Pension Fund is a
legal corporation which manages and performs pension benefits based on a
certain program. There are two kinds of Pension Fund in Indonesia: Dana Pensiun Pemberi Kerja (DPPK) and Dana Pensiun Lembaga Keuangan (DPLK). PLN
Pension Fund is a quite big DPPK in Indonesia with more than 45,000
participants. There are two main indicators for measuring the performance of
Pension Funds. The first is the Funding Ratio, and the second is ROI (Return on Investment).
In
recent years, both Funding Ratio and ROI have decreased while the number of
participants in PLN Pension Funds increasing. This creates an imbalance between
assets and liabilities to be met by the company. Moreover, instead of creating
a better target for future performance, top management decided to lower its ROI
target from 10% to 9.5%. PLN Pension Funds did not allocating and selecting
their investment good enough so that the return of their investment has not
been quite satisfying. This is because of poor management and a lack of internal
control of the PLN Pension Fund.
This
research will evaluate current portfolio investment performance and will
construct optimal portfolio investment for PLN Pension Fund in short term.
Sharpe, Treynor, Jensen Ratio and Investment Performance Attribution are
adopted as the tools for evaluating, while Markowitz’s Model are used to
construct optimal portfolio. Besides evaluating and constructing optimal
portfolio, an implementation plan must also be performed by PLN Pension Funds.




PLN
Pension Funds should be more carefull in conducting cooperative agreement with
trading companies/investment managers. Also, it is recommended that PLN Pension
Funds build its own division to do traiding activity, so that control function
can be maximized. The composition should be performed by PLN Pension Fund is to
allocate invesments 22.92% in SBN,
6.70% in Deposito On Call, 13.89%, in Deposito Berjangka, 9.17% in Stocks, 13.29% in Obligation, 17.03%
in Sukuk, 1.03% in Mutual Funds,
1.82% in Penempatan Langsung, 14.15%
in Land/Buildings. PLN Pension Funds should do some steps for about 7 weekes
before permanent implementation: resources planning, system/procedure planning,
directing, trial&evaluation.