Professional Documents
Culture Documents
Single Index Model (Portofolio Optimal)
Single Index Model (Portofolio Optimal)
No 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 No Kode
1 AALI AALI AALI AALI AALI AALI AALI AALI AALI AALI AALI 1 AALI
2 ANTM ANTM ANTM ADRO ADMF ADRO ADRO ADRO ADRO ADRO ADRO 2 ASII
3 ASII APEX ASII ANTM ADRO ANTM ANTM AKRA AKRA AMRT AKRA 3 BBCA
4 AUTO ASII BBCA APEX ANTM ASII ASII AMRT AMRT ASII AMRT 4 BBNI
5 BBCA BBCA BBIA ASII ASII BBCA BBCA ASII ASII AUTO ASII 5 BBRI
6 BBIA BBIA BBNI BAEK BAEK BBNI BBNI BBCA AUTO BBCA BBCA 6 BDMN
7 BBNI BBNI BBRI BBCA BBCA BBRI BBRI BBNI BBCA BBNI BBNI 7 BMRI
8 BBRI BBRI BDMN BBNI BBNI BBTN BDMN BBRI BBNI BBRI BBRI 8 EXCL
9 BDMN BDMN BHIT BBRI BBRI BDMN BMRI BDMN BBRI BDMN BDMN 9 GGRM
10 BLTA BLTA BLTA BDMN BBTN BJBR BMTR BHIT BDMN BIRD BIRD 10 HMSP
11 BMRI BMRI BMRI BISI BDMN BMRI BNGA BMRI BMRI BMRI BMRI 11 INCO
12 BMTR BMTR BMTR BMRI BMRI BNGA BNII BMTR BMTR BMTR BSDE 12 INDF
13 BNBR BNBR BNBR BNBR BNBR BNII BORN BNGA BNGA BNGA BYAN 13 INTP
14 BNGA BNGA BNGA BNGA BNGA BNLI BRAU BNII BNII BNLI CPIN 14 ISAT
15 BNII BNII BNII BNII BNII BORN BSDE BSDE BSDE BSDE CTRA 15 KLBF
16 BNLI BNLI BNLI BNLI BNLI BRAU BTPN BTPN BTPN BTPN DNET 16 LPKR
17 BUMI BTEL BRPT BRPT BRPT BRMS BUMI BYAN BYAN BYAN EMTK 17 PGAS
18 ENRG BUMI BTEL BUMI BSDE BSDE BYAN CPIN CPIN CPIN EXCL 18 SMGR
19 EXCL CTRA BUMI EXCL BUMI BTPN CPIN EMTK EMTK CTRA GGRM 19 TLKM
20 FASW ENRG CPRO FASW BYAN BUMI EMTK EXCL EXCL EMTK HMSP 20 UNTR
21 GGRM EXCL DEWA GGRM CPIN BYAN EXCL GGRM GGRM EXCL ICBP 21 UNVR
22 HMSP FREN ELTY HMSP DOID CPIN GEMS HMSP HMSP GGRM INCO
23 INCO GGRM ENRG INCO EXCL DSSA GGRM HRUM ICBP HMSP INDF
24 INDF HMSP EXCL INDF GGRM EXCL HMSP ICBP INCO ICBP INTP
25 INKP INCO GGRM INDY HMSP GGRM HRUM INCO INDF INCO ISAT
26 INTP INDF HMSP INKP INCO HMSP ICBP INDF INTP INDF JSMR
27 ISAT INKP INCO INTP INDF HRUM IMAS INTP ISAT INTP KLBF
28 KLBF INTP INDF ISAT INDY ICBP INCO INVS ITMG ISAT LPKR
29 KOMI ISAT INTP ITMG INKP INCO INDF ISAT JSMR JSMR LPPF
30 LPBN KLBF ISAT JSMR INTP INDF INTP ITMG KLBF KLBF MEGA
31 LPKR LPBN ITMG KLBF ISAT INDY INVS JSMR LPKR LPKR MIKA
32 LSIP LPKR JSMR LPKR ITMG INTP ISAT KLBF LPPF LPPF MLBI
33 MEDC LSIP KLBF LSIP JSMR ISAT ITMG LPKR MLBI MLBI MNCN
34 MEGA MEDC LPBN MAYA KLBF ITMG JSMR LSIP MNCN MNCN MYOR
35 MPPA NISP LPKR MEDC LPKR JSMR KLBF MLBI MYOR MYOR PGAS
36 NISP PGAS LSIP MEGA LSIP KLBF LPKR MNCN PGAS PGAS PNBN
37 PGAS PLIN MEDC NISP MEDC KRAS LSIP PGAS PNBN PNBN PTPP
38 PLIN PNBN MNCN PGAS MEGA LPKR MNCN PTBA PTBA PTBA PWON
39 PNBN PNLF PGAS PLIN PGAS LSIP PGAS SCMA SCMA PWON SCMA
40 PTBA PTBA PNBN PNBN PLIN PGAS PNBN SIMP SMAR SCMA SMGR
41 RALS RALS PTBA PTBA PNBN PNBN PTBA SMAR SMCB SMAR SMMA
42 SHDA SHDA SMAR PWON PTBA PTBA SCMA SMCB SMGR SMGR SMRA
43 SMAR SMAR SMCB RALS SMAR SMAR SIMP SMGR SMMA SMMA SSMS
44 SMCB SMCB SMGR SMAR SMCB SMCB SMAR SMMA TBIG SMRA TBIG
