ANALYSIS OF OPTIMAL PORTFOLIO ALLOCATION USING SHARPE RATIO BEFORE AND DURING COVID-19 PANDEMIC: A CASE STUDY OF PT JASA RAHARJA
The spread of COVID-19 throughout the country also has an impact on the community's economic sector due to social restrictions imposed by the government to break the chain of spread of the COVID-19 virus. The impact of the spread of COVID-19 also affected Jasa Raharja's premium income...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/62812 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The spread of COVID-19 throughout the country also has an impact on the
community's
economic sector due to social restrictions imposed by the government to break the chain of spread
of the COVID-19 virus. The impact of the spread of COVID-19 also affected Jasa Raharja's
premium income from the Law no. 33/1964 as well as Law no. 34/1964, this was due to the
limitation of public activities in public places. The decrease in premium income also resulted in
a decrease in the amount of funds that could be allocated by Jasa Raharja for its investment
portfolio and it will decrease the investment return. Jasa Raharja has experienced a decline in the
value of returns over the last few years for the portfolio that consist of stock, deposit, mutual fund,
and bond, namely return in 2018 is 6.91%, return in 2019 is 6.69% and return in 2020 is 6.11%.
The investment instruments used are stocks, mutual funds, bonds, and deposits with periods
before and the COVID-19 pandemic. This study focuses on calculating the optimal allocation of
investment portfolios that can provide optimal returns to the company using Sharpe ratio. The
basic theory used is the Modern Portfolio Theory proposed by Markowitz which calculates the
optimal allocation using the return maximization and risk minimization methods.
Based on the results of calculations using Sharpe ratio, it is obtained that the optimal allocation
for the normal condition for stock assets is 0.05%, mutual funds is 11.13%, bonds is 38.82%, and
time deposits is 50% with a portfolio return of 0.519% per month and a portfolio risk of 0.000%.
Meanwhile, in the during pandemic period, the optimal allocation for stocks is 40%, mutual funds
0%, bonds 48%, and time deposits 12% with a portfolio return of 0.513% per month and a
portfolio risk of 0.030%. This result is better than the return generated from a portfolio that has
been made by the company, which the return portfolio is 0.28% per month before pandemic and
0.34% per month during pandemic. Based on the study, Sharpe ratio method is recommended to
apply at company.
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