Asset Allocation Analysis of Investment Portfolio Performance (Taspen Case Study of Life Insurance)

Author(s)

Mulyono , Zaenal Abidin , Ruben Sukatendel , Edian Fahmy ,

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Volume 10 - September 2021 (09)

Abstract

This study aims to analyze asset allocation on the investment portfolio performance of the Taspen Life Insurance company. Taspen Life Insurance Company is a traditional life insurance which focuses on group life insurance. The method used in this research is Sharpe ratio, Treynor ratio, Jensen alpha, Tangency portfolio and Global Minimum Variance (GMV). The Sharpe ratio ranges from 0.42 to 6.89. Taspen Life's Sharpe ratio is lower than the Sharpe ratio produced by the tangency portfolio and global minimum variance. Companies could use the portfolio generated by the tangency portfolio as a solution to achieve the highest degree of profit, if the portfolio formed by the tangency portfolio has a composition that corresponds to the company's investment orientation.

Keywords

Asset allocation, Global Minimum Variance, Insurance Company, Jensen alpha, Sharpe ratio, Tangency portfolio, Treynor ratio. 

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