Analysis Investment Performances using Sharpe Ratio: Study Case at PT Asuransi Jiwa Taspen

Abstract

Investment is one of the main activities in pension fund management companies. The better the investment performance of the pension fund management company indicates that the company is able to manage participant funds properly. PT Asuransi Jiwa Taspen as one of the pension fund management companies in Indonesia needs to analyze investment performance to see how well the investment performance of PT Asuransi Jiwa Taspen is. The method used to analyze investment performance uses the sharpe ratio measurement method, where the results of investment performance at PT Asuransi Jiwa Taspen will be compared with the investment performance of BPJS Ketenagakerjaan. This comparison is carried out to see the extent of the investment performance of PT Asuransi Jiwa Taspen compared to other pension and insurance fund management companies. The analysis results show that PT Asuransi Jiwa Taspen's investment performance is superior to the performance of BPJS Ketenagakerjaan, where the sharpe ratio value at PT Asuransi Jiwa Taspen is 2,42, while BPJS Ketenagakerjaan is only 2,07. This is due to the difference between the strategy and portfolio composition of PT Asuransi Jiwa Taspen and BPJS Ketenagakerjan. Although PT Asuransi Jiwa Taspen investment performance is superior, BPJS Ketenagakerjaan investment performance can still be said to be good because the sharpe ratio value is more than one. Portfolio diversification plays an important role in maintaining the balance of return and risk levels so that investment performance in the two companies produces good results.

Keywords: investment performance, portfolio optimization, portofolio diversification, return, risk