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Analysis of Pension Fund Investment Portfolio Diversification Policy and Its Impact on Financial Performance (Study on PLN Pension Fund 2010-2018)

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  • Wiwik Utami Toharudin

    (Universitas Mercu Buana)

Abstract

In deciding to invest in a financial instrument in the money market or capital market, experience and sharpness of analysis are needed so that investors can maximize the obtain returns, for pension fund managers it is important to be able to develop the set of funds obtained from customers in order to provide maximum returns. and the available funds become more useful. This study aims to analyze the optimization of the diversification of pension fund investment portfolios policy and their impact on the financial performance of pension funds. This research was conducted on Employer Pension Fund (DPPK) PT. PLN (Persero)during the period of 2010-2018 using two analytical models, namely the Markowitz and Sharpe models, then the results of the two models were compared with the paired t-sample difference test and correlated with the Pearson correlation test. The calculation results conclude that the portfolio proportions of 6 types of investment instruments provide almost the same optimal results based on the two models and based on the proxies of the two models in analyzing portfolio optimalization on financial performance there is no significant difference with a result of 0.094. The Markowitz model with consideration of investors' preferences for risk has a strong correlation with one of the financial indicators, namely the Fund Adequacy Ratio (FAR) with a correlation value of 0.637 or 63.7%.

Suggested Citation

  • Wiwik Utami Toharudin, 2021. "Analysis of Pension Fund Investment Portfolio Diversification Policy and Its Impact on Financial Performance (Study on PLN Pension Fund 2010-2018)," Asian Journal of Social Science Studies, Julypress, vol. 6(3), pages 34-49, September.
    • Handle: RePEc:cxp:ajssst:v:6:y:2021:i:3:p:34-49
    DOI: 10.20849/ajsss.v6i3.935
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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