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Fitri Tugas Investasi
Fitri Tugas Investasi
σm x Ai / (1 + σm x β)
akar varian
CTBN UNVR BDMN Rf RIHSG RACES RAALI RKIJA RKLBF RWEHA RSMDR RABMM RCTBN RUNVR RBDMN Rf
E (R)ARIT = α + β * (RIHSG)
varian saham (σ²) dan pasar (σm) σ² 0.0017 0.0064 0.0129 0.0104 0.0043 0.0112 0.0263 0.0061 0.0039 0.0038 0.0172 0.0000
alfa α 0.0123 -0.0062 -0.0009 -0.0002 -0.0130 0.0061 -0.0179 -0.0086 -0.0006 -0.0061
beta β 0.740 1.623 1.188 0.779 1.048 1.772 -0.134 0.432 0.468 2.128
β² x (σm + σ²) σₑᵢ² 0.004 0.039 0.017 0.004 0.014 0.088 0.000 0.001 0.001 0.085
[Expected excess return x β] / σₑᵢ² Ai 1.67 -0.16 -0.05 -0.48 -1.00 0.19 23.59 -5.13 -1.64 -0.02
β²/σₑᵢ² Bi 122.95 68.35 82.47 167.59 77.31 35.75 128.60 178.32 182.10 52.98
σm x Ai / (1 + σm x β) Ci 0.0028 -0.0003 -0.0001 -0.0008 -0.0017 0.0003 0.0400 -0.0087 -0.0028 0.0000
Expected excess return / β ERB 0.014 -0.002 -0.001 -0.003 -0.013 0.005 0.183 -0.029 -0.009 0.000
max∑Ci C* 0.040 0.040 0.040 0.040 0.040 0.040 0.040 0.040 0.040 0.040
akar varian STD 0.0802 0.1137 0.1021 0.0654 0.1060 0.1621 0.0780 0.0626 0.0616 0.1311
std/E(R) CV 4.97 47.76 18.85 16.88 -14.20 10.52 -4.20 -9.88 33.03 25.61
KESIMPULAN FEASIBLE
EER
exRACES exRAALI exKIJA exKLBF exWEHA exSMDR exRABMM exRCTBN exRUNVR exRBDMN
13.69% -13.72% -1.54% -3.31% -6.44% 1.35% -3.91% 4.03% 20.63% -1.55%
-2.83% 21.92% 11.43% 10.51% -2.17% -1.86% -2.68% -0.64% -4.24% -6.23%
2.71% -12.18% 0.13% -5.49% -0.64% -0.19% -1.40% -0.64% -1.46% -14.06%
-10.93% -12.77% -4.47% 3.34% 8.65% 0.02% 4.11% -0.66% 0.58% -0.96%
10.82% 8.41% 12.08% 6.37% -1.33% -9.96% -4.26% -0.62% 3.96% 7.30%
4.29% -1.94% 9.98% 8.90% 2.99% 6.77% -2.47% -0.58% -0.63% -1.71%
2.50% 12.51% 0.68% 6.57% -0.59% 50.09% -16.36% -0.59% 0.74% 15.98%
-13.09% -10.19% -8.14% -5.05% -2.66% -14.98% 10.37% -0.59% -3.00% -1.32%
-2.89% 2.26% 1.44% 0.85% -2.01% 7.80% -5.13% -5.11% -0.77% -5.30%
0.49% 7.84% -4.68% -14.48% -2.11% -6.40% -3.70% -0.68% -9.56% -16.49%
-4.13% 0.70% 0.73% 0.34% 9.48% -3.26% -10.44% -2.55% -4.92% 13.49%
-11.47% -6.65% -1.37% -4.98% -2.01% -2.91% 7.68% -0.69% 5.50% 11.44%
2.67% -5.92% 5.52% 4.83% 14.65% -2.96% 5.68% -7.42% 1.68% 18.30%
6.50% -0.98% 6.50% 0.01% 5.14% 9.59% -1.92% -0.64% 2.08% -5.69%
12.69% -4.00% -0.64% 2.28% 4.82% 3.58% 0.66% -0.64% 2.07% 2.76%
12.18% -1.35% -3.69% -3.49% 1.94% 7.44% -0.23% -0.66% 3.11% 6.85%
-0.15% 2.18% 2.06% 4.90% -0.12% -9.24% -0.62% -0.62% 5.06% -2.54%
4.14% -0.41% -3.03% 6.19% 2.94% -3.45% 0.27% -0.58% -0.27% 10.64%
-2.40% -0.43% -3.11% -2.04% -7.88% -11.48% -1.44% -0.59% 2.67% -4.98%
10.88% 0.26% -1.88% -3.22% 7.26% 0.93% -0.59% -0.59% -3.70% -5.18%
2.69% -2.62% -1.26% -4.51% -4.00% 0.89% 0.67% -0.60% 0.67% -2.53%
