Portfolio Management

Dataset

BBRI BBNI BBTN BBCA BJBR

1 2 3 4 5
BBRI BBNI BBTN BBCA BJBR
3,683,759,521 6,894,923,340 1,612,884,644 7,334,104,980 1,140,184,692
4,118,208,008 7,530,292,480 1,694,005,981 7,742,891,113 1,201,652,344
4,217,768,555 7,765,613,770 1,636,743,896 7,670,751,953 1,317,258,789
4,582,570,801 8,843,589,844 1,781,458,496 7,934,800,293 1,274,069,946
4,356,735,840 8,795,657,227 1,641,452,271 7,568,578,613 1,349,389,160
3,905,065,430 7,525,439,453 1,404,890,015 7,080,283,203 1,270,828,857
4,102,671,387 7,525,439,453 1,419,373,413 7,177,942,383 1,238,480,469
4,083,851,807 8,172,531,250 1,453,167,969 8,008,044,434 1,284,692,383
4,224,998,535 8,603,925,781 1,433,856,812 8,349,851,563 1,252,344,116
4,375,555,176 9,011,354,492 1,491,790,405 8,593,999,023 1,270,828,857
4,686,078,613 9,490,681,641 1,482,134,766 9,082,293,945 1,256,965,210
4,648,439,453 8,843,589,844 1,303,506,226 8,349,851,563 1,243,101,685
4,309,687,012 8,771,690,430 1,313,161,743 8,308,919,922 1,261,586,426
4,449,631,836 8,412,195,313 1,279,367,188 8,578,530,273 1,219,995,728
4,506,800,781 8,963,421,875 1,182,811,157 8,578,530,273 1,256,965,210
5,100,000,000 9,425,000,000 1,245,000,000 9,050,000,000 1,159,920,166
5,575,000,000 9,050,000,000 1,280,000,000 9,050,000,000 1,215,000,000
5,425,000,000 9,150,000,000 1,320,000,000 9,150,000,000 1,180,000,000
5,650,000,000 8,875,000,000 1,315,000,000 9,125,000,000 1,190,000,000
5,550,000,000 9,175,000,000 1,255,000,000 9,175,000,000 1,185,000,000
BBRI BBNI BBTN BBCA BJBR Langkah Pertama
1 2 3 4 5 1
BBRI BBNI BBTN BBCA BJBR No.of observation
3,684 6,895 1,613 7,334 1,140 1
4,118 7,530 1,694 7,743 1,202 2
4,218 7,766 1,637 7,671 1,317 3
4,583 8,844 1,781 7,935 1,274 4
4,357 8,796 1,641 7,569 1,349 5
3,905 7,525 1,405 7,080 1,271 6
4,103 7,525 1,419 7,178 1,238 7
4,084 8,173 1,453 8,008 1,285 8
4,225 8,604 1,434 8,350 1,252 9
4,376 9,011 1,492 8,594 1,271 10
4,686 9,491 1,482 9,082 1,257 11
4,648 8,844 1,304 8,350 1,243 12
4,310 8,772 1,313 8,309 1,262 13
4,450 8,412 1,279 8,579 1,220 14
4,507 8,963 1,183 8,579 1,257 15
5,100 9,425 1,245 9,050 1,160 16
5,575 9,050 1,280 9,050 1,215 17
5,425 9,150 1,320 9,150 1,180 18
5,650 8,875 1,315 9,125 1,190 19
5,550 9,175 1,255 9,175 1,185 20
 RETURN
BBRI BBNI BBTN BBCA BJBR

0.11793617 0.09215028 0.05029581 0.0557377 0.05391026

0.0241757 0.03124995 -0.03380276 -0.00931682 0.09620623
0.08649176 0.13881402 0.08841615 0.03442275 -0.03278691
-0.04928128 -0.00542004 -0.07859079 -0.04615386 0.05911702
-0.10367175 -0.1444142 -0.14411766 -0.06451613 -0.05821916
0.05060247 0 0.01030928 0.01379312 -0.02545456
-0.00458715 0.08598724 0.02380949 0.11564624 0.0373134
0.03456216 0.05278591 -0.01328901 0.04268297 -0.02517978
0.03563472 0.04735382 0.04040403 0.02923974 0.01476011
0.07096778 0.05319147 -0.00647252 0.05681813 -0.01090914
-0.00803212 -0.0681818 -0.12052112 -0.08064509 -0.01102936
-0.07287444 -0.00813012 0.00740734 -0.00490208 0.01486985
0.03247215 -0.04098356 -0.02573526 0.0324483 -0.03296698
0.01284802 0.06552708 -0.07547171 0 0.03030296
0.13162313 0.05149575 0.05257715 0.05495927 -0.07720583
0.09313725 -0.0397878 0.02811245 0 0.04748588
-0.02690583 0.01104972 0.03125 0.01104972 -0.02880658
0.04147465 -0.03005464 -0.00378788 -0.00273224 0.00847458
-0.01769912 0.03380282 -0.04562738 0.00547945 -0.00420168
2

