Analisis dan Optimalisasi Kinerja Portofolio Investasi (Studi Kasus Dana Pensiun PLN)

Macenning, Andi Reski Almaida Daeng (2020) Analisis dan Optimalisasi Kinerja Portofolio Investasi (Studi Kasus Dana Pensiun PLN). Masters thesis, IPB University.

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Abstract

This study aimed to analyze the performance of each investment asset in an investment portfolio using risk-adjusted performance. The types of assets referred to in this study are government bonds, time deposits, stocks, bonds, and mutual funds. The risk-adjusted performance method used in this study is the Sharpe ratio, the Treynor ratio, and the Jensen alpha methods. The three methods use different elements of risk in performance measurement. The results of the calculation of the performance of each type of asset-based on risk-adjusted performance will be compared with their respective benchmarks. This study also aimed to optimize the investment portfolio performance. The optimal portfolio formation used in this study is the single-index model and portfolio tangency. Then analyze the performance of the investment portfolio using the Sharpe ratio. Before optimizing the investment portfolio, a study of PLN's Pension Fund investments is carried out to obtain the historical PLN Pension Fund portfolio formed during the study period. The results of the performance of each asset compared to each benchmark based on the Sharpe ratio method is that each asset can outperform each other's market performance except mutual funds. This is in line with the Treynor ratio, where there is one asset that cannot outperform the market performance, namely mutual funds. Based on the Jensen alpha method, there is one asset that has suboptimal performance, namely mutual funds. This is in line with the Sharpe ratio and Treynor ratio. The results of portfolio performance optimization based on the single-index model are that two assets are forming a portfolio, namely government bonds and shares. While time deposits, bonds, and mutual funds are not instruments for forming an optimal portfolio. Slightly different from the single-index model, government bonds, time deposits, stocks, and bonds is an optimal portfolio forming asset. While mutual funds are not an instrument for forming an optimal portfolio. Based on the results of optimal portfolio composition, the single-index model and tangency portfolio can provide an optimal rate of return with a lower level of risk compared to the historical portfolio of the PLN Pension Fund. However, the portfolio composition produced by the single-index model is not following PLN's Pension Fund investment policy, the allocation of government bonds exceeds the maximum quantitative limit. The portfolio assessed using the Sharpe ratio, tangency portfolio has the highest Sharpe ratio. So the portfolio formed based on portfolio tangency is the best portfolio combination. The managerial implication in this research is that management should consider reducing the composition of mutual funds in investing, which based on risk-adjusted performance has not optimal performance. The optimal alternative portfolio proposal is that management can use tangency portfolios that provide a lower level of risk with a higher rate of return and have a better performance compared to the historical portfolio of the PLN Pension Fund.

Item Type: Thesis (Masters)
Uncontrolled Keywords: PLN Pension Fund, Risk, Return, Single index model, Tangency portfolio.risk-adjusted performance, optimalisasi portofolio investasi Dana Pensiun PLN, Risk, Return, Single index model, Tangency portfolio.
Subjects: Manajemen Pemasaran
Depositing User: SB-IPB Library
Date Deposited: 07 Feb 2022 06:55
Last Modified: 07 Feb 2022 06:55
URI: http://repository.sb.ipb.ac.id/id/eprint/3799

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