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
 2

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 3
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

4
5
TRANSPOSE THE RETURN DATA

BBRI 0.1179361694 0.024175697 0.086491765 -0.04928128 -0.1036717457 0.05060247

BBNI 0.0921502834 0.031249954 0.138814021 -0.00542004 -0.1444141968 0
BBTN 0.0502958084 -0.03380276 0.088416154 -0.07859079 -0.1441176574 0.010309275
BBCA 0.0557376986 -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 0.542142889 0.669836311 0.545145112 -0.0231662846
BBNI 0.5421428895 1 0.682250812 0.726811711 0.19378784178
BBTN 0.6698363112 0.682250812 1 0.737174869 -0.0189029366
BBCA 0.5451451124 0.726811711 0.737174869 1 -0.0240456486
BJBR -0.0231662846 0.193787842 -0.01890294 -0.02404565 1

0.000237197
COVARIANCE MATRIX
BBRI BBNI BBTN BBCA BJBR
BBRI 0.003876995 0.00219557 0.00252388 0.001552668 -6.301913E-05
BBNI 0.0021955701 0.004230307 0.002685236 0.002162354 0.00055065657
BBTN 0.0025238802 0.002685236 0.003661886 0.002040525 -4.997469E-05
BBCA 0.0015526684 0.002162354 0.002040525 0.002092367 -4.805337E-05
BJBR -6.301913E-05 0.000550657 -4.99747E-05 -4.80534E-05 0.00190869601
WEIGHT 9% 0% 0% 39% 51%

VARIANCE MATRIX
BBRI BBNI BBTN BBCA BJBR
BBRI 3.4956334E-05 0 0 5.82053E-05 -3.053329E-06
BBNI 0 0 0 0 0
BBTN 0 0 0 0 0
BBCA 5.820531E-05 0 0 0.000326118 -9.680065E-06
BJBR -3.053329E-06 0 0 -9.68007E-06 0.00049694517

BBRI BBNI BBTN BBCA BJBR

AVERAGE RE 0.0236249619 0.017180837 -0.01130707 0.012842692 0.0029305427
ST DEV 0.0597007293 0.064363111 0.060435336 0.045905931 0.0431881291

PORTFOLIO BBRI BBNI BBTN BBCA BJBR

WEIGHT*RET 0.0022432953 0 0 0.005070195 0.00149531917

GLOBAL MINIMUM VARIANCE WEIGHTS

Portfolio
Portfolio Portfolio
Standard
Expected Variance
Deviation
Return BBRI BBNI BBTN
U=GMV 0.0088088094 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%
MID SEMESTER
CRY CINTA PUTRI ANJEL
MONTLY
saham
JRPT BMRI BYAN

JRPT BMRI BYAN

1 2 3
JRPT BMRI BYAN
1/1/2022 456,896,271 3,394,176,514 3,216,769,531
2/1/2022 465,186,707 3,496,342,285 3,282,328,857
3/1/2022 453,211,609 3,587,156,250 3,789,319,580
4/1/2022 453,211,609 4,257,680,664 3,715,019,043
5/1/2022 451,369,293 4,043,607,178 4,700,591,797
6/1/2022 442,157,684 3,770,069,092 7,407,942,383
7/1/2022 445,842,316 3,936,570,557 6,459,972,656
8/1/2022 458,880,005 4,210,108,887 6,046,572,754
9/1/2022 443,519,989 4,483,646,973 6,367,314,453
10/1/2022 447,359,985 5,018,830,078 6,985,039,063
11/1/2022 445,440,002 5,006,937,012 8,847,715,820
12/1/2022 480,000,000 4,721,505,859 19,957,253,906
1/1/2023 468,479,980 4,733,398,926 19,755,681,641
2/1/2023 474,239,990 4,757,185,059 18,871,099,609
3/1/2023 470,399,994 4,911,793,457 20,419,119,141
4/1/2023 504,000,000 5,175,000,000 21,131,699,219
5/1/2023 489,599,976 5,050,000,000 14,743,045,898
6/1/2023 508,799,988 5,200,000,000 15,500,000,000
7/1/2023 565,000,000 5,725,000,000 19,850,000,000
8/1/2023 625,000,000 6,025,000,000 18,775,000,000
MTLA ADRO ICBP