-5.86% -5.66% -2.00% -0.68% -0.18% 64.76% 2.26% -0.68% -1.29% -2.15%
-3.60% -5.72% -5.33% 4.96% 0.34% -14.00% -6.78% -0.66% 12.73% 37.65%
16.25% -1.78% 3.56% -2.12% 1.34% 44.24% -3.25% -0.64% -3.32% 2.24%
-2.11% 10.33% -7.34% -4.53% 1.31% -10.36% -3.75% -7.84% -1.55% -8.32%
-0.59% -7.17% -6.34% -6.84% -0.59% -15.49% 0.34% -2.81% -8.70% 3.58%
-2.84% -5.78% -6.69% -0.25% -0.59% -8.42% -4.70% -0.59% -7.00% -3.86%
-4.43% -2.34% -11.96% -9.55% -26.77% -7.58% 1.80% -0.58% -2.20% -12.99%
1.03% -11.32% -2.40% -11.52% -15.41% -6.48% -4.29% -0.57% 0.53% 8.87%
2.57% -3.48% 2.22% 5.57% 6.24% -4.58% 5.22% -0.58% -6.76% 2.56%
3.26% 23.58% -4.19% 3.30% 2.28% -4.13% -6.95% -0.56% 0.83% 2.87%
5.34% -8.69% 2.29% 2.06% 1.53% -7.33% -2.98% 6.28% 6.70% 5.34%
-5.43% -3.79% 1.27% -1.29% -0.57% -5.20% 8.93% -9.08% -8.65% 2.56%
17.34% -9.08% 9.37% 10.77% 0.81% 2.24% -9.68% -0.54% -2.80% -0.54%
-8.26% 7.22% 12.59% -0.85% 0.81% 4.20% 13.55% -0.52% 6.93% 1.83%
13.42% 17.72% -6.47% 4.59% -1.33% 21.91% -1.99% -0.67% 9.46% 19.07%
2.59% -12.08% -6.03% -7.21% -0.65% -9.07% -2.44% -0.65% -3.30% -6.97%
0.79% -9.91% -1.45% 1.03% 0.69% -5.81% -1.55% -0.64% 0.49% 6.99%
-7.95% -3.98% 1.81% 0.99% -6.53% -1.86% -7.07% -0.65% -8.22% -4.19%
4.48% -3.66% 7.33% -9.73% 5.58% -8.64% -13.90% -0.67% -2.87% -48.35%
3.71% -2.04% 16.42% 3.30% 9.84% 2.72% 12.38% -0.61% 0.51% 3.06%
0.77% -4.70% -3.15% 0.07% -8.31% -3.84% -8.36% -0.61% -3.73% 5.11%
-6.61% 4.65% 2.63% 14.35% 5.80% -9.28% -2.24% -0.61% 11.43% -5.83%
2.00% 2.01% -0.61% -1.50% -8.44% -0.61% 11.79% -0.61% -5.42% -1.86%
-5.10% 5.45% 0.67% -5.36% -3.20% -2.04% -27.05% -25.47% -6.55% -12.16%
-7.10% 9.69% -2.45% -4.98% -0.59% -15.40% -3.92% -0.59% -4.99% -12.97%
-5.97% 15.09% -8.18% 5.64% -1.26% 9.85% 4.93% -3.06% -0.11% 6.75%
14.50% -19.08% 0.82% -12.28% 0.80% -15.51% -6.11% -0.55% -5.91% -12.45%
-12.49% -18.05% -7.33% -15.26% -20.57% -22.80% 1.50% -25.34% -14.72% -9.48%
-14.85% -45.56% -56.46% -2.30% -30.66% -23.87% -3.37% -0.66% 5.57% -34.73%
16.27% 12.31% 7.54% 19.34% -7.80% 13.30% -0.31% 2.72% 13.48% 18.48%
1.69% 20.70% 5.45% -2.35% 40.41% -3.33% 2.51% -0.61% -6.96% -2.62%
-3.50% 10.55% 2.26% 2.58% -10.60% 32.27% -6.33% -0.60% 1.33% 9.64%
15.33% 17.36% 9.85% 6.62% -23.80% 33.12% -23.78% -0.57% 5.76% 1.29%
-12.29% 4.32% -10.01% 0.39% -8.47% 13.60% -11.73% -0.57% -2.66% -1.30%
2.66% -0.58% 27.89% -2.48% -27.72% -10.92% -13.67% -0.58% -2.10% -20.80%
-2.43% 6.33% 11.88% -2.16% 5.33% 7.14% 0.05% 24.35% -3.95% 12.81%
0.76% 12.82% 1.41% -1.83% 8.74% -0.52% -16.08% 11.90% -1.79% 28.35%
7.71% -0.50% 0.45% -2.16% 6.28% 0.93% 7.31% -6.89% -5.35% -1.44%
1.01% -0.37% -0.07% -0.22% -1.36% 0.93% -2.47% -1.24% -0.42% -0.10%