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

Zulkafli, Abdul Hadi; Ahmad, Zainal Ariffin; M, Eky Ermal

doi:10.22146/gamaijb.17959

Cited by 29 publications

(32 citation statements)

References 48 publications

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“…According to Kidd (2012), The simplicity and usefulness for comparing funds is the appeal of Sharpe's ratio, even when the benchmarks differ. The higher that Sharpe's ratio is, this indicates a better risk adjusted performance (Zulkafli et al 2017). The advantage of Sharpe's ratio is that it makes it possible to rank the portfolios' performances (Scholz and Wilkens 2005).…”

Section: Portfolio Performance Evaluationmentioning

confidence: 99%

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Robiyanto¹,

Wahyudi²,

Pangestuti

2017

GADJAH MADA INT. J. BUS.

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Abstract:This study evaluates the use of futures contracts for precious metals to hedge against stock market risks and their hedging effectiveness on the Indonesian Stock Exchange (IDX) and the Kuala Lumpur Stock Exchange (KLSE). This study found that gold was the most effective hedging instrument, since it produced the highest hedging effectiveness both on the IDX and the KLSE among the other precious metals. None of the hedged portfolios had a higher Sharpe's ratio than the unhedged one on the IDX; however, all the hedged portfolios on the KLSE had a higher Sharpe's ratio than the unhedged ones. Almost all the hedged portfolios could produce a higher Treynor's ratio than the unhedged portfolios, both on the IDX and the KLSE. In general, this study concluded that studying some precious metals could reduce the investment risk, which was shown through the variance produced by the smaller portfolios, while gold can improve the risk-adjusted performance.

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Section: Portfolio Performance Evaluationmentioning

confidence: 99%

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Robiyanto¹,

Wahyudi²,

Pangestuti

2017

GADJAH MADA INT. J. BUS.

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“…However, some of these measuring instruments such as Sharpe Index and Jensen Index are perceived as to have weaknesses. For example, Sharpe Index is considered to focus only on variance (Kidd, 2011b), whereas Jensen Index cannot be compared at different market levels (Zulkafli, Ahmad, & M., 2017). Hence, they need to be adjusted to become Adjusted Sharpe Index (Jobson & Korkie, 1981) and Adjusted Jensen Index (Zulkafli, Ahmad, & M., 2017).…”

Section: |mentioning

confidence: 99%

Performance Evaluation of Equity Mutual Funds in Indonesia

Pangestuti

Wahyudi

Robiyanto

2017

Jurnal Keuangan Dan Perbankan

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Mutual funds considered as an investment alternative for investors. One type of mutual fund that attracts many investors was the equity mutual funds. Equity mutual fund is a type of mutual funds that most part of the investment consists of stocks in the capital market so the risk rate was higher than the other types of mutual funds. For its different characteristic, the measurement for equity funds performance did not be same with other types of mutual funds. As a stock portfolio, equity mutual funds can be measured by portfolio measurement methods such as Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, and Sortino Ratio. This study was conducted by using all of those performance measurements as most research in Indonesia was conducted by using limited performance measurements (focusing on Sharpe Index, Treynor Ratio, and Jensen Index). This study aims to evaluated the performance of 42 equity mutual funds available in Indonesia by employing Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index (ASI), Adjusted Jensen Index (AJI), and Sortino Ratio because most previous researches in Indonesian setting disregards ASI and AJI. In general, it was concluded that the SAM Indonesian Equity was the best performing equity fund during the study period. It was further found that most equity mutual fund studied have been well diversified. ABSTRAKReksa dana merupakan alternatif investasi bagi kalangan investor. Salah satu reksa dana yang banyak menarik kalangan investor adalah reksa dana saham. Reksa dana saham adalah jenis reksa dana yang sebagian besar investasinya terdiri dari saham-saham di pasar modal, sehingga memiliki tingkat risiko yang lebih besar dibandingkan jenis-jenis reksa dana yang lain. Karena memiliki karakteristik yang berbeda,maka pengukuran kinerja reksa dana saham tidak dapat disamakan dengan jenis reksa dana yang lain. Sebagai portofolio, maka reksa dana saham dapat diukur dengan menggunakan metode-metode pengukuran portofolio seperti Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, dan Sortino Ratio. Penelitian ini dilakukan dengan menggunakan seluruh pengukuran kinerja tersebut karena kebanyakan penelitian di Indonesia dilakukan dengan terbatas pada beberapa pengukuran kinerja saja (berfokus pada Sharpe Index, Treynor Ratio dan Jensen Index). Penelitian ini bertujuan untuk mengevaluasi kinerja 42 reksa dana saham yang terdapat di Indonesia dengan menggunakan Sharpe Index, Treynor Ratio, Jensen Index, Adjusted Sharpe Index, Adjusted Jensen Index, bahkan Sortino Ratio. Secara umum disimpulkan bahwa dengan menggunakan berbagai alat pengukuran yang ada maka reksa dana saham SAM Indonesian Equity merupakan reksa dana saham dengan kinerja yang terbaik selama periode penelitian. Lebih lanjut ditemukan pula bahwa sebagian besar reksa dana saham yang dikaji telah terdiversifikasi dengan baik.

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“…Socially responsible investors use a combination of financial and social criteria to focus on their investment decisions. Hence the investments they select are consistent with their personal value's system and beliefs [1]. SRI reflects an investment process which adopts the issues of ethical considerations.…”

Section: Introductionmentioning

confidence: 92%

Does the Inclusion of Indonesian Firms in a Sustainable and Responsible Investment Index Affect Stock Performance?

Sutrisno

2019

KSS

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This study empirically investigates the effect of the addition of Indonesian firms in the sustainable and responsible investment index (SRI-KEHATI index) on stock performance. This study applies an event study methodology using a single index model. The empirical results reveal that there are two days with significant abnormal returns, namely d+1 and d+3. This finding implies that the Indonesian stock market is efficient in semi-strong form. This study also finds that there is no difference in abnormal returns before and after the SKI announcement. The implication of this study is the investors do not have to consider their investment decisions based on the inclusion of a corporation in the SKI.

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

Cited by 29 publications

References 48 publications

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

The Volatility–Variability Hypotheses Testing and Hedging Effectiveness of Precious Metals for the Indonesian and Malaysian Capital Markets

Performance Evaluation of Equity Mutual Funds in Indonesia

Does the Inclusion of Indonesian Firms in a Sustainable and Responsible Investment Index Affect Stock Performance?

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