This study examines the performance of the Sri Kehati Index (SKI)
against the Jakarta Composite Index (JCI) as the market index, using
respective daily index prices from the 1st of January 2009 to the 31st
of December 2014. This study uses the risk-adjusted return of Sharpe’s
Index, the Adjusted Sharpe’s Index (ASI), Treynor’s Index, Jensen’s
Alpha Index, the Adjusted Jensen’s Alpha Index (AJI) and Sortino’s Ratio
to examine the performance of the SKI and the JCI. Except for Sharpe’s
Index and the Adjusted Sharpe’s Index, the risk-adjusted return
performance of the SKI, (Treynor, Jensen’s Alpha, Adjusted Jensen’s
Alpha and Sortino) outperforms the JCI as the conventional benchmark.
However, Jensen’s Alpha is the only performance measure that is
significant and therefore supports that the SKI outperforms the JCI
during the overall period from 2009 to 2014. As there is a contradiction
between the adjusted returns of Sharpe’s Index/Adjusted Sharpe’s Index
and Jensen’s Alpha Index, the hypothesis that the SKI presents a higher
risk adjusted performance than the JCI does cannot be accepted. Even
though the performance of SKI in this study is slightly lower over the
whole period of the study, it is still generating competitive returns.