45 SMGR SMGR TINS SMCB SMGR SMGR SMCB TBIG TLKM TBIG TLKM
46 TKIM TLKM TLKM SMGR SMMA TINS SMGR TLKM TOWR TLKM TOWR
47 TLKM TRUB TRUB TINS TINS TLKM SMMA TOWR TRAM TOWR UNTR
48 TSPC TSPC UNSP TLKM TLKM TOWR TLKM TSPC TSPC UNTR UNVR
49 UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNVR WIKA
50 UNVR UNVR UNVR UNVR UNVR UNVR UNVR UNVR UNVR WIKA WSKT
ERB
0.0112 0.0127 -0.0031 0.0132 0.0498
timal Wight
Ci C* Optimal Zi Wi αp βp
0.0025 0.0032 Optimal 1.9104 0.2422 0.0048 0.0795 0.0021
0.0028 0.0032 Optimal 2.5023 0.3173 0.0054 0.0921 0.0017
0.0023 0.0032 Optimal 0.5449 0.0691 0.0005 0.0688 0.0014
0.0032 0.0032 Optimal 0.6512 0.0826 0.0005 0.1051 0.0016
0.0017 0.0032 Optimal 0.5309 0.0673 0.0004 0.0492 0.0009
0.0030 0.0032 Optimal 0.6527 0.0828 0.0004 0.0944 0.0014
0.0028 0.0032 Optimal 0.5372 0.0681 0.0002 0.0858 0.0013
0.0023 0.0032 Optimal 0.3526 0.0447 -0.0001 0.0620 0.0008
0.0017 0.0032 Optimal 0.2042 0.0259 -0.0001 0.0401 0.0008
-0.0005 0.0032 - 7.8865 1.0000 0.0120 0.6771 0.0119
-0.0005 0.0032 - E(Rm) 0.0137
0.0032 E(Rp) 0.0213
0.0039
0.0137
viasi (σ)
Close Price
INCO INDF INTP ITMG JSMR LPKR PGAS PTBA SMGR UNTR UNVR
4,600 4,700 13,550 46,300 3,000 570 4,225 19,750 7,750 20,527 15,050
5,050 4,750 14,400 45,700 3,175 540 3,550 20,050 8,650 22,305 16,200
4,775 5,400 16,350 46,200 3,400 610 3,900 21,000 9,100 20,863 15,300
4,975 5,550 17,000 46,800 3,300 780 4,000 22,300 9,500 22,353 15,300
4,775 5,400 16,900 47,000 3,475 680 4,050 21,250 9,700 23,000 14,700
4,500 5,750 17,050 44,750 3,625 650 4,025 20,800 9,600 24,900 14,900
4,250 6,350 15,450 50,500 3,975 780 3,975 21,300 9,450 27,300 15,600
3,650 6,100 15,200 43,150 4,000 740 2,950 19,050 9,100 23,600 16,900
3,025 5,050 14,000 39,250 3,975 680 2,675 16,800 8,300 22,000 16,500
3,650 5,250 16,350 44,650 3,850 640 2,950 18,350 9,500 24,600 15,650
3,050 4,700 15,000 38,150 3,875 630 3,075 17,000 9,250 23,350 18,200
3,200 4,600 17,050 38,650 4,200 660 3,175 17,350 11,450 26,350 18,800
4,000 4,800 16,950 36,700 4,375 670 3,375 20,150 11,300 28,350 19,600
3,625 5,100 17,450 43,350 4,700 700 3,750 20,750 11,250 29,000 19,250
3,375 4,850 18,450 43,450 5,150 800 3,800 20,500 12,250 33,000 20,000
3,100 4,850 18,050 39,750 5,350 830 3,350 18,450 12,150 29,600 19,850
2,500 4,725 17,800 33,800 5,150 790 3,700 15,000 10,950 23,100 20,550
2,675 4,850 17,350 35,950 5,400 800 3,525 14,650 11,300 21,350 22,900
2,425 5,400 21,500 35,550 5,700 890 3,800 15,900 12,950 21,000 24,250
2,300 5,400 20,250 38,200 5,750 870 3,700 14,600 12,400 20,050 27,100
2,950 5,650 20,350 42,150 5,850 990 4,125 16,200 14,450 20,700 26,050
2,700 5,700 21,400 40,650 5,800 930 4,650 16,000 14,900 21,100 26,050
2,075 5,850 23,250 39,250 5,700 1,070 4,525 14,000 14,800 17,050 26,350
2,325 5,850 22,650 41,550 5,450 1,000 4,475 15,000 15,700 19,700 20,850
2,750 6,050 21,750 41,450 5,500 1,030 4,675 15,500 15,750 19,750 22,050
