PENERAPAN METODE STABLE TAIL ADJUSTED RETURN RATIO (STARR) DALAM PENGUKURAN KINERJA INVESTASI

The purpose of this study was to determine the appropriate approach and method for measuring the performance of the investment, if the return data provided just a little or the data don’t follow the normal distribution. Then, apply it in a real case, that is, investment portfolio performance measurement of a pension fund managed by a private university in Malang town. Data processing was aided by MS Excel which the steps are calculating the average return (mean), standard deviation, VaR and CVaR, deviation VaR and CVaR, BI rate and STARR both in the case of a Gaussian distribution and T-Student. The result of the analysis showed that the T-Student distribution approach and STARR method are better to use for measuring pension fund investment performance than the Gaussian distribution approach and traditional Sharpe method. Two investment instruments that have the best performance are a Direct Placement and Property.

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DETERMINANTS INFLUENCING PENSION FUND INVESTMENT PERFORMANCE IN KENYA

International Journal of Finance ◽

10.47941/ijf.227 ◽

2018 ◽

Vol 3 (1) ◽

pp. 14

Author(s):

Anthony Kyanesa Mutula ◽

Dr. Assumptah Kagiri

Keyword(s):

Pension Fund ◽

Multiple Linear Regression Model ◽

Target Population ◽

Pension Funds ◽

Primary Data ◽

Investment Strategies ◽

Investment Performance ◽

Descriptive Research ◽

Fund Investment ◽

Regulation Compliance

Purpose: The purpose of the study was to investigate the determinants influencing pension fund investment performance in Kenya.Methodology: The study employed a descriptive research design. The study target population was all the 33 registered pension funds in Kenya, and the sample size was 66 senior employees involved in decision making. The study adopted a census approach and therefore data was collected from all the 33 registered pension funds. A questionnaire was used to collect primary data from the selected respondents. The data collected was analyzed using the statistical package for social sciences (SPSS) version 23.0. The software was used to produce frequencies, descriptive and inferential statistics which was used to derive generalizations and conclusions regarding the population. Multiple linear regression model was used to measure the relationship between the independent variables and the dependent variable. The study findings were presented using figures and tables.Results: The study findings revealed a positive and significant relationship between diversification decisions, management competency, investment strategies, regulation compliance and investment performance of pension funds in Kenya.Unique contribution to theory, practice and policy: The study recommended that the management of pension funds should establish a strong organization structure and policy implementation, which will enhance their portfolio composition; the firms should have highly competent management; should incorporate investment literacy and capability programs in their organizations; and should continue adhering to the set regulations.

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Pension Fund Investment Performance—What Method to Use When

Financial Analysts Journal ◽

10.2469/faj.v22.n1.83 ◽

1966 ◽

Vol 22 (1) ◽

pp. 83-86 ◽

Cited By ~ 4

Author(s):

Peter O. Dietz

Keyword(s):

Pension Fund ◽

Investment Performance ◽

Fund Investment

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Measurement of Pension Fund Investment Performance.

Journal of the Staple Inn Actuarial Society ◽

10.1017/s0020269x00009233 ◽

1980 ◽

Vol 24 ◽

pp. 33-64 ◽

Cited By ~ 1

Author(s):

D. P. Hager

Keyword(s):

United States ◽

United Kingdom ◽

Performance Measurement ◽

Pension Fund ◽

The United States ◽

Qualitative Assessment ◽

Investment Performance ◽

The United Kingdom ◽

The Subject ◽

Fund Investment

In the United States the theoretical and practical aspects of the measurement of investment performance have been well researched, and the investment managers and pension fund trustees are accustomed to having a battery of statistics available on the performance of a pension fund.By contrast, in the United Kingdom, attention has only really been given to this subject in this decade. It has taken time for both investment managers and trustees to appreciate the need to measure performance and to move away from a solely qualitative assessment of the ability of investment managers to one involving a quantitative element.There are just a few papers by U.K. authors on the investment performance of pension funds and the Institute has discussed the subject only once. This was in November 1976 when J. P. Holbrook presented a comprehensive paper covering both theoretical and practical aspects of performance measurement.

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Improving Pension Fund Investment Performance

Managing Pension and Retirement Plans ◽

10.1093/019516590x.003.0015 ◽

2004 ◽

pp. 180-193

Author(s):

August Baker ◽

Dennis E. Logue ◽

Jack S. Rader

Keyword(s):

Pension Fund ◽

Investment Performance ◽

Fund Investment

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Actuaries, Pension Funds and Investment

Transactions of the Faculty of Actuaries ◽

10.1017/s0071368600010077 ◽

1992 ◽

Vol 43 ◽

pp. 125-166

Author(s):

T. G. Arthur ◽

P. A. Randall

Keyword(s):

Decision Making ◽

Asset Allocation ◽

Performance Monitoring ◽

Pension Fund ◽

Pension Funds ◽

Investment Performance ◽

Institutional Investment ◽

Fund Investment

AbstractThe authors discuss the investment of pension and other institutional funds, stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.

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Actuaries, pension funds and investment

Journal of the Institute of Actuaries ◽

10.1017/s0020268100043018 ◽

1990 ◽

Vol 117 (1) ◽

pp. 1-49 ◽

Cited By ~ 9

Author(s):

T. G. Arthur ◽

P. A. Randall

Keyword(s):

Decision Making ◽

Asset Allocation ◽

Performance Monitoring ◽

Pension Fund ◽

Pension Funds ◽

Investment Performance ◽

Institutional Investment ◽

Fund Investment

AbstractThe authors discuss the investment of pension and other institutional funds. stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.

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