Date Open Close Relative Return Ri 1

1/1/2020 50 51 1.02 Return (Ri)

1/8/2020 52 52 1 4.98
1/15/2020 52 50 0.96153846154 4.00
1/22/2020 50 50 1 4.00
1/29/2020 50 50 1 4.98 5.00
2/5/2020 50 50 1 4.00
2/12/2020 50 50 1 4.01
2/19/2020 50 50 1 4.96
2/26/2020 50 50 1 4 3.98
3/4/2020 50 50 1 5.04
3/11/2020 50 50 1 3.98
3/18/2020 50 50 1 4.44
3/25/2020 50 50 1 4
4/1/2020 50 50 1
4/8/2020 50 52 1.04
4/15/2020 52 50 0.96153846154
4/22/2020 50 50 1
4/29/2020 50 50 1 5
5/6/2020 50 50 1
5/13/2020 50 50 1
5/20/2020 50 50 1
5/27/2020 50 50 1 4
6/3/2020 50 56 1.12
6/10/2020 56 54 0.96428571429
6/17/2020 55 54 0.98181818182
6/24/2020 55 52 0.94545454545 4.01
7/1/2020 52 52 1
7/8/2020 52 51 0.98076923077
7/15/2020 51 51 1
7/22/2020 51 51 1
7/29/2020 51 50 0.98039215686 4.96
8/5/2020 50 50 1
8/12/2020 51 50 0.98039215686
8/19/2020 50 50 1
8/26/2020 50 50 1 3.98
9/2/2020 51 55 1.07843137255
9/9/2020 54 61 1.12962962963
9/16/2020 62 54 0.87096774194
9/23/2020 54 53 0.98148148148
9/30/2020 55 54 0.98181818182 5.04
10/7/2020 54 52 0.96296296296
10/14/2020 52 50 0.96153846154
10/21/2020 50 51 1.02
10/28/2020 51 53 1.03921568627 3.98
11/4/2020 54 56 1.03703703704
11/11/2020 58 60 1.03448275862
11/18/2020 60 75 1.25
11/25/2020 78 87 1.11538461538 4.44
 2 3 4 5 6
Profitabilitas (Pri) (1)x(2) Ri - E ( R ) [(Ri - E ( R)]2 [(Ri - E ( R)]2 Pri
0.09 0.45 0.58 0.34 0.0306
0.09 0.36 4.00 16.00 1.44
0.09 0.36 4.00 16.00 1.44
0.09 0.45 5.00 25.00 2.25
0.09 0.36 4.00 16.00 1.44
0.09 0.36 4.01 16.08 1.4472
0.09 0.45 4.96 24.60 2.214
0.09 0.36 3.98 15.84 1.4256
0.09 0.45 5.04 25.40 2.286
0.09 0.36 3.98 15.84 1.4256
0.1 0.444 4.44 19.71 1.971
1 4.40 Varians 0.385796682

