OPTIMUM PORTFOLIO CONSTRUCTION FOR HUTAMA KARYA PENSION FUND
In the last 5 years, the growth of the Pension Fund's net assets has fluctuated. There was a decrease in the growth rate in 2018 which only grew by 2.76% while in 2020 during the pandemic net assets of pension funds grew by 7.92%. Pension fund investments are mostly placed in the capital mar...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/63985 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | In the last 5 years, the growth of the Pension Fund's net assets has fluctuated. There was
a decrease in the growth rate in 2018 which only grew by 2.76% while in 2020 during
the pandemic net assets of pension funds grew by 7.92%. Pension fund investments are
mostly placed in the capital market and money market with an investment composition of
Rp. 193.61 trillion or 63.25% dominated by Indonesia Government Bonds, Bonds/Sukuk,
Stocks and Mutual Funds as well as Time Deposits. All pension funds have high yield
targets, so a good investment strategy is needed, so as to accommodate Asset Liability
Matching with future retirement benefit payments for defined benefit plans and the best
investment returns for defined contribution plans. Hutama Karya Pension Fund as a
Financial Services Institution engaged in investment certainly requires the right
investment strategy for investment management. To find a better proportion on investment
assets this thesis use Solver application in Microsoft Excel over 10 year worth data and
found that first the formation of the portfolio with the lowest risk produces an expected
return of 6.95% at 0.89% standard deviation with the proportion of time deposits is
25.2%, bonds 74.1%, stocks 0.3%, equity mutual funds 0% and fixed income mutual funds
0.5%, second the formation of the portfolio with the optimum risk and return produces
an expected return of 7.18% at 0.91% standard deviation with the proportion of time
deposits is 10%, bonds 89.16%, stocks 0.29%, equity mutual funds 0% and fixed income
mutual funds 0.55%,third the formation of the portfolio with the highest return produces
an expected return of 7.91% at 0.93% standard deviation with the proportion of time
deposits is 10%, bonds 90%, stocks 0%, equity mutual funds 0% and fixed income mutual
funds 0%.
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