2,700 7,300 21,950 40,250 5,550 1,130 4,800 15,100 17,350 19,300 22,850
2,375 7,450 23,300 35,500 5,950 1,370 5,950 14,400 17,700 18,200 22,800
2,850 7,350 26,400 36,750 6,700 1,350 6,250 15,250 18,400 17,750 26,250
2,550 7,350 23,750 30,000 6,700 1,840 5,500 12,200 18,000 16,300 30,500
2,025 7,350 24,450 28,150 6,050 1,520 5,750 13,300 17,100 18,200 30,750
1,770 6,500 20,850 24,200 5,350 1,280 5,900 9,950 15,200 16,800 31,800
2,300 6,500 19,700 32,050 5,450 1,150 5,400 12,100 12,600 15,800 31,200
2,250 7,050 18,000 26,300 5,200 1,090 5,200 12,750 13,000 16,300 30,150
2,475 6,650 20,900 29,900 5,250 1,130 5,100 12,150 14,350 17,500 30,000
2,400 6,650 18,850 28,700 5,100 910 4,850 12,000 12,800 18,250 26,600
2,650 6,600 20,000 28,500 4,725 910 4,475 10,200 14,150 19,000 26,000
2,305 6,975 22,400 26,800 5,175 950 4,770 9,250 14,200 19,300 28,550
2,390 7,175 22,450 26,000 5,375 940 4,900 9,575 15,000 18,550 28,575
2,820 7,300 23,375 24,350 6,000 1,085 5,125 9,325 15,800 20,750 29,250
3,550 7,050 21,950 25,475 5,900 1,070 5,325 9,875 14,850 21,700 29,250
3,915 6,825 22,650 28,650 5,875 1,035 5,425 10,700 14,725 21,675 29,125
3,555 6,700 22,550 27,000 5,975 960 5,575 10,725 15,075 23,100 29,275
4,025 7,075 24,950 26,150 6,425 1,100 5,900 11,650 16,575 22,900 30,750
4,180 6,875 24,250 28,175 6,200 1,070 5,800 13,350 16,225 22,150 31,025
3,750 7,000 21,550 25,975 6,450 940 6,000 13,200 15,425 19,900 31,800
3,790 6,825 24,000 21,175 6,350 1,070 5,950 12,950 15,875 18,375 30,400
3,985 6,700 24,675 19,025 6,750 1,165 5,950 13,150 16,000 18,325 31,800
3,625 6,750 25,000 15,375 7,050 1,020 6,000 12,500 16,200 17,350 32,300
3,450 7,550 23,000 16,750 7,200 1,135 5,050 11,375 14,575 17,900 35,825
3,525 7,400 24,050 16,900 7,100 1,180 5,200 10,675 14,875 20,750 36,000
3,235 7,450 21,925 16,900 7,200 1,350 4,800 10,750 13,650 21,800 39,650
2,795 6,750 21,000 12,600 6,200 1,185 4,100 9,350 12,500 21,400 42,600
3,120 7,300 22,400 13,500 6,475 1,300 4,295 9,825 13,450 20,300 43,300
2,710 6,575 20,875 12,850 5,475 1,180 4,315 8,400 12,000 20,375 39,500
1,960 6,100 20,025 9,725 5,725 1,155 4,000 6,000 10,100 20,200 40,000
1,545 5,300 19,625 9,350 5,150 1,070 2,780 5,850 9,250 19,125 39,725
2,185 5,500 16,450 9,875 4,825 1,130 2,530 5,625 9,050 17,475 38,000
2,235 5,525 18,000 8,475 4,840 1,190 3,000 7,300 9,800 18,100 37,000
1,645 4,875 18,700 6,750 4,500 1,285 2,655 5,600 10,625 16,300 36,750
1,635 5,175 22,325 5,725 5,225 1,035 2,745 4,525 11,400 16,950 37,000
1,445 6,200 19,700 4,810 5,750 1,055 2,405 4,450 11,050 17,400 36,700
E
Variance
Alpha
Beta
Resiko tidak Sistematis
IHSG Rf
AALI ADRO BBCA BBNI BBRI BMRI CPIN EXCL
3,409 6.50% - - - - - - - -
3,470 6.75% 0.0069 0.0889 0.1150 0.1008 -0.0309 -0.0087 0.0201 0.0857
3,679 6.75% 0.0389 -0.1020 0.1032 0.1197 0.2234 0.1724 0.3322 -0.0439
3,820 6.75% 0.0198 0.0000 0.0647 0.0189 0.1217 0.0515 -0.0469 0.2477
