ICBP (Indofood) W 50% 50%

Date Return_ICBP Return_GIAA PortoReturn ICBP GIAA Mean

Aug-20 12.23% 7.38% 9.80% 0% 100% 3.18%
Jul-20 -1.60% -0.81% -1.21% 5% 95% 3.07%
Jun-20 14.72% 3.36% 9.04% 10% 90% 2.95%
May-20 -17.47% 13.33% -2.07% 15% 85% 2.84%
Apr-20 -3.42% 16.02% 6.30% 20% 80% 2.73%
Mar-20 -0.49% -27.60% -14.04% 25% 75% 2.62%
Feb-20 -9.67% -38.12% -23.89% 30% 70% 2.51%
Jan-20 2.02% -18.88% -8.43% 35% 65% 2.40%
Dec-19 -1.55% 0.40% -0.57% 40% 60% 2.29%
Nov-19 -2.58% -15.93% -9.26% 45% 55% 2.18%
Oct-19 -3.33% 15.69% 6.18% 50% 50% 2.07%
Sep-19 -0.21% 4.51% 2.15% 55% 45% 1.95%
Aug-19 12.62% 22.00% 17.31% 60% 40% 1.84%
Jul-19 5.42% 9.29% 7.35% 65% 35% 1.73%
Jun-19 3.57% -15.28% -5.85% 70% 30% 1.62%
May-19 0.77% -7.30% -3.26% 75% 25% 1.51%
Apr-19 4.29% -1.69% 1.30% 80% 20% 1.40%
Mar-19 -8.80% -13.03% -10.91% 85% 15% 1.29%
Feb-19 -5.10% 20.04% 7.47% 90% 10% 1.18%
Jan-19 3.11% 52.35% 27.73% 95% 5% 1.06%
Dec-18 6.09% 34.23% 20.16% 100% 0% 0.95%
Nov-18 10.36% 9.90% 10.13%
Oct-18 #DIV/0!

Mean 0.95% 3.18% 2.07% 2.07%

Variance 0.005735185 0.0400548454 0.013413 0.015332
Std Dev 0.075731001 0.2001370664 0.115814
Covariance 0.003930565
Correlation 0.259330564
Rf 0.35% Monthly Rate of Return from Deposito Yearly return 4,25%

Portofolio Risk and Return

W_ICBP 48%
W_GIAA 51.69%
Portofolio Return Err:502 2.10%
Portofolio Variance 0.0140018725
Portofolio Std Dev 0.1183295081 Min Var
Risk Premium 1.75% Portofolio Risk and Return
Sharpee Ratio 0.14775725 W_ICBP
W_GIAA
Portofolio Return
Portofolio Variance
Portofolio Std Dev
Risk Premium
Sharpee Ratio

Max Sharpee: Tangency

Portofolio Risk and Return
W_ICBP
W_GIAA
Portofolio Return
Portofolio Variance
Portofolio Std Dev
Risk Premium
Sharpee Ratio
 Variance StDev
0.040055 20.01%
0.036537 19.11%
0.033209 18.22%
0.030071 17.34%
0.027122 16.47%
0.024363 15.61%
0.021794 14.76%
0.019414 13.93%
0.017224 13.12%
0.015224 12.34%
0.013413 11.58%
0.011792 10.86%
0.01036 10.18%
0.009118 9.55%
0.008066 8.98%
0.007203 8.49%
0.00653 8.08%
0.006047 7.78%
0.005754 7.59%
0.00565 7.52%
0.005735 7.57%

Risk and Return

0.952421
0.047579
#DIV/0! 1.06%
0.005649
 7.52%
0.007054
0.093854

pee: Tangency
Risk and Return
0.483149
0.516851
#DIV/0! 2.10%
0.014002
11.83%
0.017484
0.147757
 17 Pertanyaan
60 Menit
3.529412 menit per soal
 Vo 10
Continuosly compounded
annual ret 2.50%
t 3 year