Standar Deviasi 0.621

 Date Open Close Relative Return Return Return (Ri) Profitabilitas (Pri)
1/1/2020 394 380 0.96446700508 4.89 0.09
1/8/2020 382 384 1.00523560209 3.82 0.09
1/15/2020 384 378 0.984375 3.61 0.09
1/22/2020 380 364 0.95789473684 4.75 0.09
1/29/2020 366 358 0.9781420765 4.8901144 3.99 0.09
2/5/2020 360 360 1 3.97 0.09
2/12/2020 360 360 1 4.95 0.09
2/19/2020 360 350 0.97222222222 4.06 0.09
2/26/2020 350 296 0.84571428571 3.8179365 4.87 0.09
3/4/2020 296 292 0.98648648649 3.92 0.09
3/11/2020 294 256 0.87074829932 4.29 0.1
3/18/2020 256 183 0.71484375 1
3/25/2020 183 190 1.03825136612 3.6103299
4/1/2020 189 188 0.99470899471
4/8/2020 187 193 1.0320855615
4/15/2020 193 169 0.87564766839
4/22/2020 168 133 0.79166666667
4/29/2020 133 140 1.05263157895 4.7467405
5/6/2020 142 152 1.07042253521
5/13/2020 153 140 0.91503267974
5/20/2020 141 141 1
5/27/2020 142 143 1.00704225352 3.9924975
6/3/2020 144 162 1.125
6/10/2020 162 149 0.91975308642
6/17/2020 152 145 0.95394736842
6/24/2020 145 141 0.9724137931 3.9711142
7/1/2020 142 136 0.95774647887
7/8/2020 135 142 1.05185185185
7/15/2020 142 138 0.97183098592
7/22/2020 139 137 0.98561151079
7/29/2020 138 135 0.97826086957 4.9453017
8/5/2020 135 139 1.02962962963
8/12/2020 138 138 1
8/19/2020 138 139 1.00724637681
8/26/2020 137 140 1.02189781022 4.0587738
9/2/2020 141 143 1.01418439716
9/9/2020 142 136 0.95774647887
9/16/2020 138 133 0.96376811594
9/23/2020 133 127 0.95488721805
9/30/2020 127 125 0.9842519685 4.8748382
10/7/2020 125 122 0.976
10/14/2020 122 124 1.01639344262
10/21/2020 125 118 0.944
10/28/2020 118 116 0.98305084746 3.9194443
 11/4/2020 117 118 1.00854700855
11/11/2020 118 128 1.08474576271
11/18/2020 128 140 1.09375
11/25/2020 142 157 1.10563380282 4.2926766
(1)x(2) Ri - E ( R ) [(Ri - E ( R)]2 [(Ri - E ( R)]2 Pri
0.44 0.60 0.36 0.0324
0.34 3.82 14.59 1.3131
0.32 3.61 13.03 1.1727
0.43 4.75 22.56 2.0304
0.36 3.99 15.92 1.4328
0.36 3.97 15.76 1.4184
0.45 4.95 24.50 2.205
0.37 4.06 16.48 1.4832
0.44 4.87 23.72 2.1348
0.35 3.92 15.37 1.3833
0.43 4.29 18.40 1.84
4.29 Varians 0.3486786669

Standar Deviasi 0.590

Date Open Close Relative Return Return Return (Ri) Profitabilitas (Pri)
1/1/2020 498 486 0.97590361446 4.74 0.09
1/8/2020 486 468 0.96296296296 3.63 0.09
1/15/2020 472 454 0.96186440678 3.69 0.09
1/22/2020 456 416 0.91228070175 5.09 0.09
1/29/2020 418 386 0.92344497608 4.7364567 4.22 0.09
2/5/2020 388 374 0.96391752577 3.95 0.09
2/12/2020 382 340 0.89005235602 4.97 0.09
2/19/2020 340 302 0.88823529412 4.05 0.09
2/26/2020 302 268 0.88741721854 3.6296224 4.90 0.09
3/4/2020 268 262 0.9776119403 4.07 0.09
3/11/2020 264 194 0.73484848485 4.48 0.1
3/18/2020 194 150 0.77319587629 1
3/25/2020 150 181 1.20666666667 3.692323
4/1/2020 183 218 1.1912568306
4/8/2020 218 210 0.96330275229
4/15/2020 212 183 0.86320754717
4/22/2020 183 184 1.00546448087
4/29/2020 185 198 1.07027027027 5.0935019
5/6/2020 200 224 1.12
5/13/2020 224 222 0.99107142857
5/20/2020 224 226 1.00892857143
5/27/2020 228 250 1.09649122807 4.2164912
6/3/2020 250 284 1.136
6/10/2020 284 280 0.98591549296
6/17/2020 290 272 0.93793103448
6/24/2020 276 246 0.89130434783 3.9511509
7/1/2020 246 248 1.0081300813
7/8/2020 248 260 1.04838709677
7/15/2020 260 258 0.99230769231
7/22/2020 260 252 0.96923076923
7/29/2020 250 238 0.952 4.9700556
8/5/2020 240 256 1.06666666667
8/12/2020 256 256 1
8/19/2020 256 262 1.0234375
8/26/2020 264 254 0.96212121212 4.0522254
9/2/2020 254 256 1.00787401575
9/9/2020 250 240 0.96
9/16/2020 242 222 0.9173553719
9/23/2020 224 218 0.97321428571
9/30/2020 218 228 1.04587155963 4.9043152
10/7/2020 228 234 1.02631578947
10/14/2020 232 240 1.03448275862
10/21/2020 240 240 1
10/28/2020 240 242 1.00833333333 4.0691319
 11/4/2020 242 300 1.23966942149
11/11/2020 300 330 1.1
11/18/2020 332 396 1.19277108434
11/25/2020 400 378 0.945 4.4774405
(1)x(2) Ri - E ( R ) [(Ri - E ( R)]2 [(Ri - E ( R)]2 Pri
0.43 0.38 0.14 0.14
0.33 3.63 13.18 13.18
0.33 3.69 13.62 13.62
0.46 5.09 25.91 25.91
0.38 4.22 17.81 17.81
0.36 3.95 15.60 15.6
0.45 4.97 24.70 24.7
0.36 4.05 16.40 16.4
0.44 4.90 24.01 24.01
0.37 4.07 16.56 16.56
0.45 4.48 20.07 20.07
4.36 Varians 50.083581