3,837 6.75% 0.0194 0.1136 -0.0405 -0.0432 -0.0155 0.0070 0.0000 -0.0956
3,889 6.75% -0.0042 0.0000 0.0775 0.0000 0.0236 0.0000 0.0311 0.0000
4,131 6.75% 0.0000 0.0816 0.0850 0.1484 0.0615 0.0903 0.3693 -0.0650
3,842 6.75% -0.0851 -0.2358 -0.0361 -0.0730 -0.0507 -0.1274 0.0092 -0.1217
3,549 6.75% -0.1023 -0.1506 -0.0375 -0.0970 -0.1069 -0.0803 -0.1273 -0.0149
3,791 6.50% 0.1114 0.1773 0.0519 0.0805 0.1538 0.1349 0.1146 0.0050
3,715 6.00% 0.0443 -0.0568 -0.0247 -0.0559 -0.0370 -0.1049 -0.1402 -0.0700
3,822 6.00% -0.0313 -0.0733 0.0127 0.0000 0.0385 0.0547 -0.0652 -0.0269
3,942 6.00% -0.0507 0.0339 0.0000 -0.0461 0.0148 -0.0074 0.1628 -0.0110
3,985 5.75% 0.0825 0.0492 -0.0500 0.0414 0.0073 -0.0373 0.0700 0.0559
4,122 5.75% 0.0471 0.0052 0.0526 0.0596 0.0072 0.0620 0.0280 0.0688
4,181 5.75% -0.0835 -0.0363 0.0000 0.0063 -0.0432 0.0803 0.0000 0.0693
3,833 5.75% -0.0444 -0.2097 -0.1250 -0.0807 -0.1504 -0.0676 -0.0455 0.0926
3,956 5.75% -0.0196 -0.0136 0.0429 0.0338 0.1239 0.0435 0.3048 0.0424
4,142 5.75% 0.1471 0.0069 0.0959 0.0392 0.1024 0.1528 -0.0657 0.0000
4,060 5.75% -0.0304 -0.0616 -0.0313 -0.0629 -0.0071 -0.0602 -0.1563 0.1707
4,263 5.75% -0.0157 0.0949 0.0194 0.0537 0.0719 0.0513 0.1204 -0.0764
4,350 5.75% -0.0456 -0.0867 0.0380 -0.0191 -0.0067 0.0061 0.0331 0.0301
4,276 5.75% -0.1408 -0.0219 0.0732 -0.0390 -0.0473 0.0000 0.0960 -0.2482
4,317 5.75% 0.0612 0.1866 0.0455 0.0000 -0.0142 -0.0545 0.0219 0.0777
4,454 5.75% -0.0131 0.0377 0.0489 0.0608 0.1439 0.1603 0.1071 -0.0991
4,796 5.75% -0.0212 -0.0485 0.1399 0.1720 0.1887 0.1105 0.1355 0.0900
4,941 5.75% 0.0027 -0.1656 0.0364 0.0978 -0.0741 -0.0050 0.1477 -0.0367
5,034 5.75% -0.0432 -0.0611 -0.0570 0.0693 0.0743 0.0500 0.0000 -0.0286
5,069 5.75% 0.1017 -0.2439 -0.0372 -0.0972 -0.0532 -0.0762 -0.0198 -0.0196
4,819 6.00% 0.0102 -0.0753 -0.0338 -0.1179 -0.1292 -0.0722 0.0404 -0.0350
4,610 6.50% -0.2106 -0.1860 0.0400 -0.0058 0.0645 -0.0111 -0.1650 -0.0674
4,195 6.75% 0.2701 0.3286 -0.1298 -0.0994 -0.2000 -0.2022 -0.2151 -0.0056
4,316 7.25% -0.0126 -0.0323 0.1050 0.0584 0.0985 0.1197 0.0074 -0.0503
4,511 7.25% -0.0462 0.1333 0.0450 0.1779 0.0897 0.0818 0.1471 0.0529
4,256 7.50% 0.1962 0.1078 -0.0766 -0.1458 -0.0570 -0.1105 -0.1282 0.1173
4,274 7.50% 0.1281 -0.0354 -0.0052 -0.0366 -0.0268 0.0261 -0.0074 0.0400
4,419 7.50% -0.1444 -0.1284 0.0339 0.1038 0.1483 0.1083 0.2252 -0.0673
4,620 7.50% 0.1874 0.0474 0.0302 0.0436 0.1141 0.0460 0.0242 -0.0412
4,768 7.50% 0.0196 -0.0151 0.0367 0.0901 0.0323 0.0385 -0.0567 -0.0538
4,840 7.50% 0.1308 0.2092 0.0377 -0.0292 0.0339 0.0397 -0.0563 0.1761
4,894 7.50% -0.0706 0.0338 -0.0205 -0.0083 0.0303 0.0356 0.0013 0.0580
4,879 7.50% 0.0311 -0.0408 0.0209 -0.0021 0.0123 -0.0442 -0.0013 -0.0685
5,089 7.50% -0.0524 0.0085 0.0545 0.0703 0.0847 0.0540 0.0477 0.0588
5,137 7.50% -0.0449 0.1097 -0.0345 0.0490 -0.0134 0.0122 -0.0266 0.1019
