OPTIMALISASI PORTOFOLIO INVESTASI DANA PENSIUN UNIVERSITAS MUHAMMADIYAH MALANG
Novita Ratna Satiti
Program Studi Manajemen FEB UMM
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)