Scribd Logo
Upload

Welcome to Scribd!

  • Optimalisasi Portfolio Dengan Sharpe Ratio: TSPC Unvr KLBF Portfolio Ihsg

    Uploaded by

    Achmad Agus
    13 views1 page
    This document discusses optimizing a portfolio using the Sharpe ratio. It provides average returns, standard deviations, and Sharpe ratios for several stocks and a portfolio. The optimal portfolio composition was found to be 49.48% in TSPC stock, 20.13% in UNVR stock, and 30.39% in KLBF stock, with an expected return of 3.00% and Sharpe ratio of 0.30. Monthly return data for the stocks and portfolio from January 2011 to October 2012 is also presented.

    Original Description:

    perhitungan portofolio with microsoft excel

    Original Title

    Portfolio Optimal

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document discusses optimizing a portfolio using the Sharpe ratio. It provides average returns, standard deviations, and Sharpe ratios for several stocks and a portfolio. The optimal portfolio composition was found to be 49.48% in TSPC stock, 20.13% in UNVR stock, and 30.39% in KLBF stock, with an expected return of 3.00% and Sharpe ratio of 0.30. Monthly return data for the stocks and portfolio from January 2011 to October 2012 is also presented.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    13 views1 page

    Optimalisasi Portfolio Dengan Sharpe Ratio: TSPC Unvr KLBF Portfolio Ihsg

    Uploaded by

    Achmad Agus
    This document discusses optimizing a portfolio using the Sharpe ratio. It provides average returns, standard deviations, and Sharpe ratios for several stocks and a portfolio. The optimal portfolio composition was found to be 49.48% in TSPC stock, 20.13% in UNVR stock, and 30.39% in KLBF stock, with an expected return of 3.00% and Sharpe ratio of 0.30. Monthly return data for the stocks and portfolio from January 2011 to October 2012 is also presented.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    OPTIMALISASI PORTFOLIO DENGAN SHARPE RATIO

    Risk Free ret. (annual) 5.75%


    Risk Free ret. (monthly) 0.47%

    TSPC UNVR KLBF Portfolio IHSG


    Avg. Return 4.12% 1.32% 2.29% 3.00% 0.40%
    Std. Deviation 12.88% 7.15% 9.02% 8.30% 5.41%
    Sharpe Ratio 0.28 0.12 0.20 0.30 -0.01
    Weight 49.48% 20.13% 30.39% 100.00%
    Bulan TSPC UNVR KLBF Portfolio IHSG
    Jan-11 -12.87% -8.79% -13.79% -12.33% -7.95%
    Feb-11 0.67% 7.64% 12.00% 5.52% 1.79%
    Mar-11 16.67% -5.56% -3.57% 6.04% 6.00%
    Sep-12 16.19% -3.87% 18.82% 12.95% 4.98%
    Oct-12 5.74% 0.00% 30.69% 12.17% 2.06%

    You might also like