5,138 7.50% -0.0980 -0.1065 0.1674 0.0327 -0.0566 -0.0289 0.1027 0.0420
5,090 7.50% 0.0217 -0.0340 -0.0019 0.0769 0.0624 0.0273 -0.0094 -0.1089
5,150 7.63% 0.0213 -0.0485 0.0038 0.0126 0.0406 0.0169 -0.0214 -0.0769
5,227 7.75% 0.0105 -0.0370 0.0019 0.0124 0.0108 0.0238 -0.0803 -0.0461
5,289 7.75% -0.0412 -0.0385 0.0190 0.0246 0.0021 0.0209 0.0463 -0.0134
5,450 7.50% 0.0602 -0.0400 0.0542 0.1000 0.1028 0.0909 -0.0430 -0.0010
5,519 7.50% -0.0142 -0.0104 0.0514 0.0509 0.0311 0.0396 -0.0634 -0.0928
5,086 7.50% -0.1625 -0.0789 -0.0911 -0.1107 -0.1243 -0.1383 -0.2003 -0.0724
5,216 7.50% 0.2187 -0.0171 0.0482 0.0700 0.0129 0.0023 0.1076 0.0632
4,911 7.50% -0.0746 -0.1163 -0.0442 -0.2291 -0.1210 -0.0673 -0.1242 -0.1410
4,803 7.50% -0.1253 -0.2237 -0.0296 -0.1019 -0.0338 -0.0348 -0.0782 -0.1954
4,510 7.50% -0.1469 0.0085 -0.0153 0.0399 0.0625 -0.0619 -0.2623 0.0118
4,224 7.50% 0.0583 -0.1008 -0.0484 -0.1646 -0.1859 -0.1291 0.0695 -0.1283
4,455 7.50% 0.0980 0.1121 0.0509 0.1499 0.2168 0.0978 0.2500 0.1912
4,446 7.50% -0.1482 -0.0756 -0.0407 0.0032 0.0238 -0.0230 0.2660 0.1108
4,593 7.50% -0.0649 -0.0636 0.0747 0.0461 0.0603 0.0882 -0.1785 0.0549
4,615 7.25% 0.0773 0.0194 -0.0150 -0.0160 -0.0175 0.0378 0.2865 0.0068
E(R) 0.0006 -0.0180 0.0159 0.0105 0.0182 0.0114 0.0224 -0.0017
0.0962 0.1092 0.0595 0.0830 0.0903 0.0780 0.1354 0.0919
Variance (σ2) 0.0092 0.0119 0.0035 0.0069 0.0082 0.0061 0.0183 0.0084
Kovarian (σim) 0.0007 0.0012 0.0017 0.0027 0.0029 0.0027 0.0031 0.0008
Alpha (α) -0.0020 -0.0221 0.0097 0.0010 0.0077 0.0016 0.0111 -0.0048
Beta (β) 0.4305 0.7103 1.0505 1.6299 1.7708 1.6557 1.9104 0.5212
siko tidak Sistematis 0.0095 0.0128 0.0053 0.0112 0.0133 0.0106 0.0243 0.0089
Ai -0.2297 -1.3149 2.0092 0.7109 1.6678 0.8953 1.3135 -0.4307
Bi 19.4118 39.5530 206.6207 236.7355 236.3387 259.6160 150.2491 30.5803
Ci -0.0004 -0.0020 0.0024 0.0008 0.0020 0.0010 0.0017 -0.0007
-0.0366 -0.0143 0.0145 0.0801 -0.0244 -0.0056 0.0922 0.0050 0.0571 -0.0186 0.0527
0.2178 0.1668 0.3266 -0.0495 0.1394 0.1528 -0.0601 0.1312 0.1298 0.0053 0.0652
0.1161 0.0458 -0.0525 0.2421 -0.0355 0.0132 0.0363 0.0222 0.0341 0.0074 -0.0350
-0.0211 0.0014 -0.0056 -0.1012 0.0670 -0.0704 -0.0458 -0.0327 -0.0115 -0.0014 0.0474
0.0180 -0.0056 0.0255 -0.0056 0.1379 0.0637 -0.0632 0.0592 0.0033 -0.0535 0.0375
0.0559 0.0847 0.3637 -0.0707 0.0165 0.0684 -0.0612 0.0987 -0.0995 0.1229 0.0909
-0.0563 -0.1330 0.0035 -0.1274 0.0749 -0.0918 -0.1468 -0.0450 -0.0218 -0.1512 0.0007
-0.1125 -0.0859 -0.1329 -0.0205 -0.0511 -0.0764 -0.1769 -0.1778 -0.0846 -0.0960 -0.0119
0.1484 0.1295 0.1092 -0.0004 0.1108 0.0707 0.2012 0.0342 0.1624 0.1322 -0.0369
-0.0420 -0.1099 -0.1452 -0.0750 0.1042 -0.0333 -0.1694 -0.1098 -0.0876 -0.1506 0.0015
0.0335 0.0497 -0.0702 -0.0319 -0.0504 0.0047 0.0442 -0.0263 0.1317 0.0081 0.0789
0.0098 -0.0124 0.1578 -0.0160 -0.0864 -0.0242 0.2450 0.0385 -0.0109 -0.0555 0.0367
