Investment Portfolio Optimization and Performance (Case Study on PLN Pension Fund Period 2010-2020)

The Purpose of the research was to analyze the composition of the Investmen Portfolios that can provide optimal results. Portfolio optimization calculation using Model Markowitz with two assumptions, namely maximizing portfolio return and using Risk Adjusted Return (RAR). In the last three years, namely 2018, 2019 and 2020, the ROI phenomenon of DP-PLN investments is below the technical interest rate of 8.5%, so it is necessary to optimize the investment portfolio. Return on investment portfolio of DP-PLN The optimal result in this study is 11.30% with a portfolio risk of 3.77%. To achieve a return with this risk, DP-PLN needs to increase its investment in Bonds to 59.84% and Land and Buildings to 20.00%. In addition, DP-PLN needs to reduce investment in Savings and Time Deposits to 1.25%, Shares and Mutual Funds to 0%, Direct Investment to 3.91%, and maintain the composition of SBN at 15.00%. This research is able to provide the additional return on investmen that is greater than risk free asset to the total risks of the investment portfolio owned by DP-PLN which is reflected in the positive Sharpe Ratio value of 1.44%, positive Treynor Ratio 0.06 % and positive Jensen Ratio 0, 02 % which shows better performance than the market.