ANALISIS KINERJA PORTOFOLIO SAHAM-SAHAM ANGGOTA IDX SRI-KEHATI TAHUN 2021-2023

This study aims to evaluate the performance of stocks portfolios in the IDX SRI-KEHATI index during the 2021–2023 period using the Sharpe Ratio, Treynor Ratio, and Jensen Alpha methods. The research is motivated by the importance of risk management in sustainable investments, particularly in stocks that consider ESG (Environmental, Social, Governance) aspects. The results indicate diverse performance trends each year. BBCA, BMRI, and BBRI stood out with consistently positive performance, making them attractive options for investors seeking stability. Meanwhile, KLBF demonstrated exceptional performance in the early years, and JSMR showed significant growth potential in 2023. Conversely, stocks such as WIKA, SMGR, and PTPP consistently recorded poor performance, highlighting challenges in managing systematic risk. This study underscores the importance of diversification strategies and risk management in building optimal portfolios. These findings can serve as a reference for investors to make better decisions and support sustainable investment practices.