INVESTMENT STRATEGY FOR DEFINED CONTRIBUTION PENSION FUNDS

• Main Author: Retnowati, Sindi
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/85820
• Institution: Institut Teknologi Bandung

Pension fund management has an important role in ensuring the financial wellbeing of participants in retirement. This thesis examines the management of defined contribution pension plans that are increasingly used in various countries, including Indonesia, with a focus on investment strategies considering changes in the Indonesia Composite Index (ICI) and BI-Rate. In a defined contribution plan, pension benefits depend on investment performance, so the investment risk is fully borne by participants. Therefore, an appropriate approach is needed in managing investment funds. This thesis uses the Autoregressive Integrated Moving Average (ARIMA) method to predict the ICI, BI-Rate, as well as investment returns on government bonds, deposits, corporate bonds, and stocks with the aim of understanding the interactions between key economic variables that affect investment portfolio performance in pension fund management. ICI is predicted to represent the dynamics of the stock market, while BI-Rate is used as a risk-free interest rate that serves as a reference for various investment instruments. Predictions of investment returns on government bonds, deposits, corporate bonds, and stocks were made to determine the impact of fluctuations in interest rates and market conditions on the performance of each instrument. By predicting all of these components using ARIMA, it is hoped to build a more comprehensive understanding of how various economic factors are interconnected and affect pension fund management, so that a more effective investment strategy can be produced in accordance with changing market conditions.