Pension Funds Essay

889 Words4 Pages


1.1 Background

The most of the life, people will be earning and spending money. Rarely, though, will your current money income is exactly balance with your consumption desires. When current income exceeds current consumption desires, people tend to save the excess. They can do any of several things with these savings. One possibility is to put the money under a mattress or bury it in the backyard until some future time when consumption desires exceed current income. When they retrieve their savings from the mattress or backyard, they have the same amount they saved. Another possibility is that they can give up the immediate possession of these savings for a future larger amount of money that will be available for future
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A pension fund as the investor should consider three aspects within financial instruments that would be choosen as the portfolio elements. The three aspects are risk, return, and relation between risk and return. Pension fund’s risk will be smaller than security risk by making portfolio. Investment portfolio vulnerable with market risk, either from interest rate risk, exchange rate risk, or equity risk, particularly related with fluctutation of stocks price, obligations, and government securities. The risk of an investment could be minimized by combinig some assets in a portfolio (Markowitz, 1952). The researcher analyze the stock portfolio of YADAPENBI in order to evaluate wether its stock portfolio is optimal or not. YADAPENBI owns stock at PT. Mekar Prana Indah, PT. Binakarsa Swadaya, PT. Pemeringkat Efek Indonesia and PT. Bidakara Taruma Sakti. To analyze the stock portfolio, the researcher using Markowitz Theory, Mean-Variance Efficiency. MV efficiecy is the classic paradigm of modern finance for efficiently allocating capital among risky assets. Given estimates of expected reurnm standard deviation or variance and correlation rate of return for a set of assets. MV efficiency provides the investor with an exact prescription for optumal allocation of capital. With Markowitz efficient frontier, it represents all efficient portfolios…show more content…
Is the stock portfolio of Yayasan Dana Pensiun Bank Indonesia optimal?

1.3 Scope and Limitations
This research will analyze the stock portfolio of Yayasan Dana Pensiun Bank Indonesia at 2011 – 2014. The stock which will be analyzed if they are listed at Indonesia Stock Exchange. The data used in research is in period at January 2, 2011 – December 31, 2014. The method will be used is Markowitz theory.

1.4 Aims of Research
1. To ascertain the risk and return from each stocks in Yayasan Dana Pensiun Bank Indonesia portfolio
2. To evaluate the stock portfolio managed by Yayasan Dana Pensiun Bank Indonesia
3. To determine the optimal stock portfolio

1.5 Research Contribution
This research improves knowledge in capital market especially in investment and constructing an optimal portfolio.
The result of this research could give contribution to Pension Funds of Bank of Indonesia in strategies decision making and management of investment portfolio for the next period.
The result of this reasearch could be used by other pension funds in considering the strategy and managing the investment portfolio to attain the optimal

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