OPTIMIZING INVESTMENT PORTFOLIO OF PT. ANEKA TAMBANG PENSION FUND USING POST-MODERN PORTFOLIO THEORY (PMPT)
PT. Aneka Tambang Pension Fund (Dapen Antam) is categorized as first level funding by OJK, their asset is greater than its actuarial present value. The company is also categorized as RP I in funding ratio means their funding ratio is greater than 100%, Dapen Antam, as one of the pension funds wit...
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| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/75656 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | PT. Aneka Tambang Pension Fund (Dapen Antam) is categorized as first level
funding by OJK, their asset is greater than its actuarial present value. The company
is also categorized as RP I in funding ratio means their funding ratio is greater than
100%, Dapen Antam, as one of the pension funds with defined benefit pension plan,
is found that their net asset was not growing as they should. This study employs
Post-Modern Portfolio Theory (PMPT) to address the current issue facing the
company, with the goal of determining the optimal extant portfolio and optimal
stock recommendations from the IDXQ30 Index, which represents the company's
stock universe. In addition, this study attempted to identify the optimal portfolio by
replacing the extant stock portfolio with the optimal IDXQ30 portfolio. The
company's portfolio optimization complies with OJK regulations and its investment
direction, with the proportion of direct investments and property assets remaining
unchanged. The findings showed that currently the company does not have the
listed stock portfolio due to the end of contract with the external fund manager and
planning to re-enter the stock market in 2023. The historical existing portfolio of
Dapen Antam from 2018 to 2022 has an expected return of 5.27% with downside
risk of 5.00%, through optimization of the suggested listed stock portfolio and
substituting the composition of the listed stock with the optimized one, it is resulting
the overall portfolio might yield 6.80% return with 3.59% downside risk, yet this
result still below the target. Therefore, the same method of optimization is needed
for the overall investment portfolio of the company. This optimization suggested
emptying the deposits, corporate bonds, and mutual funds and focusing on listed
stock instruments. This action will yield an 8.80% return on 1.70% downside risk.
In conclusion, current portfolio of Dapen Antam is not optimal and the decision of
the fund manager to re-enter the stock market for its portfolio is perfect for the
current situation since this instrument might yield higher profit and liquidity if they
willing to change their stock universe to the more profitable one. |
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