The Risk and Return Profiles of SRI in Indonesia: A Study on Sri Kehati Index

Abdul Hadi Zulkafli

Abstract


This study aims at examining the performance of Indonesian socially responsible investment (SRI) index, SRI Kehati Index against Jakarta Composite Index (JCI) as the market (conventional) index. Using the sample of daily index, this study covers a period from 1st January 2009 to 31st December 2014. This study uses mean return and standard deviation to examine the performance of both socially responsible investment and conventional investment. The results show that the mean return of SRI Kehati index underperforms JCI index in the overall period. On annual period, SRI Kehati outperforms JCI for four years from 2011 to 2014 with mix of significant and non-significant returns profile. The standard deviation of SRI Kehati is consistently higher and significant against JCI in the overall period. This outcome supports the hypothesis that SRI Kehati is riskier than JCI. The findings that exhibit a slightly lower mean return of Sri Kehati Index in the overall period could be related to the screening investment method that limits portfolio diversification. The same argument is also associated with the outcome that SRI Kehati is riskier than JCI. Even though the performance of Sri Kehati in this study is slightly lower in the overall period, it is still able to generate competitive returns especially from 2011 to 2014. This indicates that the return of Sri Kehati to certain extent outperforms the conventional index.


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Copyright (c) 2016 Abdul Hadi Zulkafli

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.