OPTIMALISASI PORTOFOLIO INVESTASI DANA PENSIUN UNIVERSITAS MUHAMMADIYAH MALANG

Authors

  • Novita Ratna Satiti

DOI:

https://doi.org/10.22219/jmb.v3i1.1716

Abstract

Novita Ratna Satiti
Program Studi Manajemen FEB UMM
E-mail: novitasuprihadi@gmail.com

ABSTRACT

The research aimed to optimalize investment scenario for Pension Fund of UMM. Pension Fund of
UMM optimized investment activity yet, due to the nature was still very conservative. The first phase
research was to evaluate the performance of investments by analyzing the value of ROI, look at the
pattern of risk of each investment instrument (Standard Deviation), and calculate the average risk for
financial assets which was invested with the VaR. The second was to develop a simulation of investment
scenario, which previously had projected prior average annual returns for various types of investments.
After developing, the evaluation of simulation scenarios by analyzing the ROI and calculated
the average risk (VaR). The results based on optimalizing investment scenarios III, by leveraging new
investment opportunities to maximize the full potential of investments that might be made . On the third
scenario, the ROI achieved at the value of 9.7% VaR of 0.3% in the level confidence of 99%. It means,
there would be 1% chance of loss that more than 0.3%. At these scenarios, there was a change increases
the yield of 5.4%, and was followed by increased average risk of -0.25%. On the third scenario
formation, it was expected that pension fund get scientific considerations in determining the investment
portfolio for the coming period.

Keywords: Pension Funds, Investment Optimization, Scenario Portfolio Investment, Return on Investment
(ROI), Value at Risk (VaR)

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Published

2014-02-17

Issue

Vol. 3 No. 1 (2013): April

Section

Articles

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