4
5
TRANSPOSE THE RETURN DATA

BBRI 0.117936169 0.024175697 0.086491765 -0.04928128 -0.1036717457 0.05060247

BBNI 0.092150283 0.031249954 0.138814021 -0.00542004 -0.1444141968 0
BBTN 0.050295808 -0.03380276 0.088416154 -0.07859079 -0.1441176574 0.010309275
BBCA 0.055737699 -0.00931682 0.034422745 -0.04615386 -0.0645161311 0.013793118
BJBR 0.053910259 0.096206233 -0.03278691 0.059117016 -0.0582191597 -0.02545456

CORRELATION MATRIX
BBRI BBNI BBTN BBCA BJBR
BBRI 1 Err:502 0.669836311 Err:502 Err:502
BBNI Err:502 Err:502 Err:502 Err:502 Err:502
BBTN Err:502 Err:502 Err:502 Err:502 Err:502
BBCA Err:502 Err:502 Err:502 Err:502 Err:502
BJBR Err:502 Err:502 Err:502 Err:502 Err:502

0.000237197
COVARIANCE MATRIX
BBRI BBNI BBTN BBCA BJBR
BBRI 0.003876995 Err:502 Err:502 Err:502 Err:502
BBNI 0.00219557 Err:502 Err:502 Err:502 Err:502
BBTN Err:502 Err:502 Err:502 Err:502 Err:502
BBCA Err:502 Err:502 Err:502 Err:502 Err:502
BJBR Err:502 Err:502 Err:502 Err:502 Err:502
WEIGHT 9% 0% 0% 39% 51%

VARIANCE MATRIX
BBRI BBNI BBTN BBCA BJBR
BBRI 3.49563E-05 Err:502 Err:502 Err:502 Err:502
BBNI 0 Err:502 Err:502 Err:502 Err:502
BBTN Err:502 Err:502 Err:502 Err:502 Err:502
BBCA Err:502 Err:502 Err:502 Err:502 Err:502
BJBR Err:502 Err:502 Err:502 Err:502 Err:502

BBRI BBNI BBTN BBCA BJBR

AVERAGE RE 0.023624962 0.017180837 -0.01130707 0.012842692 0.0029305427
ST DEV 0.059700729 0.064363111 0.060435336 0.045905931 0.0431881291

PORTFOLIO BBRI BBNI BBTN BBCA BJBR

WEIGHT*RET0.002243295 0 0 0.005070195 0.00149531917

GLOBAL MINIMUM VARIANCE WEIGHTS

Portfolio
Portfolio Portfolio
Standard
Expected Variance
Deviation
Return BBRI BBNI BBTN
U=GMV 0.008808809 0.000948964 0.030805252 9% 0 0
-0.00458715 0.03456216 0.03563472 0.07096778 -0.00803212 -0.07287444 0.03247215
0.08598724 0.05278591 0.04735382 0.05319147 -0.0681818 -0.00813012 -0.04098356
0.02380949 -0.01328901 0.04040403 -0.00647252 -0.12052112 0.00740734 -0.02573526
0.11564624 0.04268297 0.02923974 0.05681813 -0.08064509 -0.00490208 0.0324483
0.0373134 -0.02517978 0.01476011 -0.01090914 -0.01102936 0.01486985 -0.03296698
 100%

EIGHTS

BBCA BJBR
0.39479221 0.51025334
0.012848017 0.13162313 0.09313725 -0.02690583 0.04147465 -0.01769912
0.065527076 0.05149575 -0.0397878 0.01104972 -0.03005464 0.03380282
-0.075471711 0.05257715 0.02811245 0.03125 -0.00378788 -0.04562738
0 0.05495927 0 0.01104972 -0.00273224 0.00547945
0.03030296 -0.07720583 0.04748588 -0.02880658 0.00847458 -0.00420168

WEIGHT
9%
0%
0%
39%
51%
 100%

VARIANCE OF RETURNS
0.000948964

ST DEV OF RETURNS
0.030805252

PORTFOLIO RETURN
0.881%