0.0025 -0.0421 0.0652 0.0511 -0.0092 0.1031 -0.0985 0.0577 0.0247 0.1764 0.0695
0.0025 0.0572 0.0232 0.0640 -0.0347 -0.0402 -0.0738 -0.0538 0.0525 -0.0025 0.0910
-0.0480 0.0755 -0.0048 0.0645 0.0706 0.0319 -0.0863 -0.0048 -0.0265 -0.0899 0.0340
-0.1552 -0.0724 -0.0502 0.0878 -0.0909 -0.0048 -0.1983 -0.0306 -0.0186 -0.1545 -0.0422
0.1191 0.0387 0.3000 0.0376 0.1320 0.0129 0.0652 0.0217 -0.0301 0.0588 0.0438
0.0976 0.1480 -0.0705 -0.0048 -0.0885 0.1430 -0.0982 0.1086 0.2344 -0.0159 0.0508
-0.0119 -0.0650 -0.1610 0.1659 -0.1157 -0.0124 -0.0563 -0.0048 -0.0629 0.0698 0.0040
0.0672 0.0465 0.1156 -0.0812 -0.0776 -0.0353 0.2778 0.0415 0.0001 0.0986 0.0126
-0.0115 0.0013 0.0283 0.0253 0.0533 0.1212 -0.0895 0.0041 0.0468 -0.0404 -0.0133
-0.0521 -0.0048 0.0912 -0.2530 0.0705 0.0302 -0.2363 0.0215 0.0817 -0.0392 -0.0220
-0.0190 -0.0593 0.0171 0.0729 0.0548 0.0898 0.1157 -0.0048 -0.0306 0.0538 -0.0487
0.1391 0.1555 0.1024 -0.1039 -0.0789 -0.0171 0.1780 0.0294 -0.0445 -0.0072 0.0044
0.1839 0.1057 0.1307 0.0852 -0.0733 0.0577 -0.0230 0.2018 0.0044 -0.0337 0.0043
-0.0789 -0.0098 0.1429 -0.0415 0.0087 0.1246 -0.1252 0.0158 0.0567 -0.1228 0.0673
0.0695 0.0452 -0.0048 -0.0334 0.0044 0.1879 0.1952 -0.0182 0.1283 0.0304 0.1213
-0.0580 -0.0810 -0.0246 -0.0244 0.0782 0.1393 -0.1101 -0.0048 -0.1052 -0.1885 -0.0048
-0.1342 -0.0772 0.0354 -0.0400 -0.0592 -0.0737 -0.2109 -0.0050 0.0245 -0.0667 -0.1020
0.0591 -0.0165 -0.1705 -0.0728 -0.1685 -0.0874 -0.1313 -0.1211 -0.1527 -0.1457 -0.1211
-0.2056 -0.2079 -0.2207 -0.0112 -0.1095 -0.1128 0.2938 -0.0056 -0.0608 0.3188 0.0131
0.0924 0.1137 0.0014 -0.0563 -0.0838 0.0190 -0.0278 0.0786 -0.0923 -0.1854 -0.0519
0.0836 0.0757 0.1410 0.0469 0.0482 0.0866 0.0940 -0.0628 0.1551 0.1308 0.0036
-0.0632 -0.1167 -0.1345 0.1111 -0.0035 -0.1134 -0.0366 -0.0063 -0.1043 -0.0464 -0.0348
-0.0331 0.0199 -0.0136 0.0338 0.1289 0.0138 0.0979 -0.0138 0.0548 -0.0132 -0.0798
0.1420 0.1020 0.2189 -0.0736 -0.0086 0.0722 -0.1364 0.0506 0.1138 -0.0659 0.0890
0.1079 0.0397 0.0179 -0.0475 0.1322 0.0097 0.0306 0.0224 -0.0040 -0.0361 0.0324
0.0261 0.0322 -0.0629 -0.0600 0.0294 -0.1024 0.1737 0.0112 0.0350 -0.0697 0.1100
0.0277 0.0334 -0.0626 0.1699 0.1375 -0.0162 0.2526 -0.0405 -0.0672 0.0400 -0.0229
0.0241 0.0294 -0.0049 0.0517 -0.0850 0.0138 0.0966 -0.0382 0.0256 0.1184 -0.0105
0.0060 -0.0505 -0.0076 -0.0747 0.0216 -0.0259 -0.0982 -0.0246 -0.0107 -0.0638 0.0108
0.0785 0.0477 0.0415 0.0526 0.0068 0.0388 0.1260 0.0497 0.1002 -0.0377 0.0691
-0.0196 0.0059 -0.0328 0.0956 -0.0099 -0.0015 0.0323 -0.0345 -0.0343 0.0712 -0.0413
-0.0628 -0.0352 0.0965 0.0358 0.0433 0.0747 -0.1091 0.0119 -0.1176 -0.0843 0.0341
0.0561 0.0210 -0.0157 -0.1151 0.0127 -0.0327 0.0044 -0.0313 0.1074 -0.1910 -0.0218
0.0343 0.0106 -0.0278 -0.0833 0.0530 0.0117 0.0451 -0.0247 0.0218 -0.1079 0.0566
0.0044 0.0173 -0.0868 -0.0525 -0.0142 0.1580 -0.0968 0.0010 0.0067 -0.1983 0.0380
