摘要：This study is intended for knowing the Sustainable and Responsible Investment (SRI) stock portfolio performance in the Indonesia Stock Exchange (IDX). SRI is a concept where the investor is not only considering financial performance,but also non-financial aspects in the company such as Environmental,Social,and Governance (ESG). The main objective of this study is to compare the performance of the SRI portfolio with the performance of comparable portfolios. Is the performance of the SRI portfolio in IDX better than conventional portfolio and Islamic portfolio? To answer this question,the SRI portfolio will be formed from SRI-KEHATI Index (SRI), a conventional portfolio will be formed from the LQ45 index,and the Islamic portfolio will be formed from Jakarta Islamic Index (JII). The performances of those three portfolios will be compared based on alpha value,Sharpe Ratio,Treynor Ratio,and Sortino Ratio. This study result shows that the SRI portfolio performance in IDX is better than the conventional portfolio and Islamic portfolio. That performance occurs because the average of SRI portfolio excess return has positive value during the study period.
其他摘要：Penelitian ini bertujuan untuk mengetahui kinerja portofolio saham Sustainable and Responsible Investment (SRI) di Bursa Efek Indonesia (BEI). SRI merupakan sebuah konsep dimana investor tidak hanya mempertimbangkan kinerja keuangan,tetapi juga aspek non keuangan dalam perusahaan seperti Lingkungan,Sosial,dan Tata Kelola (LST). Tujuan utama penelitian ini adalah membandingkan kinerja portofolio SRI dengan kinerja portofolio pembanding. Apakah kinerja portofolio SRI di BEI lebih baik dari portofolio konvensional dan portofolio syariah? Untuk menjawab pertanyaan tersebut maka akan dibentuk portofolio SRI dari Indeks SRI-KEHATI (SRI),portofolio konvensional akan dibentuk dari indeks LQ45,dan portofolio Syariah akan dibentuk dari Jakarta Islamic Index (JII). Performa ketiga portofolio tersebut akan dibandingkan berdasarkan nilai alpha,Sharpe Ratio,Treynor Ratio,dan Sortino Ratio. Hasil penelitian ini menunjukkan bahwa kinerja portofolio SRI di BEI lebih baik daripada portofolio konvensional dan portofolio syariah. Kinerja tersebut terjadi karena ratarata excess return portofolio SRI bernilai positif selama periode penelitian.
关键词：Capital Asset Pricing Model; Dimson beta;Sharpe Ratio;Fama and French Model;Sortino Ratio; Sustainable and Responsible Investment;Treynor Ratio
其他关键词：Capital Asset Pricing Model; Dimson beta;Sharpe atio;Fama and French Model;Sortino Ratio; Sustainable and Responsible Investment;Treynor Ratio
