Nama : Rifdah Alfiyyah Kultsum

NIM : 2101725903

Tugas Personal ke-5

(Minggu 10 / Sesi-Portfolio Statistics and Diversification)

1.

2.
 Year BBNI UNVR TLKM WIKA
2012 5,300 16,500 1,590 680
2013 6,800 18,800 1,410 610
2014 7,000 21,500 1,810 1,480
2015 7,500 26,000 2,300 1,580
2016 11,800 32,300 2,900 3,700
2017 11,500 38,000 3,105 2,800

A. Return
Year BBNI UNVR TLKM WIKA Portfolio
2013 28.30% 13.94% -11.32% -10.29% 10.31%
2014 2.94% 14.36% 28.37% 142.62% 94.15%
2015 7.14% 20.93% 27.07% 6.76% 30.95%
2016 57.33% 24.23% 26.09% 134.18% 120.91%
2017 -2.54% 17.65% 7.07% -24.32% -1.08%
Expected Return 18.64% 18.22% 15.46% 49.79% 51.05%
Standar Deviasi 21.99% 3.92% 15.50% 73.07% 48.00%

B. BBNI UNVR TLKM WIKA

BBNI 0.0483571 0.0046553 -0.0001195 0.0658401
UNVR 0.0046553 0.0015403 0.0032997 0.0066417
TLKM -0.0001195 0.0032997 0.0240404 0.0765288
WIKA 0.0658401 0.0066417 0.0765288 0.5338811

C. Risk Fee Rate 8.00%

Return
Year BBNI UNVR TLKM WIKA
2013 28.57% 13.94% -11.32% -10.29%
2014 2.96% 12.77% 28.37% 142.62%
2015 4.32% 22.64% 18.78% 6.76%
2016 60.69% 24.23% 33.26% 132.91%
2017 -1.93% 14.55% 8.38% -28.26%
Expected Return 18.92% 17.63% 15.49% 48.75%
Standar Deviasi 23.41% 4.81% 15.89% 73.59%
Sharpe Ratio 0.467 2.003 0.472 0.554

D. Best Permormer: UNVR

Worst Performer: BBNI
 Year Investasi A Investasi B Portfolio
1 35.00% 14.00% 24.50%
2 27.00% 27.00% 27.00%
3 28.00% 19.00% 23.50%
Expected Return 30.00% 20.00% 25.00%
Standar Deviasi 3.56% 5.35% 1.47%
Correlation -85.71%
Covariance -0.16%

Weights Portfolio Standar

Investasi A Investasi B Deviasi
100% 0% 3.56%
90% 10% 2.76%
80% 20% 2.01%
70% 30% 1.39%
60% 40% 1.14%
50% 50% 1.47%
40% 60% 2.12%
30% 70% 2.89%
20% 80% 3.69%
10% 90% 4.52%
0% 100% 5.35%

Penyebab utama penurunan drastis risiko portfolio optimum karena

menggunakan konsep menggabungkan beberapa sekuritas tunggal
ke dalam bentuk portofolio dengan tujuan menurunkan risiko yang
tinggi dari sekuritas dengan return ekspektasian yang tinggi.