Tanggal AALI GEMA

Close Return Close

8/31/2020 10175 344
9/7/2020 11375 0.117936117936118 358
9/14/2020 10975 -0.035164835164835 372
9/21/2020 10650 -0.029612756264237 368
9/28/2020 9825 -0.077464788732394 370
10/5/2020 10925 0.111959287531807 370
10/12/2020 11100 0.016018306636156 372
10/19/2020 10875 -0.02027027027027 372
10/26/2020 10550 -0.029885057471264 352
Rata-Rata 10716.6666666667 0.006689500525135

Matriks Varian Kovarian

AALI GEMA MBAP
AALI 0.005108667966248 0.000605062941121 0.001129762205453
GEMA 0.000605062941121 0.000880734455687 -0.000195978134894
MBAP 0.001129762205453 -0.000195978134894 0.001395768888149
CPIN -0.0000416 9.7126225463696E-05 0.00042343
KAEF -0.001650180684919 -0.000281181131049 -0.00032499
BIMA -0.000529121731719 5.32334760029134E-05 -6.29484237035383E-05
BINA 0.000288727342396 -0.000256110637907 0.000210966405509
MYOR 0.00180560 0.000557316936798 0.000792273015769
BBRI 0.000755299207295 -3.08830564561624E-05 0.00051741
INDF -0.001444274 -0.000466946424214 -0.000271843

AALI GEMA MBAP

Bobot 0.284985682390953 0.045498681189453 0.170853769133506
proporsi 28.4985682390953 4.54986811894528 17.0853769133506

modal Rp 100,000,000,000
AALI GEMA MBAP
Rp 28,498,568,239.10 Rp 4,549,868,118.95 Rp 17,085,376,913.35
GEMA MBAP INDR
Return Close Return Close
2120 2250
0.040697674418605 2220 0.047169811320755 2230
0.039106145251397 2080 -0.063063063063063 2220
-0.010752688172043 2050 -0.014423076923077 2160
0.005434782608696 2030 -0.009756097560976 2170
0 2040 0.004926108374384 2150
0.005405405405405 2150 0.053921568627451 2290
0 2180 0.013953488372093 2310
-0.053763440860215 2230 0.022935779816514 2280
0.003265984831481 0.00695806487051

INDR KAEF BIMA BINA

-0.0000416 -0.001650180684919 -0.000529121731719 0.000288727342396
9.7126225463696E-05 -0.000281181131049 5.32334760029134E-05 -0.000256110637907
0.00042343 -0.00032499 -6.29484237035383E-05 0.000210966405509
0.000769932037 0.00076206 0.000412552603328 -0.000118981
0.00076206 0.003336437123099 0.000581842886118 -0.000221612590249
0.000412552603328 0.000581842886118 0.000844049091904 -0.000193605000958
-0.000118981 -0.000221612590249 -0.000193605000958 0.000412275403516
4.6186930717413E-05 -0.001393117472555 -0.000809192311417 0.000159028018197
0.00020301 -0.00061917 -0.000181582301275 0.000110348294036
6.3058898262783E-05 -0.000108441493631 0.000668850418753 0.000122524105233

CPIN KAEF BIMA BINA

0.123714581210002 0.003859807060712 0.037069292191262 0.024279851216127
12.3714581210002 0.385980706071177 3.70692921912614 2.42798512161274

CPIN KAEF BIMA BINA

Rp 12,371,458,121.00 Rp 385,980,706.07 Rp 3,706,929,219.13 Rp 2,427,985,121.61
INDR KAEF BIMA
Return Close Return Close Return
3150 6300
-0.008888888888889 2820 -0.104761904761905 6075 -0.035714
-0.004484304932735 2840 0.00709219858156 6200 0.0205761
-0.027027027027027 2880 0.014084507042254 6200 0
0.00462962962963 3040 0.055555555555556 5950 -0.040323
-0.009216589861751 3080 0.013157894736842 5750 -0.033613
0.065116279069768 3340 0.084415584415585 5975 0.0391304
0.008733624454148 3220 -0.035928143712575 6025 0.0083682
-0.012987012987013 3150 -0.021739130434783 5925 -0.016598
0.001984463682016 0.001484570177817 -0.007272

