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The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 19 No. 1 (2017) · pp. 59–76

DOI
10.22146/gamaijb.17959
ISSN
2338-7238, 1411-1128
Published
2017-04-10
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

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 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.

Keywords

Collaboration network of the authors

5 authors · 6 co-authorship links · 4 across different organisations

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  • Universiti Sains Malaysia
  • Medan Area University
  • Universiti Malaysia Sarawak
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
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Co-authorOrganisationJoint articles
Rayenda Khresna BrahmanaUniversiti Malaysia Sarawak1
Chee‐Wooi HooyUniversiti Sains Malaysia1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">The Performance of Socially Responsible Investments in Indonesia: A Study of the Sri Kehati Index (SKI)</dc:title>
	<dc:creator>Zulkafli, Abdul Hadi</dc:creator>
	<dc:creator>Ahmad, Zamri</dc:creator>
	<dc:creator>M, Eky Ermal</dc:creator>
	<dc:subject xml:lang="en-US">Business; Finance</dc:subject>
	<dc:subject xml:lang="en-US">Socially Responsible Investment</dc:subject>
	<dc:subject xml:lang="en-US">G11</dc:subject>
	<dc:description xml:lang="en-US">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 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.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:contributor xml:lang="en-US"></dc:contributor>
	<dc:date>2017-04-10</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/17959</dc:identifier>
	<dc:identifier>10.22146/gamaijb.17959</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 19, No 1 (2017): January- April; 59-76</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/17959/15682</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2017 Gadjah Mada International Journal of Business</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
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