This repository provides the implementation and results of a research study analyzing the effects of Danantara on IDXESGL stock investment strategies. The study compares portfolio performance before and after Danantara using the Single Index Model and VaR-Adjusted Sharpe Ratio.
The objective of this research is to evaluate how Danantara influences portfolio composition, risk, and performance of ESG stocks listed on the Indonesian Stock Exchange, with particular emphasis on risk-adjusted returns under market uncertainty.
- Portfolio construction using the Single Index Model (SIM)
- Portfolio Combination for constructing more unique portfolio
- Performance evaluation using Sharpe Ratio and VaR-Adjusted Sharpe Ratio (VaRSR)
- Comparative analysis of pre-Danantara and post-Danantara periods
This repository offers an empirical framework for ESG portfolio evaluation under extreme risk, providing insights relevant to academics, investors, and policymakers interested in sustainable investment strategies in emerging markets.
All analyses are designed to support reproducible research. Users can replicate the results or adapt the framework for similar portfolio and risk management studies.