MYOR BBRI INDF

0.00180560 0.000755299207295 -0.001444274
0.000557316936798 -3.08830564561624E-05 -0.000466946424214
0.000792273015769 0.00051741 -0.000271843
4.61869307174132E-05 0.00020301 6.30588982627832E-05
-0.001393117472555 -0.00061917 -0.000108441493631
-0.000809192311417 -0.000181582301275 0.000668850418753
0.000159028018197 0.000110348294036 0.000122524105233
0.002708786343918 0.00097368 -0.001000376066764
0.00097368 0.001036973740404 0.000140388
-0.001000376066764 0.000140388 0.002102895545551

MYOR BBRI INDF

0.181554407507813 0.137363490010982 -0.009179561910808 1
18.1554407507813 13.7363490010982 -0.917956191080834

MYOR BBRI INDF

Rp 18,155,440,750.78 Rp 13,736,349,001.10 Rp (917,956,191.08)
 BINA MYOR BBRI INDF IHSG
Close Return Close Return Close Return Close Return Close Return
6900 2350 3450 10875 5239
6925 0.003623 2590 0.102128 3510 0.017391 10475 -0.036782 5016 -0.042565
6800 -0.018051 2510 -0.030888 3440 -0.019943 11000 0.050119 5059 0.008573
6700 -0.014706 2320 -0.075697 3190 -0.072674 10925 -0.006818 4945 -0.022534
6600 -0.014925 2400 0.034483 3160 -0.009404 10500 -0.038902 4926 -0.003842
6575 -0.003788 2440 0.016667 3199 0.012342 9975 -0.05 5053 0.025782
6500 -0.011407 2400 -0.016393 3190 -0.002813 10075 0.010025 5103 0.009895
6250 -0.038462 2410 0.004167 3280 0.028213 10450 0.037221 5112 0.001764
6450 0.032 2380 -0.012448 3340 0.018293 11225 0.074163 5144 0.00626
-0.008214 0.002752 -0.003575 0.004878 -0.002084
TANGGAL CLOSE PRICE
AALI GEMA MBAP INDR KAEF BIMA BINA MYOR BBRI
8/31/2020 10175 344 2120 2250 3150 6300 6900 2350 3450
9/7/2020 11375 358 2220 2230 2820 6075 6925 2590 3510
9/14/2020 10975 372 2080 2220 2840 6200 6800 2510 3440
9/21/2020 10650 368 2050 2160 2880 6200 6700 2320 3190
9/28/2020 9825 370 2030 2170 3040 5950 6600 2400 3160
10/5/2020 10925 370 2040 2150 3080 5750 6575 2440 3199
10/12/2020 11100 372 2150 2290 3340 5975 6500 2400 3190
10/19/2020 10875 372 2180 2310 3220 6025 6250 2410 3280
10/26/2020 10550 352 2230 2280 3150 5925 6450 2380 3340
INDF IHSG
7600 5239
7575 5016
7525 5059
7125 4945
7075 4926
7225 5053
7075 5103
7075 5112
7000 5144
TANGGAL EXPECTED RETURN
AALI GEMA MBAP INDR KAEF
8/31/2020
9/7/2020 0.11793611794 0.040697674419 0.04716981132075 -0.008888888889 -0.104761904762
9/14/2020 -0.03516483516 0.039106145251 -0.06306306306306 0 0.007092198582
9/21/2020 -0.02961275626 -0.01075268817 -0.01442307692308 -0.027027027027 0.014084507042
9/28/2020 -0.07746478873 0.005434782609 -0.00975609756098 0.0046296296296 0.055555555556
10/5/2020 0.11195928753 0 0.00492610837438 -0.009216589862 0.013157894737
10/12/2020 0.01601830664 0.005405 0.05392156862745 0.0651162790698 0.084415584416
10/19/2020 -0.02027027027 0 0.01395348837209 0.0087336244541 -0.035928143713
10/26/2020 -0.02988505747 -0.05376344086 0.02293577981651 -0.012987012987 -0.021739130435
EXPECTED RETURN
BIMA BINA APLN ISAT INDF IHSG

