Stock Portfolio Management In The Old Age Security Fund (JHT) At The Social Security Agency For Employment (BPJS Ketenagakerjaan) Adrian, Dr. Buddi Wibowo
Universitas Indonesia
Abstract
Stocks are one of the investment instruments used by the Social Security Agency For Employment (BPJS) to develop Old Age Security (JHT) funds. Stocks are a risky asset, so it is important for the management of these funds to pay attention to risks and returns that are balanced and appropriate for JHT fund liabilities. This paper focuses on an in-depth analysis of stock portfolio management, particularly on the asset allocation, security selection, market timing and portfolio evaluation methods that have been carried out by BPJS Ketenagakerjaan for the 2017-2018 period. The research method used is a mixed method consisting of: Case studies to obtain the required qualitative data. Then the qualitative data is processed into quantitative data and then analyzed using 3 prescriptive models, namely Equal-Weighted Portfolio, Mean-Variance Portfolio and Risk Parity Portfolio. The results of this study indicate that the BPJS For Employment stock portfolio for the 2017-2018 period has portfolio risk and portfolio returns that are not optimized, with the risk represented by the standard deviation value of 17.81% while the expected annualized return is 6.7%. Judging from the efficient frontier graph analyzed, with that level of risk, the expected return should be around 26%. In addition, the result of optimizing the best portfolio for use in JHT funds is the Mean-Variance Portfolio, considering the long-term liabilities of JHT funds, this optimization provides low risk exposure and adequate returns. So that this paper can be useful for BPJS For Employment in terms of stock portfolio management, so that it can provide optimal benefits for BPJS For Employment participants.
