Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
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Date
2016-02
Authors
Ermal M, Eky
Journal Title
Journal ISSN
Volume Title
Publisher
Universiti Sains Malaysia
Abstract
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. The standard deviation of SRI Kehati is consistently higher and significant against JCI in annual an overall period. This condition supports the hypothesis that SRI Kehati is riskier than JCI. Except Sharpe ratio and adjusted Sharpe ratio, the risk-adjusted return performance of the SRI Kehati index, (Treynor, Jensen alpha, Adjusted Jensen alpha and Sortino ratio) outperforms JCI as the conventional benchmark index. However, the Jensen alpha is the only performance measure that is significant and therefore supporting that Sri Kehati outperforms the JCI during the overall period of 2009-2014. The discussions of these findings are slightly different with majority of the previous literature. The findings that exhibit a slightly lower mean return of Sri Kehati Index in the overall period could be related to the screening method of investment that limits the portfolio diversification. The same argument is also associated with the outcome that SRI Kehati is riskier than JCI. As there is a contradiction between adjusted return of Sharpe Index/ Adjusted Sharpe Index and Jensen Alpha Index, the hypothesis that Sri Kehati presents higher risk adjusted performance than JCI cannot be accepted. Even though the performance of Sri Kehati in this study is slightly lower in the overall period, but it is still generate competitive results. Annual results of mean returns from 2011 to 2014 give evidence that the return of Sri Kehati to certain extent outperforms the conventional market.
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Keywords
Investment