DEVELOPING OPTIMAL STOCK PORTFOLIO FOR BANKING PENSION FUNDS IN INDONESIA
Pension fund is a voluntary legal entity that manages and operates a program that promise retirement benefits. As a leading state-owned financial institution in Indonesia, Bank Rakyat Indonesia Pension Fund needs to increase their return to fulfill other Benefits for their retirement, it stated on R...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/30921 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Pension fund is a voluntary legal entity that manages and operates a program that promise retirement benefits. As a leading state-owned financial institution in Indonesia, Bank Rakyat Indonesia Pension Fund needs to increase their return to fulfill other Benefits for their retirement, it stated on Regulation from OJK No. 5/POJK.05/2017 about Contributions, Pension Benefits, and Other Benefits Organized by the Pension Fund. ROI of Stock investment on BRI Pension Fund from 2013 until 2017 showed a quite good performance compare with IHSG, but there is a chance to increase the performance of stock investment in BRI Pension Fund with the implementation of Markowitz Method. On the other hand, based on investment report of BRI Pension Fund in 2017, there are 86 stocks on their stocks portfolio that listed in IDX. The author runs performance analysis on BRI Pension Fund and peers (Bank Indonesia, Bank Mandiri, Bank Central Asia, Bank Negara Indonesia, and Bank Tabungan Negara Pension Fund). For the actual stock performance of BRI Pension Fund from 2013 until 2017, we can conclude that the best return achieved on 2014 at 29.33%. For actual stocks performance of BRI Pension Fund and five other pension funds, the banking pension fund with highest average return is the Bank Negara Indonesia Pension Fund at 14.43% and the pension funds with the lowest standard deviation is Bank Central Asia Pension Fund at 15.53%. From the analysis of banking pension fund performance for the past five years, the return given by Markowitz theory using Solver tools can beat the actual return in 2013 and 2015, which is those years the market is in low condition. So, BRI Pension Fund must adjust their weighting of stocks in 2018 based on the optimal portfolio developed using Markowitz Method |
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