INVESTMENT PORTFOLIO OPTIMIZATION OF INVESTMENT FUND : A CASE STUDY STUDY OF BPJS KETENAGAKERJAAN

• Main Author: Arief Muttaqin, Muhammad
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/60922
• Institution: Institut Teknologi Bandung

Indonesia starts to implement the social insurance policy in 2014 base on Law No. 24 2011. Before that time, social insurance was managed by a private company called Jamsostek. After BPJS Ketenagakerjaan ran in 2014, the company changed from private to public and profitoriented t non-profil oriented. BPJS Ketenagakerjaan is running by the budget from Financial Minister regulation and surplus from the investment fund they managed. Their investment fund in 2014 Rp. 7.656 Trillion and grow to Rp 11.863 Trillion in 2019. The investment fund yield in 2014 was 11.40% and declined to 6.18% in 2019. BPJS Ketenagakerjaan is controlled under several regulations to keep their good governance on the investment process, but they struggle to build a portfolio to generate optimal returns The study uses historic data from 2015-2020 fo bank deposits, bonds, mutual funds, and stoc indexes. The first step is to find the portfolio index's minimal risk and maximum return using the Markowitz optimization portfolio.The second step is to find the optimal Portfolio for each investment. Portfolio of stock usin LQ45, top 10 Bond Portfolio uses ten largest bonds in Indonesia. The results of portfolio construction using Markowitz Modern Portfolio Theory is an optimal portfolio with the composition at the GMV point are Bank Deposit 45%, Stock 2.8%, and bond 52%. The result of this study is an expected return of 6.6% with a standard deviation of 0.62%. meanwhile at the point of return maximization composition of the Portfolio are 15% Bank Deposit 15%, Stock 50%, and Bond 35%. The Portfolio generates an expected return of 7.54% with a standard deviation of 2.09%.