Open AccessAnalysis of the Effect of Asset Allocation on Portfolio Performance with Diversification as an Intervening Variable
Author(s) -
Dipa Teruna Awaludin,
Hasanudin Hasanudin,
Faysal Deni Rahman
Publication year - 2021
Publication title -
international journal of science and society
Language(s) - English
Resource type - Journals
ISSN - 2715-8780
DOI - 10.54783/ijsoc.v3i3.350
Subject(s) - diversification (marketing strategy) , portfolio , intervening variable , business , asset allocation , pension , sobel test , actuarial science , variables , economics , econometrics , finance , statistics , marketing , mathematics , population , demography , sociology , path analysis (statistics)
This study aims to analyze the effect of asset allocation on portfolio performance with diversification as an intervening variable in the Pension Fund, a non-bank financial institution that manages the pension program and is registered and supervised by the Financial Services Authority (OJK) in the 2016-2019 period. A total of 34 Pension Funds were sampled so that the total sample was 136 in the 2016-2019 period. Data analysis using Structural Equation Modeling (SEM). The results showed that Selection Ability and Fund Size had a significant effect on Diversification, while Timing Ability had a significant effect on Portfolio Performance. Intervening test using Sobel Test shows that Diversification has not been able to mediate Asset Allocation on Portfolio Performance.