MTLA ADRO ICBP JRPT BMRI BYAN

4 5 6 1 2 3
MTLA ADRO ICBP JRPT BMRI BYAN
320,569,702 1,805,665,405 8,373,817,383 457 3,394 3,217
318,672,852 1,974,946,289 8,157,874,023 465 3,496 3,282
320,569,702 2,168,410,400 7,054,161,621 453 3,587 3,789
331,950,897 2,692,375,977 7,318,092,773 453 4,258 3,715
331,950,897 2,635,948,730 8,229,855,469 451 4,044 4,701
337,641,479 2,411,674,072 9,165,611,328 442 3,770 7,408
335,744,629 2,740,538,574 8,469,791,992 446 3,937 6,460
363,700,012 2,985,079,102 7,965,923,828 459 4,210 6,047
359,810,181 3,339,240,967 8,507,350,586 444 4,484 6,367
324,801,605 3,356,105,713 9,564,623,047 447 5,019 6,985
353,975,403 3,263,349,121 9,933,438,477 445 5,007 8,848
375,369,537 3,246,484,375 9,835,087,891 480 4,722 19,957
377,314,453 2,495,998,291 9,933,438,477 468 4,733 19,756
375,369,537 2,697,344,727 9,958,026,367 474 4,757 18,871
375,369,537 2,616,153,809 9,810,500,000 470 4,912 20,419
365,644,928 2,823,641,846 10,400,605,469 504 5,175 21,132
352,030,487 1,840,328,857 11,507,052,734 490 5,050 14,743
418,157,776 2,230,000,000 11,138,236,328 509 5,200 15,500
382,000,000 2,410,000,000 11,015,297,852 565 5,725 19,850
386,000,000 2,670,000,000 11,200,000,000 625 6,025 18,775
MTLA ADRO ICBP Langkah Pertama
4 5 6 1 RETURN
MTLA ADRO ICBP No.of observ JRPT BMRI BYAN
321 1,806 8,374 1
319 1,975 8,158 2 0.01814512 0.03010031 0.02038049
321 2,168 7,054 3 -0.02574256 0.02597399 0.15446067
332 2,692 7,318 4 0 0.18692367 -0.01960788
332 2,636 8,230 5 -0.00406502 -0.05027937 0.26529413
338 2,412 9,166 6 -0.02040814 -0.06764705 0.57595952
336 2,741 8,470 7 0.0083333 0.04416404 -0.12796667
364 2,985 7,966 8 0.02924283 0.06948645 -0.06399406
360 3,339 8,507 9 -0.03347284 0.06497174 0.05304521
325 3,356 9,565 10 0.008658 0.11936335 0.09701494
354 3,263 9,933 11 -0.00429181 -0.00236969 0.26666662
375 3,246 9,835 12 0.0775862 -0.05700714 1.25563912
377 2,496 9,933 13 -0.02400004 0.00251891 -0.0101002
375 2,697 9,958 14 0.0122951 0.00502517 -0.04477608
375 2,616 9,811 15 -0.00809716 0.03249998 0.08203123
366 2,824 10,401 16 0.07142859 0.05358665 0.03489769
352 1,840 11,507 17 -0.02857148 -0.02415459 -0.30232558
418 2,230 11,138 18 0.03921571 0.02970297 0.05134313
382 2,410 11,015 19 0.110456 0.10096154 0.28064516
386 2,670 11,200 20 0.10619469 0.05240175 -0.05415617
0.01752139 0.03243277 0.13233954
 TRANSPOSE THE RETURN DATA

JRPT 0.25423717659
BMRI 0.03010031169
BYAN 0.02038048588
MTLA 0.03579957909
ADRO -0.0868485476
ICBP -0.0257879233

RETURN CORRELATION MATRIX

MTLA ADRO ICBP JRPT
JRPT 0.10166513335
-0.00591712 0.09374986 -0.0257879233 BMRI Err:502
0.00595234 0.09795918 -0.1352941218 BYAN Err:502
0.03550303 0.2416358 0.0374149568 MTLA Err:502
0 -0.02095816 0.1245902074 ADRO Err:502
0.01714284 -0.08508309 0.1137025872 ICBP Err:502
-0.00561794 0.13636358 -0.075916304
0.08326383 0.08923083 -0.0594900281
-0.01069516 0.11864405 0.0679678553 COVARIANCE MATRIX
-0.09729735 0.00505047 0.1242775233 JRPT
0.08982036 -0.02763816 0.0385603728 JRPT 0.00051706599
0.06043961 -0.00516793 -0.0099009609 BMRI 0.00053454907
0.00518134 -0.23116886 0.0099999702 BYAN 0.00384078509
-0.00515463 0.0806677 0.0024752647 MTLA -6.441869E-07
0 -0.03010031 -0.0148148199 ADRO Err:502
-0.02590676 0.07931034 0.0601503969 ICBP Err:502
-0.03723405 -0.34824282 0.1063829667
0.18784535 0.21173995 -0.0320513353
-0.08646922 0.08071749 -0.0110375173
0.0104712 0.10788382 0.0167677852
0.01164882 0.03129441 0.0177893092

