Optimalisasi Kinerja Portofolio Investasi (Studi Kasus pada Dana Pensiun Pertamina)

Abstract

Abstract: This study aims to analyze the performance of portfolio investment and to analyzethe composition of portfolio investment that could give optimum result. Based on the analysis,the average returns of portfolio always exceed the annual investment’s target. The calculationof portfolio optimization is using two assumptions, there are minimizing the portfoliorisk and maximizing portfolio average return. The prior average return before the portfoliooptimization is 11.85% with a risk 1.18%. The portfolio optimization result using the assumptionsof risk minimizing obtained average return reach 9.61% with a risk of 0.68% andaverage return reach 11.85% with a risk of 0.68%. Meanwhile, the result of portfolio optimizationusing the assumption of return maximizing obtained average return reach 13.00%with a risk of 1.47% and average return reach 12.59% with a risk of 1.18%.

Keywords: retired fund, the performance of portfolio optimization, return, risk