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

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...

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Main Author:	Ermal M, Eky
Format:	Thesis
Language:	English
Published:	2016
Subjects:	HD28-70 Management Industrial Management
Online Access:	http://eprints.usm.my/31353/1/EKY_ERMAL_M24.pdf
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id	my-usm-ep.31353
record_format	uketd_dc
spelling	my-usm-ep.313532019-04-12T05:25:26Z Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index. 2016-02 Ermal M, Eky HD28-70 Management. Industrial Management 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. 2016-02 Thesis http://eprints.usm.my/31353/ http://eprints.usm.my/31353/1/EKY_ERMAL_M24.pdf application/pdf en public masters Universiti Sains Malaysia Pusat Pengajian Pengurusan (School of Management)
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	HD28-70 Management Industrial Management
spellingShingle	HD28-70 Management Industrial Management Ermal M, Eky Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
description	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.
format	Thesis
qualification_level	Master's degree
author	Ermal M, Eky
author_facet	Ermal M, Eky
author_sort	Ermal M, Eky
title	Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
title_short	Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
title_full	Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
title_fullStr	Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
title_full_unstemmed	Performance Of Socially Responsible Investment Portfolio In Indonesia: A Comparison Of Sri Kehati Index And Conventional Index.
title_sort	performance of socially responsible investment portfolio in indonesia: a comparison of sri kehati index and conventional index.
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Pengurusan (School of Management)
publishDate	2016
url	http://eprints.usm.my/31353/1/EKY_ERMAL_M24.pdf
_version_	1747820407062265856

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

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