| Summary: | PT. Jamsostek (Persero) as organizers of social insurance agency has two main
programs, JHT and non JHT. JHT funds of the pension fund program, has the largest
share of funds compared to non-JHT. Most of the instruments placed on the JHT fund
investments are in the financial sector, especially in the form of deposits, bonds,
stocks and mutual funds. Each of these investment instruments has different return
and risk. To balance between return and risk faced by the asset allocation strategy is
necessary to note, especially to obtain the optimal portfolio.
This study examines the preparation of an optimal investment portfolio for JHT
program. The data used in this study is secondary data for the measurement of return
of each investment instrument, such as: data guaranteeing deposits, yield on
government bonds, LQ 45 index and stock mutual funds index to research the period
2005 to 2010.
Optimizing the investment portfolio of the four instruments of investment was
made by using mean-variance method introduced by Markowitz (1952). The method
relies on the parameters of return, variance and covariance of these investment
instruments. Through the Markowitz model, the optimization of the portfolio will be
obtained through the proportion of funds should be invested in each of these
investment instruments.
Optimal composition of investment portfolios in order to minimize the risk of
the portfolio at JHT program can be achieved by adding the bond portion of the
assets. This is due to coefficient of variation of the bond indicates a lower value than
other investment instruments, thus providing a lower portfolio risk than the risk of an
actual portfolio of PT. Jamsostek (Persero).
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