ANALYSIS OF SRI-KEHATI TOP PERFORMING STOCKS BASED ON RISK-ADJUSTED RETURNS USING MODERN PORTFOLIO THEORY

• Main Author: Pratama Natakusumah, Dandy
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/70062
• Institution: Institut Teknologi Bandung

The aim of this study is to find the risk-adjusted return top 10 of Environmental, Social, and Governance, investments that complies with the Global standards set by SRI-KEHATI foundation. More accurately by analysing the stock returns of companies consistently listed in the SRI- KEHATI index fund from the period 2018-2022. The author uses three Modern Portfolio theory method which are Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha, all three would be used to find the risk-adjusted return of each individual stock that is chosen by the author. There are 15 Stocks chosen for this research, and the stocks that are consistently listed as top 10 for their risk- adjusted return are; PT Bank Central Asia (BBCA), PT Bank Rakyat Indonesia (BBRI), PT Telkom Indonesia (TLKM), PT Bank Negara Indonesia (BBNI), PT Bank Mandiri (BMRI), PT Kalbe Farma (KLBF), PT Perusahaan Gas Negara (PGAS), PT Wijaya Karya (WIKA), PT Indofood Sukses Makmir (INDF), and PT Semen Indonesia (SMGR).The study reveals that Based on the Sharpe and Treynor ratio, the top 10 companies performed well, majority exceeded the required rate of return of risk-free assets or required benchmark. However based on the Jensen’s analysis, only 6 stocks of the risk-reward ratio of these SRI-KEHATI stocks manage to show a positive alpha, a positive return against the risk of its assets. In addition, PT Astra International (ASII) has taken the spot of PT Semen Indonesia as one of the top 10 best performing stocks based on its Jensen alpha.