Analisis Optimasi Kinerja Portofolio Investasi (Studi Kasus Dana Pensiun PT Freeport Indonesia)

Abstract

The development of pension funds through investment in Indonesia is regulated in the constitution and one of the ways to obtain optimal investment returns is to form a portfolio. The Markowitz model helps investors determine which investment assets are includes in the optimal portfolio. Strategies to minimize risk and maximize return are very important. The types of assets that will be optimized in this research are Savings at Banks, On-Call Deposits, Time Deposits, Certificates of Bank Indonesia, GovernmentBonds, Stocks,Corporation Bonds, Fixed Income Mutual Funds and Stock Mutual Funds at PT Freeport Indonesia Pension Fund(DPFI) period 2007-2020 using the single index model (SIM), capital asset pricing model (CAPM) and tangency portfolio. The most optimal performance is shown by the tangency portfolio method by maximizing the value of tan-�and the calculation results showthat 4 out of 9 investment assets, namely bank savings, on-call deposits, stocks andcorporate bonds, are includes in the optimal portfolio with a portfolio return of92.62% higher 56% of historical DPFI and portfolio risk 1,5842 an increases of 140% from historical DPFI as well as proposed changes in asset allocation dominantly in stocks by 40% and three investment assets, namely savings in banks, on-call deposits and corporationbonds with a weight of 20% each . Furthermore, stock investment assets wereoptimized using the tangency portfolio method and obtained 24.02% return that 8.92% higher than DPFI's historical return and 0.37729 risk that 14.17% greater than DPFI's historical risk by optimizing 8 of 34 stock issuers and proposed changes evenly allocated 12.5%,namely UNVR or an increases of 9.24%, AALI or an increase of 3.17%, TINS or an increase of 11.87%, MEDC or an increase of 12.13%, PGAS or an increase of 10.94%, BBNI or an increase of 10.10%, UNSP or an increase of 10.33% and ISAT or an increaseof 9.73%.