OPTIMUM PORTFOLIO CONSTRUCTION FOR HUTAMA KARYA PENSION FUND

• Main Author: Sadewo, Eri
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/63985
• Institution: Institut Teknologi Bandung

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%.