1 Vt V0*Exp(r*t)
10.78

2 Vt of volatil Stock of 40 Year Continuosly compounded

mean - 0.03
StdDev 0.2500
ln_mean -0.09
ln_SD 0.433012701892

E[Vt] Vo*Exp((miu*T)+(SD^2/2*T))
10.037570

3 Probability of Vt > $10.000 10000

equal to 1 - probability of Vt <= $10.000
probability of Vt <= $10.000
1 cdf of z (ln((10.000/V0)+Exp(rf*T))- mean * T)/ SD*T^0,5
16.16311
1 1.0000000000
-
 Calculation of Standard Deviation
6a
Scenario Probability Rate of Return cxd

Severe Recesion 0.05 -40 -2

Mild Recession 0.25 -14 -3.5
Normal Growth 0.4 17 6.8
Boom 0.3 33 9.9
Expected Return / mean 11.2

6b Calculation of Covariance

Deviation from Mean Return

Probability Stock Fund Bond Fund
Severe Recesion 0.05 -51.2 -14
Mild Recession 0.25 -25.2 10
Normal Growth 0.4 5.8 3
Boom 0.3 21.8 -10
Expected Return Covar Stock and Bond
correlation

7a New state probability

Scenario Probability Rate of Return cxd

Severe Recesion 0.1 -40 -4

Mild Recession 0.2 -14 -2.8
Normal Growth 0.35 17 5.95
Boom 0.35 33 11.55
Expected Return / 1 10.7

7b Deviation from Mean Return

Probability Stock Fund Bond Fund
Severe Recesion 0.1 -51.2 -14
Mild Recession 0.2 -25.2 10
Normal Growth 0.35 5.8 3
Boom 0.35 21.8 -10
Expected Return 1 Covar Stock and Bond
correlation
 cash fund (rf) Share fund
8 return Return 5.50% 15%
SD 0 32%
Var (SD^2) 10.24000%

correlation 15%
cov 1.104%

Wmin_S SD_b^2-Cov(rs,rb) / (SD_s^2+SD_b^2-2*cov(rs,rb)

31.42% 31.421708452%

Wmin_B 68.578291548%

Wa^2*SD_a^2+Wb^2*SDb^2+2*Wa*Wb*Cov(a,b)
Var_min 3.97%
SD_min 19.94%

Sharpee Ratio (Era-Rf)/SDa

Portofolio Risk and Return

W_s 31.42%
W_b 68.58%
Portofolio Return 0.10885302489 10.89%
Portofolio variance 0.03974687284
Portofolio Std Dev 0.19936617778
Risk Premium 5.39%
Sharpee Ratio 0

9
Deviation from Expected RetuSquared Deb x g

-51.2 2621.44 131.072

-25.2 635.04 158.76
5.8 33.64 13.456
21.8 475.24 142.572
Variation 445.86
Standard Dev 21.1154

Var a Var b
dxe cxf
716.8 35.84 2621.44 196
-252 -63 635.04 100
17.4 6.96 33.64 9
-218 -65.4 475.24 100
-85.6 3765.36 405
-0.069318
SD a SD b
61.36253 20.124611797

Deviation from Expected RetuSquared Deb x g

-51.2 2621.44 262.144

-25.2 635.04 127.008
5.8 33.64 11.774
21.8 475.24 166.334
Variation 567.26
Standard Dev 23.81722

Var a Var b
dxe cxf
716.8 71.68 2621.44 196
-252 -50.4 635.04 100
17.4 6.09 33.64 9
-218 -76.3 475.24 100
-48.93 3765.36 405
-0.039623
 SD a SD b
61.36253 20.124611797

Bond Fund
9%
23%
5.29000%

D_b^2-2*cov(rs,rb)

2*Wa*Wb*Cov(a,b)

Max Sharpee
Portofolio Risk and Return
W_s 64.66%
W_b 35.34%
Portofolio Return 0.128798
Portofolio variance 0.054467
Portofolio Std Dev 0.233382
Risk Premium 0.073798
Sharpee Ratio 0.316209
covar Jumlah dari probability dikali dev from return a dikali dev from return b
corellationcovar dibagi sd a x sd b atau akar dari var a x akar var b

