MANAGING THE PENSION FUND TO IMPROVE PORTFOLIO PERFORMANCE: AN EMPIRICAL STUDY ON EMPLOYER PENSION FUNDS IN INDONESIA

The success of the pension fund management company is determined by the ability of management to manage existing resources. This study attempts to examine the effect of market timing ability, stock selection skills, company size and portfolio turnover on the performance of the portfolio on employer pension funds in Indonesia, which amounted to 64 employer pension funds, equal to 960 observations for all variables during 2014-2016. By using multiple regression test, the results showed that independent variables of market timing ability and stock selection skills have significant positive effects on portfolio performance. By contrast, the independent variables of company size and portfolio turnover have no significant effect on the portfolio performance of employer pension funds.