PORTFOLIO OPTIMIZATION OF ASSETS OF THE BPJS KETENAGAKERJAAN PROVIDENT FUND BENEFIT (JHT) BASED ON MARKET DATA

• Main Author: BAYU AJI, IRAWAN
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/59560
• Institution: Institut Teknologi Bandung

This research discusses the optimization of the performance of the BPJS Ketenagakerjaan Provident Fund Benefit (JHT) portfolio. In order to support the sustainability of the JHT Program, BPJS Ketenagakerjaan is mandated to invest JHT fund assets in certain instruments. This is stated in Article 11 point (b) of Constitution Number 24 of 2011 concerning Social Security Administering Bodies and more specifically regulated in Article 37 of Government Regulation Number 55 of 2015 concerning Amendments to Government Regulation Number 99 of 2013 concerning Management of Employment Social Security Assets. In this article, the investment assets of the BPJS Ketenagakerjaan JHT Program can be in the form of: deposits; bond; share; mutual funds; asset backed securities; real estate; repurchase agreements; direct participation; and also land and buildings. The realization of investment assets of the BPJS Ketenagakerjaan JHT Program is currently in shares; bond; deposit; mutual funds; property; and direct participation. Through this research, it will be shown a model that produces the weight of the JHT fund portfolio (stocks, mutual funds, property, bonds, deposits) in the 2019 and 2020 investment periods (backtesting) with the expectation of a return that gives the Funds Adequacy Ratio (RKD) equal to 1 (one) based on market data (ie: indexes, yield of Government Securities and government bank deposits). The weight between risky and risk-free assets depends on the target return that is set to obtain RKD equal to 1 (one). If it is high enough or close to the expected optimal return from risky assets, the portfolio will have more risky characteristics, if it is low enough or close to the return on risk-free assets, the portfolio will have less risk characteristics. This means that in general the higher the expected return on investment, the higher the risk, and vice versa.