45,000
39,000
84,000

8
Er of Dr Nick
Squid (SCL The And (TAD) T-Bill (Rf) Market Port (rm)
Price per share 1 1
Expected Return 0.02 0.06
Variance 0.09 0.04 0 0.0576
Covariance with rm 0.06912 0.02304 0 0.0576
total Share 1000 -1000
Total Capital 1000 -1000 50000
w 0.5 0.5

Expected Return (porto) - (sum of Weighted return)

Beta 1.3 1.9 (Covariance / var market) of the port
Correlation (p) 0.055296 0.027648 (Covariance / SD_a * SD_b)
Variance of Porto 0.0325 =C12^2*C8+D12^2*(weighted variance)
SD of Porto 18.03% (sqrt of variance

Correlation (Cov(a,b)/SD_s*SD_b)
(Cov (market)
b = cov (rp, rm) / (Var (rm)) = corr (rp, rm) * SD_rp*SD_rm
1.600 corr (rp, rm) 2.130

is it on CML Correlation with market = 1

Correlation with the market is not 1, so it also not on the CML

is it on SML satisfies the formula Er = rf + b (Rm-rf)

Squid SCL TAD

actual Er 0.00% 0.00%
Er formula 7.20% 9.60%

Conclusion : no its not on SML

4d get CAPM where Variance (SD) of p is 0.0325

SD 18.03%

Var_new = wnew*SD_m
w_new var_new 18.03%
SD_m 0.24
 0.751157
return vt
w_m 0.75115652 0.06 0.045069
W_t bill 0.24884348 2% 0.004977
5.00%
if calculating Return:
With market colaboration 5.00%
with the portofolio 0.00%
Difference 5.00% higher return with the same SD (23,01%)

4e new portofolio with same beta

old_beta 0.8
beta_s 1.3
beta_t 1.9
wnew 0.8
w*beta_s + (1-w)*beta_t
w*beta_s+Beta_t-w*beta_t
w*beta_s-w*beta_t+beta_t
w(beta_s-beta_t)+beta_t
wnew (w_old - beta_t)/(beta_s-beta_t)
1.833333

w Porto 0.5
w on risk free 0.5

New Variance porto 0.0325

New SD porto 18.03%

delta variance 0.00% lower var from non systematic

 covariance (a,b) sum of probability (times dev from mean) a times (dev from mean b)

1.600 weighted beta

the same SD (23,01%)
 Tesla Other
w_tesla 30% 70.00%
Return 25% 2%
8% 1% 8.90000%

Gold man other

w 44% 56.00%
beta 1.1 0.8
0.484 0.448 0.932

Share A share B market rf

Er 12% 6% 7% 4%
beta 1.2 0.8

Er CAPM 7.60% 6.40%

Expected Varianc
Asset Beta
return e
T-bill 0.02 0 0
Market
0.06 0.01 ?
portfolio
FBK ? 0.36 1.5
APL 0.1 0.1225 ?
 FBK
CAPM 0.0800000

Asset Expected retuVariance Beta w Covariance (rm, rpor)

T-bill 0.02 0 0
Market por 0.06 ? 1 0.018
ABC ? 0.09 1.3 50%
XNF ? 0.04 1.9 50%

Variance of Market Protofolio

0.0325
0.009
13
Asset Expected retuVariance Beta
T-bill 0.01 0 0
Market por 0.08 ? ?
DNF 0.1 0.0625 ?
DSQ ? 0.3025 1.9

optimal porto?

14
Asset Expected retuVariance Beta
T-bill 0.05 0 0
MCU 0.12 0.16 ?
AJA 0.18 0.16 2.6

Beta of MCU?
Er 14

rm 0.13
2.6
0.05
0.05
0.1

15
Expected Varianc
Asset Beta w
return e
T-bill 0.05 0 0
 BAY 0.14 0.25 1.3 40% 0.25 0.5
0,04      
BAR 0.03 ?
            60% 0.04 0.2

Var
porto 0.088
Correl
porto 0.0352 0.880000

16

w rf?

17 vo 1
Asset Expected retuVariance Correlation
CTY 0.1 0.2025
JUV 0.04 0.0784
-0.3

t 5

Prob CTY<JUV?