International Journal of Advanced Research and Publications (2456-9992)

Analysis Of Mutual Fund Investment Portfolio By Bank Central Asia Pension Fund (2-Stage Data Envelopment Analysis Approach)

Volume 3 - Issue 5, May 2019 Edition
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Author(s)
Ekhsanor Effendi, Hakiman Thamrin
Keywords
Portfolio analysis, mutual fund, pension fund, data envelopment analysis.
Abstract
This study aims to analyze the level of efficiency of each mutual fund product chosen by Bank Central Asia Pension Fund by using the 2-Stage Data Envelopment Analysis (DEA) method. The data used in this study are secondary data which are quantitative data expressed in numbers. The population in this study were 19 mutual fund products chosen by the BCA Pension Fund (DPBCA), with a sample of historical data for 3 years starting from January 1 2015 to December 31, 2017. The results of the analysis show that of the 19 mutual fund products selected by the DPBCA, there were 11 prod-ucts which received an efficiency score of 1.0 or in the efficient category. Furthermore, an efficient mutual fund product ranking is conducted using ratings from Infovesta, Bareksa and Morningstar to obtain an optimal portfolio.
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