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This study empirically investigates the comparative performance of four portfolios— Indonesia Shariah Stock Index (ISSI), socially responsible investing (SRI), conventional, and Islamic-SRI portfolios—in Indonesia, of which the last integrates an Islamic portfolio into an SRI portfolio (henceforth, ISRI or the ISRI portfolio), to test whether the ISRI portfolio matters by addressing the two specific issues: first, the degree to which investment performance from the ISRI portfolio is different from the other portfolios; second, whether the ISRI portfolio has better time-varying performance than the other portfolios. Overall, this study provides evidence that the ISRI portfolio outperforms the other three types. Investing in the ISRI portfolio provides more flexibility in term of investment style. Hence, integrating Islamic screening into SRI/environmental, social, and governance screening is a reasonable way to implement Islamic values in “modern” investment. The relevant policies should be adjusted.

This study aims to compare the performance of the Islamic stock index in Malaysia and Indonesia using the Sharpe, Treynor and Jensen methods. The findings in this study are the performance of Sharia JII and FBMS stocks in 2014-2019, it can be concluded that the overall Sharpe and Treynor method shows a negative performance value, which means that the performance is not good, whereas when measured using the Jensen Indonesia method it shows a positive performance value. Which means that the performance is good so that Indonesia has a better performance than Malaysia, measured by the Jensen method. Based on the results of different tests, it shows that there are differences in the performance of the two countries in 2014-2019 from each index (Sharpe, Treynor, and Jensen).