-0.03571428571 0.003623188406 0.017391304348 0.017391304348 -0.036781609195 0.00857257

0.020576131687 -0.01805054152 -0.03088803089
0 -0.01470588235 -0.07569721116
-0.04032258065 -0.01492537313 0.034482758621
-0.03361344538 -0.00378787879 0.016666666667
0.039130434783 -0.01140684411 -0.01639344262
0.008368200837 -0.03846153846 0.004166666667
-0.01659751037 0.032 -0.01244813278
-0.01994301994 0.050119331742 -0.0225341
-0.0726744186 -0.006818181818 -0.00384226
-0.00940438871 -0.038901601831 0.02578157
0.012341772152 -0.05 0.00989511
-0.00281337918 0.010025062657 0.00176367
0.028213166144 0.037220843672 0.00625978
0.018292682927 0.074162679426 -0.00208363
TANGGAL RETURN
AALI GEMA MBAP INDR KAEF
8/31/2020
9/7/2020 0.111484233508 0.039891329027 0.0460911072 -0.0089286307 -0.110665567888
9/14/2020 -0.03579800588 0.038360867872 -0.0651393022 -0.0044943896 0.0070671672231
9/21/2020 -0.03006006681 -0.0108109161 -0.0145281006 -0.0273989742 0.0139862419747
9/28/2020 -0.0806297344 0.005420067469 -0.0098040001 0.00461894586 0.0540672212703
10/5/2020 0.106123583226 0 0.0049140148 -0.0092593254 0.0130720815674
10/12/2020 0.015891367337 0.005390848635 0.05251803428 0.06308397543 0.0810412100031
10/19/2020 -0.02047853134 0 0.01385703466 0.00869570697 -0.036589447432
10/26/2020 -0.03034071705 -0.05526267868 0.02267670867 -0.0130720816 -0.021978906719
Jumlah 0.036192128593 0.022989518225 0.05058549679 0.01324522675 0
Standar Deviasi 0.06949402779 0.029823498678 0.03749930172 0.02715523266 0.0585248533142
E(Ri) Return 0.004524016074 0.002873689778 0.0063231871 0.00165565334 0
RETURN
BIMA BINA APLN BBRI INDF IHSG

-0.03636764417 0.0036166404702 0.09724254756 0.017241806435 -0.0032948959 -0.0434978371

0.02036730282 -0.018215439891 -0.0313751226 -0.020144566092 -0.0066225408 0.00853603198
0 -0.014815085785 -0.0787155675 -0.075450554589 -0.0546210845 -0.02279187024
-0.04115807249 -0.015037877365 0.03390155168 -0.009448889198 -0.0070422826 -0.00384966538
-0.03419136475 -0.003795070969 0.01652930195 0.012266233369 0.0209797905 0.02545482661
0.03838424301 -0.011472401162 -0.016529302 -0.002817344171 -0.0209797905 0.00984647577
0.00833338156 -0.039220713153 Err:508 0.027822505599 0 0.00176211499
-0.01673679236 0.0314986670594 Err:508 0.018127384593 -0.0106572945 0.00624026986
-0.06136894638 -0.067441280796 Err:508 -0.032403424055 -0.0822380982 -0.01829965349
0.02916116804 0.0203484467137 Err:508 0.03298266902 0.0215017077 0.02152839514
-0.0076711183 -0.008430160099 Err:508 -0.004050428007 -0.0102797623 -0.00228745669
TANGGAL RISK
AALI GEMA JPFA KLBF KAEF
8/31/2020
9/7/2020 0.0114404881 0.0013703056 0.0015814875 0.0001120271 0.0122468679
9/14/2020 0.0216920580 0.0000023423 0.0123722040 0.0000196625 0.0138609969
9/21/2020 0.0000329239 0.0024178643 0.0025614937 0.0005246200 0.0000478736
9/28/2020 0.0025572913 0.0002634448 0.0000223171 0.0010251472 0.0016064849
10/5/2020 0.0348768016 0.0000293771 0.0002166200 0.0001926064 0.0016806015
10/12/2020 0.0081418528 0.0000290612 0.0022661427 0.0052335532 0.0046198024
10/19/2020 0.0013227695 0.0000290612 0.0014946729 0.0029580837 0.0138369716
10/26/2020 0.0000972627 0.0030539637 0.0000777866 0.0004738366 0.0002134679
Jumlah 0.0801614480 0.0071954204 0.0205927245 0.0105395367 0.0481130667
N 9 8 8 8 8
Standar Deviasi 0.0089068276 0.000899427547 0.00257409056 0.00131744209 0.00601413334
Variasi (Risk) 0.0943759904 0.029990457603 0.05073549604 0.0362965851 0.07755084356
 RISK
ISAT INDR UNVR SCMA INDF

