ABSTRACT : PT XYZ is State Owned Enterprise that manages Indonesia civil servant pension funds that has very large investment assets compared to other pension fund companies. Even so, in 2019 to 2021 the rate of return from the company’s investment assets was not sufficient to meet the interest rate of the products offered and the level of claim ratio from insurance was too high compared to the premium earned. In order to cover investment needs and development of the business, it is expected that investment assets managed by PT XYZ can be more optimal in order to generate better returns. However, it is known that PT XYZ’s stock portfolio has a very poor performance, where in 2019 to 2021 the income from stock sales and dividends did not reach the set target. The existence of these problems then shows that it is necessary to do stock portfolio optimization in order to achieve a maximum return on investment with an acceptable level of risk. In this study, optimization is carried out on the 2021 portfolio using the Markowitz Portfolio Method which is analyzed using historical stock price data for 5 years, where the performance of the portfolio is measured using the Sharpe Ratio. The results show that the Markowitz Portfolio Selection Method can improve portfolio performance, where the actual portfolio in 2021 has poor performance, and after optimization the experienced portfolio increases in performance from 2.39% to 21.67%.%. The result of the study recommend for the companies to use Markowitz Portfolio Method in order to improve their portfolio performance in evaluating or forming portfolio stocks in the future.

KEYWORDS – Markowitz Portfolio Method,Pension Funds, Portfolio, Sharpe Ratio, Stock