Case Study
Year: 2019 | Month: December | Volume: 6 | Issue: 12 | Pages: 481-488
Analysis and Optimization of Investment Portfolio Performance (Case Study of PLN Pension Fund)
Andi Reski Almaida Dg Macenning1, Dedi Budiman Hakim2, Trias Andati1
1IPB University, School of Business, Jl Raya Pajajaran, Bogor, Indonesia
2IPB University, Faculty of Economics and Management, Jl. Raya Dramaga, Bogor, Indonesia
Corresponding Author: Andi Reski Almaida Dg Macenning
ABSTRACT
This study aimed to analyses the performance of each asset in the investment portfolio using the risk-adjusted performance and also to analyses the composition of the investment portfolio that can provide optimal results using single-index model and tangency portfolio on the PLN Pension Fund. Based on historical data, PLN's Pension Fund investment portfolio currently has not achieved the expected rate of return. This study uses secondary data from the PLN Pension Fund investment division consisting of investment allocation and returns data for each asset. The results based on risk-adjusted performance using the Sharpe ratio, Treynor ratio, and Jensen alpha are mutual funds that have suboptimal performance. 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 tangency portfolio is the best portfolio combination.
Key words: PLN Pension fund, return, risk, single-index model, tangency portfolio.
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