0.0008234906 0.0001451254 Err:508 0.0004533592 0.0000487884

0.0032188542 0.0004766397 0.0165425051 0.0013977409 0.0000110732
0.0004148270 0.0000115624 0.0022411177 0.0030587524 0.0023038602
0.0016939869 0.0000000496 0.0126826155 0.0043562198 0.0022637424
0.0000485350 0.0001264007 0.0003017951 0.0004715465 0.0007852366
0.0052672188 0.0000589414 0.0010928713 0.0002275143 0.0017606064
0.0009030543 0.0007699688 Err:508 0.0009388004 0.0004401516
0.0006285136 0.0050012307 Err:508 0.0000939954 0.0001135779
0.0129984805 0.0065899188 Err:508 0.0109979289 0.0077270367
8 8 8 8 8
0.001624810064 0.000823739853948 Err:508 0.0013747411151 0.0009658795888
0.040308932812 0.028700868522544 Err:508 0.03707750146789 0.0310786033924
 IHSG

0.0016982955
0.0027075235
0.0009814375
0.0003588071
0.0008587533
0.0002436206
0.0000653569
0.0000200539
0.0069338482
8
0.0008667310241
0.029440295925
 AALI GEMA MBAP INDR KAEF
Bobot 0.284985682390953 0.04549868119 0.17085376913 0.12371458121 0.003859807061
proporsi 28.4985682390953 4.54986811895 17.0853769134 12.371458121 0.385980706071

modal 100000000000
AALI GEMA MBAP INDR KAEF
28498568239.0953 4549868118.95 17085376913 12371458121 385980706.0712

URAIAN AMRT SGRO JPFA KLBF KAEF

ALPHA 0.004833082515477 0.00395106975 0.00328408448 0.002117216057 0.000627057983
BETA 0.623673164691405 -0.2301577954 1.23429258233 0.143716816788 0.28808562608
VARIANCE-ei 0.082924650985598 0.02843092827 0.00588384762 0.035688509815 0.075107495427
VAR-ei*Xi Wi 0.023632338248162 0.00810240749 0.00167681233 0.010170714323 0.021404560837

ALPHA PORT -0.001223476222532

BETA PORT 0.280855297244396
E (Rp) -0.001865920550109
VAR. PORT 0.203223625644891
RISK PORT 0.450803311483946
 BIMA BIMA MYOR BBRI INDF
0.03706929219 0.02427985122 0.181554407507813 0.13736349001 -0.0091795619108
3.70692921913 2.42798512161 18.1554407507813 13.7363490011 -0.9179561910808

BIMA BINA MYOR BBRI INDF

3706929219.13 2427985121.61 18155440750.7813 13736349001.1 -917956191.08084

ISAT INDR MYOR BBRI INDF

-0.0032277095 -0.00808071265 -0.013192862126523 -0.0057517385 0.01142804913492
-1.3585764852 -0.04489909188 1.79834583176285 0.73144266917 -2.2004166259013
-0.0140299065 0.02864151899 0.512502814039862 0.02132669649 -0.1114664025899
-0.0039983225 0.00816242283 -0.007732762644096 0.006077803 -0.0317663288057
 1
100

IHSG
0
1
0
0.0357296452793
0.0012766075518