本研究目的為建構ESG投資組合最佳表現，並藉由四大印尼股票交易指數作為比較基準。在企業及氣候變遷警訊的環境下，永續觀念成為了最基本的需求，因此責任投資原則的簽署國與日俱增。ESG投資組合的建構是基於利益關係人對每個ESG支柱的關注，例如，氣候變遷、綠色運作模式、勞工管理和治理。本研究使用的方法為加權模式評分系統和定量描述，以此為初始，構建四個ESG投資組合類別：「ESG指數」、「十大ESG」、「最佳ESG類別」及「菁英ESG投組」。本研究也比較ESG投組在預期報酬及索丁諾比率方面的表現，透過與常規標竿指數比較後，發現ESG投組表現優於所有指數；在預期風險方面，印尼雅加達綜合指數(JKSE) 表現優於所有指數，Sri Kehati指數(JKSRI) 在夏普比率方面表現優於所有指數。

關鍵字：ESG、社會責任投資、夏普比率、索丁諾比率、預期風險及報酬

This research aims to build up the best performance ESG (Environmental, Social, and Governance) Portfolios Investment and compare the portfolio’s performance with the top four indices in Indonesia Stock Exchange. The signatories of the Responsible Investment Principle have rapidly increased since sustainability becomes a ‘basic needs’ in the world of business as well as climate change alarms. The ESG portfolio construction is based on stakeholder’s concern of each ESG pillars, such as climate change, green operations, labor management, and governance. The methods using in this research is the weighted model scoring system and quantitative descriptive. From this step, the researcher constructs four ESG Portfolio classes: ESG index, Top 10 ESG, Best Class ESG, and Elite ESG. The researcher then examines ESG Portfolio's performance towards conventional benchmark indices and finds in terms of returns and Sortino Ratio, ESG Portfolios outperforms all indices. In terms of risks, JKSE outperforms all indices, and JKSRI outperforms all indices in Sharpe Ratio.
Keywords: ESG, SRI, Sharpe Ratio, Sortino Ratio, risk, and returns.

COVER PAGE
THESIS VERIFICATION FORM i
ACKNOWLEDGEMENT ii
ABSTRACT (Mandarin) iii
ABSTRACT (English) iv
TABLE OF CONTENT v
LIST OF FIGURES vii
LIST OF TABLES viii
LIST OF APPENDIX ix
CHAPTER I: INTRODUCTION 1
1.1 Research Background 1
1.2 Research Problem 14
1.3 Research Objectives 14
1.4 Research Contributions 15
1.5 Systematic Discussions 16
CHAPTER II: LITERATURE REVIEW 18
2.1 Previous Research 18
2.2 Research Gaps 22
2.3 Theoretical Review 27
2.3.1 Investment Setting 27
2.3.2 Measuring and the Performance of Investment 28
2.3.3 Portfolio Theory 35
2.3.4 Measuring and Evaluating Portfolio’s Performance 38
2.3.5 Corporate Governance 39
2.3.6 Corporate Social Responsibility 44
2.3.7 Sustainable Investment 46
2.3.8 ESG Investing 48

CHAPTER III: CONCEPTUAL FRAMEWORK 52
3.1 Research Concept 52
3.2 Framework of Thinking 54
3.3 Hypotheses Development 55

CHAPTER IV: RESEARCH METHODS 57
4.1 Research Types 57
4.2 Research Locations 58
4.3 Variables and Measurements 59
4.3.1 Variables and Indicators 59
4.3.2 Measurements 61
4.4 Population and Sample 62
4.4.1 Population 62
4.4.2 Sample 63
4.5 Source and Type of Data 66
4.6 Data Collection Technique 68
4.7 Analysis Technique 69
4.7.1 Analysis Technique for Step 1. ESG Constructions 69
4.7.2 Analysis Technique for Step 2. Comparative Analysis 71

CHAPTER V: DISCUSSION 73
5.1 General Overview of Samples 73
5.2 Data Presentation 84
5.3 Data Operationalization 104
5.4 ESG Score Rankings and Portfolio Classifications 127
5.5 Performance Comparison 130
5.5.1 Definitions of Variables 130
5.5.2 Descriptive Analysis 131
5.5.3 Risk-adjusted return Comparison 138
5.5 Discussions 143

CHAPTER VI: SUMMARY 149
6.1 Conclusions 149
6.2 Recommendations for Future Researchers 149

REFERENCE 152
APPENDIX 161

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