Standar Deviasi 7.077

 Date Open Close Relative Return Ri 1 2
1/1/2020 6313.1279 6279.3462 0.99464896967 Bulan Return (Ri)
1/8/2020 6248.4429 6325.4058 1.01231713126 Januari 4.94
1/15/2020 6326.166 6238.1528 0.98608743688 Februari 3.93
1/22/2020 6241.5752 6111.1841 0.97910926186 Maret 3.83
1/29/2020 6123.0952 5922.3389 0.96721325719 4.94 April 5.02
2/5/2020 5955.519 5954.397 0.99981159157 Mei 4.05
2/12/2020 5957.0601 5886.9619 0.98823276175 Juni 4.01
2/19/2020 5898.8999 5787.1382 0.98105380328 Juli 5.03
2/26/2020 5757.167 5518.6279 0.95856658973 3.93 Agustus 4.05
3/4/2020 5524.0942 5220.8262 0.94510085221 September 4.94
3/11/2020 5231.6089 4456.749 0.85188880118 Oktober 4.04
3/18/2020 4456.749 3937.6321 0.883521163 November 4.08
3/25/2020 3937.6321 4538.9302 1.15270550518 3.83
4/1/2020 4538.9302 4778.6392 1.05281178046
4/8/2020 4778.6392 4706.4912 0.9849019885
4/15/2020 4706.4912 4501.9189 0.95653401721
4/22/2020 4501.9189 4529.5542 1.00613854988
4/29/2020 4529.5542 4630.1328 1.02220496976 5.02
5/6/2020 4630.1328 4588.7339 0.99105880378
5/13/2020 4588.7339 4548.6558 0.99126597314
5/20/2020 4548.6558 4626.7988 1.01717937564
5/27/2020 4626.7988 4847.5068 1.04770209733 4.05
6/3/2020 4847.5068 5035.0552 1.03868964941
6/10/2020 5035.0552 4986.458 0.99034823526
6/17/2020 4986.458 4879.1328 0.97847666724
6/24/2020 4879.1328 4905.3921 1.00538195577 4.01
7/1/2020 4905.3921 4987.082 1.01665309103
7/8/2020 4987.082 5079.1221 1.01845568981
7/15/2020 5079.1221 5114.709 1.0070065089
7/22/2020 5114.709 5112.9888 0.99966367314
7/29/2020 5111.1099 5075.002 0.99293540719 5.03
8/5/2020 5075.002 5190.1699 1.02269318713
8/12/2020 5190.166 5295.1738 1.0202320719
8/19/2020 5295.1738 5338.8882 1.00825550915
8/26/2020 5338.8882 5310.6792 0.99471631845 4.05
9/2/2020 5310.6792 5244.0718 0.98745783364
9/9/2020 5214.0322 5100.8652 0.97829568593
9/16/2020 5108.1279 4934.0928 0.96592975756
9/23/2020 4946.5029 4879.0981 0.9863732447
9/30/2020 4896.4321 4999.2212 1.02099264511 4.94
10/7/2020 4976.5679 5132.5718 1.03134768982
10/14/2020 5134.6621 5099.8398 0.99321819737
10/21/2020 5116.79 5128.2251 1.00223481107
10/28/2020 5108.0288 5159.4521 1.01006715916 4.04
 11/4/2020 5170.8232 5462.7388 1.05645436217
11/11/2020 5475.5649 5529.9399 1.00993048217
11/18/2020 5530.876 5701.0288 1.03076417419
11/25/2020 5735.1362 5612.415 0.97860186993 4.08
 3 4 5 6
Profitabilitas (Pri) (1)x(2) Ri - E ( R ) [(Ri - E ( R)]2 [(Ri - E ( R)]2 Pri
0.09 0.44 0.62 0.38 0.0342
0.09 0.35 -0.39 0.15 0.0135
0.09 0.34 -0.49 0.24 0.0216
0.09 0.45 0.70 0.49 0.0441
0.09 0.36 -0.27 0.07 0.0063
0.09 0.36 -0.31 0.10 0.009
0.09 0.45 0.71 0.50 0.045
0.09 0.36 -0.27 0.07 0.0063
0.09 0.44 0.62 0.38 0.0342
0.09 0.36 -0.28 0.08 0.0072
0.1 0.408 -0.24 0.06 0.006
1 4.32 Varians 0.0002