-0.0043 0.0144 0.0398 -0.0198 -0.0542 0.1004 -0.0547 0.1121 -0.0865 0.0830 0.0148
0.0965 0.0847 -0.0492 -0.0073 -0.0819 -0.0200 0.0155 -0.0261 0.0394 0.0027 -0.0201
0.0248 0.0333 -0.0697 -0.0991 -0.0516 0.0200 -0.0885 0.0005 -0.0946 -0.0063 0.0078
-0.1305 -0.1445 -0.2065 -0.0787 -0.0259 -0.1068 -0.1423 -0.1002 -0.0484 -0.2607 -0.1451
0.0067 -0.0039 0.1013 0.0569 -0.0643 0.0619 0.1100 0.0752 0.0604 0.0652 0.0381
-0.1273 -0.0735 -0.1305 -0.1473 -0.0487 -0.1215 -0.1377 -0.1056 -0.0743 -0.0544 -0.1607
-0.0401 -0.0411 -0.0844 -0.2016 0.0913 -0.0203 -0.2830 -0.0785 -0.0470 -0.2494 0.0394
0.0563 -0.0681 -0.2686 0.0056 -0.1073 0.0303 -0.2180 -0.1374 -0.0262 -0.0448 -0.1067
-0.1921 -0.1354 0.0633 -0.1346 -0.0624 -0.0337 0.4080 0.0315 -0.1680 0.0499 -0.0694
0.2105 0.0915 0.2438 0.1850 0.0164 0.0583 0.0166 -0.0017 0.0880 -0.1480 -0.0031
0.0175 -0.0292 0.2598 0.1045 0.1323 -0.0498 -0.2702 -0.1239 0.0326 -0.2098 -0.0765
0.0541 0.0820 -0.1848 0.0487 0.1185 0.0611 -0.0123 0.0553 0.1876 -0.1581 0.1549
-0.0235 0.0318 0.2805 0.0008 0.0549 0.0663 -0.1222 0.1920 -0.1236 -0.1659 0.0944
0.0125 0.0057 0.0167 -0.0073 0.0049 0.0164 -0.0141 0.0015 0.0042 -0.0365 0.0073
ERB
0.0071 0.0034 0.0087 -0.0141 0.0099 0.0155 -0.0135 0.0014 0.0040 -0.0664 0.0086
IHSG
LPKR PGAS PTBA SMGR UNTR UNVR Emiten α β
UNVR 0.0164 0.0982
-0.0583 -0.1654 0.0096 0.1105 0.0810 0.0708 0.0123 ICBP 0.0158 1.0593
0.1240 0.0930 0.0418 0.0464 -0.0703 -0.0612 0.0544 GGRM 0.0077 0.4938
0.2731 0.0200 0.0563 0.0383 0.0658 -0.0056 0.0327 BBCA 0.0097 1.0505
-0.1338 0.0069 -0.0527 0.0154 0.0233 -0.0448 -0.0011 CPIN 0.0111 1.9104
-0.0497 -0.0118 -0.0268 -0.0159 0.0770 0.0080 0.0078 JSMR 0.0079 0.8533
0.1944 -0.0180 0.0184 -0.0213 0.0908 0.0414 0.0567 LPKR 0.0086 1.3427
-0.0569 -0.2635 -0.1113 -0.0427 -0.1412 0.0777 -0.0756 BBRI 0.0077 1.7708
-0.0867 -0.0988 -0.1237 -0.0935 -0.0734 -0.0293 -0.0818 INTP 0.0036 1.0608
-0.0642 0.0974 0.0868 0.1392 0.1128 -0.0569 0.0627 BMRI 0.0016 1.6557
-0.0206 0.0374 -0.0786 -0.0313 -0.0558 0.1579 -0.0250 BBNI 1.6299
0.0426 0.0275 0.0156 0.2328 0.1235 0.0280 0.0238 SMGR 1.4253
0.0102 0.0580 0.1564 -0.0181 0.0709 0.0376 0.0263 INDF 1.0151
0.0400 0.1063 0.0250 -0.0092 0.0181 -0.0226 0.0062 UNTR 0.8639
0.1381 0.0085 -0.0168 0.0841 0.1331 0.0342 0.0294 PGAS 1.1536
0.0327 -0.1232 -0.1048 -0.0130 -0.1078 -0.0123 0.0096 AALI 0.4305
-0.0530 0.0997 -0.1918 -0.1036 -0.2244 0.0305 -0.0880 INCO 1.0451
0.0079 -0.0521 -0.0281 0.0272 -0.0805 0.1096 0.0272 EXCL 0.5212
0.1077 0.0732 0.0805 0.1412 -0.0212 0.0542 0.0424 PTBA 0.9768
-0.0273 -0.0311 -0.0866 -0.0473 -0.0500 0.1127 -0.0246 ADRO 0.7103
0.1331 0.1101 0.1048 0.1605 0.0276 -0.0435 0.0450 ITMG 0.5490
-0.0654 0.1225 -0.0171 0.0264 0.0145 -0.0048 0.0158 Tertinggi
0.1457 -0.0317 -0.1298 -0.0115 -0.1967 0.0067 -0.0218
-0.0702 -0.0158 0.0666 0.0560 0.1506 -0.2135 0.0047
0.0252 0.0399 0.0285 -0.0016 -0.0023 0.0528 0.0269