WEIGHT 6% 3% 5%
VARIANCE MATRIX

JRPT BMRI BYAN

JRPT 1.568837E-06 3.710044026193E-06 -2.016956E-05
BMRI 8.3578181E-07 3.147265203272E-06 Err:502
BYAN 1.0275481E-05 Err:502 Err:502
MTLA -1.797239E-08 Err:502 Err:502
ADRO Err:502 Err:502 Err:502
ICBP Err:502 Err:502 Err:502

JRPT BMRI BYAN

AVERAGE RETU 0.0175213939 0.032432772506328 0.1323395391
ST DEV 0.0443951904 0.0625863480994804 0.33000247432

PORTFOLIO RE JRPT BMRI BYAN

WEIGHT*RET 0.0009651273 0.0009206053303234 0.00642770392

GLOBAL MINIMUM VARIANCE

Portfolio
Portfolio Portfolio Variance Standard
Expected Deviation
Return

U=GMV 2.091% -6.98902192618E-05 Err:502

 0.099099142 0.06557381545 -0.0346153697 -0.28286854 0.10320487958 0.01790279 -0.02512562
0.0259739916 0.1869236708 -0.0502793664 -0.06764705 0.04416403544 0.06948645 0.06497174
0.1544606726 -0.0196078835 0.26529413244 0.57595952 -0.1279666712 -0.06399406 0.05304521
0.0552994776 0.00873365376 -0.067099504 -0.0719258 0.09617980479 0.07801418 -0.02192981
-0.005434813 0.06284159886 0.21593816415 0.00845671 -0.0382191638 0.0177385 0.05228743
-0.135294122 0.03741495676 0.12459020735 0.11370259 -0.075916304 -0.05949003 0.06796786

BMRI BYAN MTLA ADRO ICBP

Err:502 Err:502 Err:502 Err:502 -0.5741230413
0.1929197741 1 -0.4345897399 -0.21370905 Err:502
0.2628884998 -0.4345897399 1 0.16271254 Err:502
-0.000275342 0.4289454374 -0.5390615855 -0.04749434 Err:502
-0.371506114 -0.1986043244 0.0720145259 0.0787779 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502

0.0002371974

BMRI BYAN MTLA ADRO ICBP WEIGHT

Err:502 Err:502 Err:502 Err:502 Err:502 6%
Err:502 Err:502 Err:502 Err:502 Err:502 3%
Err:502 Err:502 Err:502 Err:502 Err:502 5%
Err:502 Err:502 Err:502 Err:502 Err:502 51%
Err:502 Err:502 Err:502 Err:502 Err:502 2%
Err:502 Err:502 Err:502 Err:502 Err:502 34%
100%

51% 2% 34% 100%

MTLA ADRO ICBP VARIANCE OF RETURNS
1.73477E-05 4.2535914E-06 -8.773748E-05 -6.989022E-05
Err:502 Err:502 Err:502
Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 ST DEV OF RETURNS
Err:502 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502
PORTFOLIO RETURN
2.091%

MTLA ADRO ICBP

0.0116488246 0.0312944069 0.0177893092
0.0633755145 0.1411651999 0.07088753194

MTLA ADRO ICBP

0.0059001109 0.00062068344 0.0060773672

WEIGHTS

0.00096512725 0.00092060533 0.006427703922 0.005900111 0.00062068344 0.006077367

6% 3% 5% 51% 2% 34% 100%

-0.04896906 0.07588073 0 0.163728027 -0.13852818 0.05025125 0.0047847
0.11936335 -0.00236969 -0.05700714 0.002518914 0.00502517 0.03249998 0.05358665
0.09701494 0.26666662 1.25563912 -0.0101002 -0.04477608 0.08203123 0.03489769
-0.01569502 -0.07972672 -0.07178213 0.026666652 0.00779218 0.04639177 0.04679806
-0.03933743 0.03448281 -0.00624414 -0.008510719 -0.1030043 0.04066988 0.01149425
0.12427752 0.03856037 -0.00990096 0.00999997 0.00247526 -0.01481482 0.0601504
-0.09761904 0.02902375 0.05986978 0.00251889
-0.02415459 0.02970297 0.10096154 0.05240175
-0.30232558 0.05134313 0.28064516 -0.05415617
-0.04941181 -0.00990097 -0.03086108 0.00268817
0.02954551 -0.05960266 -0.09624416 -0.01455358
0.10638297 -0.03205134 -0.01103752 0.01676779