ANALISIS DAMPAK INTEGRASI ESG PADA PROFIL RISIKO-RETURN PORTOFOLIO INVESTASI

Ferix Aziz Susandi; Danu Purwito; Bagus Eka Prasetya; Sayekti Suindyah Dwiningwarni

doi:10.51903/dinamika.v4i1.485

Ferix Aziz Susandi Universitas Wijaya Putra Surabaya
Danu Purwito Universitas Wijaya Putra Surabaya
Bagus Eka Prasetya Universitas Wijaya Putra Surabaya
Sayekti Suindyah Dwiningwarni Universitas Wijaya Putra Surabaya

DOI: https://doi.org/10.51903/dinamika.v4i1.485

Keywords: ESG, portfolio return, portfolio risk, PT Unilever Indonesia Tbk, case study

Abstract

This research aims to analyze the impact of Environmental, Social, and Governance (ESG) integration on the risk-return profile of the investment portfolio of PT Unilever Indonesia Tbk. The research employs a quantitative method with a case study approach, utilizing historical data from the period 2017-2021. The data is analyzed to identify the relationship between ESG scores and portfolio returns, as well as portfolio risk. Regression analysis and t-test are employed to test the research hypotheses.

The findings reveal a positive and significant relationship between ESG integration and the investment portfolio's return of PT Unilever Indonesia Tbk. The regression coefficient of 0.154 indicates that each one-point increase in the ESG score will result in an average increase of 0.154% in the investment portfolio return.

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