berbeza dengan pelaburan konvensional. Menerusi sampel harga indeks harian SRI Kehati berbanding dengan Indeks Komposit Jakarta, kajian ini meliputi tempoh data dari 1 Januari 2009 sehingga 31 Disember 2014. Kajian ini menggunakan pulangan purata dan sisihan piawai, pulangan risiko terlaras yang merangkumi Indeks Sharpe, Indeks Sharpe Terlaras (ASI), Indeks Treynor, Indeks Jensen Alpha, Indeks Jensen Alpha Terlaras (AJI) dan indeks Sortino untuk mengkaji prestasi. Hasil kajian menunjukkan bahawa pulangan purata indeks SRI Kehati berprestasi kurang baik berbanding Indeks Komposit Jakarta sebagai indeks konvensional pada tempoh keseluruhan, akan tetapi berprestasi baik selama empat tahun (2011-2014) dengan campuran profil pulangan yang signifikan dan tidak signifikan. This study aims at examining the performance of the SRI Kehati index against the Jakarta Composite index as the market index. By applying screening in investment criteria, this Socially Responsible Investment is different from the conventional investment. Using the sample of daily index price of SRI Kehati Index and Jakarta Composite Index, this study covers a period from 1 January 2009 to 31 December 2014. This study uses the mean return and the standard deviation, the risk-adjusted return inclusive of the Sharpe Index, the adjusted Sharpe Index (ASI), the Treynor Index, the Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and the Sortino ratio index to examine the performance. The results shows that the mean return of SRI Kehati index underperforms against JCI as the conventional benchmark index in overall period but outperform for four years (2011 to 2014) with mix of significant and non significant return profile.

    Item Type: Thesis (Masters)
    Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28-70 Management. Industrial Management
    Divisions: Pusat Pengajian Pengurusan (School of Management)
    Depositing User: Mr Noorazilan Noordin
    Date Deposited: 30 Dec 2016 09:33
    Last Modified: 30 Dec 2016 09:33
    URI: http://eprints.usm.my/id/eprint/31353

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