0.0923 0.0219 -0.0306 0.0968 -0.0276 0.0315 0.0720
0.2076 0.2348 -0.0511 0.0154 -0.0618 -0.0070 0.0255
-0.0194 0.0456 0.0542 0.0348 -0.0295 0.1465 0.0140
0.3582 -0.1248 -0.2048 -0.0265 -0.0865 0.1571 0.0021
-0.1789 0.0405 0.0852 -0.0550 0.1116 0.0032 -0.0543
-0.1633 0.0207 -0.2573 -0.1165 -0.0823 0.0287 -0.0487
-0.1072 -0.0904 0.2105 -0.1767 -0.0651 -0.0245 -0.0957
-0.0582 -0.0431 0.0477 0.0257 0.0256 -0.0397 0.0228
0.0307 -0.0253 -0.0531 0.0978 0.0676 -0.0110 0.0390
-0.2009 -0.0553 -0.0186 -0.1143 0.0366 -0.1196 -0.0626
-0.0063 -0.0836 -0.1563 0.0992 0.0348 -0.0288 -0.0021
0.0377 0.0597 -0.0994 -0.0027 0.0095 0.0918 0.0276
-0.0168 0.0210 0.0289 0.0501 -0.0451 -0.0054 0.0393
0.1480 0.0397 -0.0324 0.0471 0.1123 0.0174 0.0258
-0.0201 0.0328 0.0527 -0.0664 0.0395 -0.0063 0.0088
-0.0390 0.0125 0.0773 -0.0147 -0.0074 -0.0105 0.0049
-0.0787 0.0214 -0.0039 0.0175 0.0595 -0.0011 -0.0094
0.1396 0.0520 0.0800 0.0933 -0.0149 0.0441 0.0368
-0.0335 -0.0232 0.1397 -0.0274 -0.0390 0.0027 0.0032
-0.1277 0.0282 -0.0175 -0.0556 -0.1078 0.0187 -0.0061
0.1320 -0.0146 -0.0252 0.0229 -0.0829 -0.0503 -0.0156
0.0824 -0.0064 0.0091 0.0015 -0.0091 0.0397 0.0055
-0.1309 0.0019 -0.0559 0.0060 -0.0597 0.0093 0.0085
0.1063 -0.1648 -0.0965 -0.1068 0.0252 0.1027 0.0055
0.0334 0.0235 -0.0678 0.0143 0.1530 -0.0014 0.0242
0.1378 -0.0832 0.0008 -0.0886 0.0444 0.0951 0.0063
-0.1285 -0.1521 -0.1365 -0.0905 -0.0246 0.0682 -0.0846
0.0908 0.0413 0.0446 0.0698 -0.0577 0.0102 0.0193
-0.0986 -0.0016 -0.1513 -0.1141 -0.0026 -0.0940 -0.0649
-0.0274 -0.0793 -0.2920 -0.1646 -0.0148 0.0064 -0.0283
-0.0798 -0.3113 -0.0313 -0.0904 -0.0595 -0.0131 -0.0672
0.0498 -0.0962 -0.0447 -0.0279 -0.0925 -0.0497 -0.0696
0.0468 0.1795 0.2915 0.0766 0.0295 -0.0326 0.0485
0.0736 -0.1213 -0.2391 0.0779 -0.1057 -0.0130 -0.0082
-0.2008 0.0276 -0.1982 0.0667 0.0336 0.0006 0.0267
0.0133 -0.1299 -0.0226 -0.0367 0.0205 -0.0141 -0.0013
0.0109 -0.0102 -0.0240 0.0035 -0.0051 0.0113 0.0002
Emiten α β ERB Ci
BDMN -0.00701 1.1992093 0.0088085 -0.001675 -0.000298
BBCA 0.0061164 1.1470583 0.0056659 0.0093222 0.0021931
BBNI 0.003739 1.580988 0.0086627 0.0076792 0.0021236
BBRI 0.0029519 1.8167025 0.0115937 0.007397 0.0020257
BMRI 0.0021302 1.6335113 0.0090558 0.006715 0.0018853
Actual Return Excess Retu
BBCA BBNI BBRI BMRI IHSG Rf/bulan BDMN BBCA
C* Emiten Optimal Zi Wi αp βp
0.0021931 BDMN - -0.526624 -0.1483877216 0.001040167 -0.177948 -0.00130707
0.0021931 BBCA Optimal 1.443256 0.4066689748 0.002487331 0.466473 0.00230417
0.0021931 BBNI Optimal 1.0012424 0.2821219582 0.001054841 0.4460314 0.00244393
0.0021931 BBRI Optimal 0.8154328 0.2297660499 0.000678241 0.4174166 0.00266385
0.0021931 BMRI Optimal 0.8156624 0.2298307387 0.000489578 0.3754311 0.00208129
SUM 3.5489701 1 0.005750158 1.5274042 0.00818616
E(Rm) 0.0087703
E(Rp) 0.01344628
0.0013248
0.00203429
Excess Return
BBNI BBRI BMRI IHSG