Zulkafli, Abdul Hadi and Ahmad, Zamri and M., Eky Ermal
(2017)
The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI).
Gadjah Mada International Journal of Business, 19 (1).
pp. 59-76.
ISSN 1141-1128
Abstract
This study examines the performance of the Sri Kehati Index (SKI) against the Jakarta Composite
Index (JCI) as the market index, using respective daily index prices from the 1st of January 2009 to
the 31st of December 2014. This study uses the risk-adjusted return of Sharpe’s Index, the Adjusted
Sharpe’s Index (ASI), Treynor’s Index, Jensen’s Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and
Sortino’s Ratio to examine the performance of the SKI and the JCI. Except for Sharpe’s Index and the
Adjusted Sharpe’s Index, the risk-adjusted return performance of the SKI (Treynor, Jensen’s Alpha,
Adjusted Jensen’s Alpha and Sortino) outperforms the JCI as the conventional benchmark. However,
Jensen’s Alpha is the only performance measure that is significant and therefore supports that the SKI
outperforms the JCI during the overall period from 2009 to 2014. As there is a contradiction between
the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index and Jensen’s Alpha Index, the hypothesis
that the SKI presents a higher risk adjusted performance than the JCI does, it cannot be accepted. Even
though the performance of SKI in this study is slightly lower over the whole period of the study, it is still
generating competitive returns.
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