Standar Deviasi 0.014

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.96535603014183
R Square 0.9319122649312
Adjusted R Square 0.92434696103467
Standard Error 0.13844826963471
Observations 11

ANOVA
df SS MS F
Regression 1 2.36115073779756 2.36115073779756 123.182396593251
Residual 9 0.17251131028362 0.01916792336485
Total 10 2.53366204808117

Coefficients Standard Error t Stat P-value

Intercept -0.0021481502987 0.39485268847223 -0.0054403841266 0.99577790522399
X Variable 1 0.99061714617179 0.08925478662121 11.0987565336506 1.4929855302E-06
 Significance F
1.4929855302E-06

Lower 95% Upper 95% Lower 95,0% Upper 95,0%

-0.8953669877763 0.89107068717887 -0.8953669877763 0.89107068717887
0.78870879130258 1.19252550104099 0.78870879130258 1.19252550104099
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.967776431
R Square 0.936591221
Adjusted R Square 0.929545801
Standard Error 0.133606561
Observations 11

ANOVA
df SS MS F Significance F
Regression 1 2.373005630948 2.37300563095 132.93618182 1.0815252E-06
Residual 9 0.160656417133 0.01785071301
Total 10 2.533662048081

Coefficients Standard Error t Stat P-value Lower 95%

Intercept 0.101110728 0.371197695073 0.27239050677 0.7914680091 -0.7385967965
X Variable 1 0.99321619 0.086143435892 11.5297953937 1.081525E-06 0.7983461998
 Upper 95% Lower 95,0% Upper 95,0%
0.940818252994 -0.7385967965 0.940818253
1.188086180873 0.7983461998 1.1880861809
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.9330290741
R Square 0.8705432532
Adjusted R Square 0.8561591702
Standard Error 0.1909041779
Observations 11

ANOVA
df SS MS F Significance F
Regression 1 2.20566240174 2.2056624 60.52129 2.7652149E-05
Residual 9 0.32799964634 0.0364444
Total 10 2.53366204808

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept 0.4328913837 0.50751700756 0.8529594 0.4158039 -0.7151918502 1.5809746176
X Variable 1 0.9028683377 0.1160567317 7.779543 2.765E-05 0.64032977082 1.1654069046
 Lower 95,0% Upper 95,0%
-0.71519185024 1.5809746176
0.640329770824 1.1654069046
 Bulan ENRG ZINC GIAA JKSE BI 7 DAY Portofolio
Januari 4.98 4.89 4.74 4.94 5.00 ENRG
Februari 4.00 3.82 3.63 3.93 4.75 ZINC
Maret 4.00 3.61 3.69 3.83 4.50 GIAA
April 5.00 4.75 5.09 5.02 4.50 IHSG
Mei 4.00 3.99 4.22 4.05 4.50 RF
Juni 4.01 3.97 3.95 4.01 4.25 RM
Juli 4.96 4.95 4.97 5.03 4.00
Agustus 3.98 4.06 4.05 4.05 4.00 Portofolio
September 5.04 4.87 4.90 4.94 4.00 ENRG
Oktober 3.98 3.92 4.07 4.04 4.00 ZINC
November 4.44 4.29 4.48 4.08 3.75 GIAA
IHSG

Rata-rata 4.40 4.28 4.34 4.36 Portofolio

Standar Deviasi 0.62 0.59 7.08 0.01 ENRG
BETA 0.9906171 0.99321619 0.9028683 ZINC
RF 4.30 GIAA
IHSG

Portofolio
ENRG
GIAA
ZINC
IHSG
Rata-rata Return (%) Standar Deviasi (%) Beta
4.40 0.62 0.9906171
4.28 0.59 0.9932162
4.34 7.08 0.9028683
4.36 0.01
4.3
4.36

Indeks Sharpe
0.161290322580646
-0.033898305084745
0.005649717514124
6.00000000000005

Indeks Treynor
0.100947172564545
-0.02013660288111
0.04430324813528
0.060000000000001

Indeks Jensen
0.080909242691013
0.403494047491274
-0.050422589889698