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    Damilo Hendriksz
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    This document contains: 1) Sample daily closing price and dividend data for the AALI stock from January 2-11, 2013. 2) Calculations of daily return, expected return, variance, and standard deviation for the AALI stock. 3) Sample calculations of covariance between the AALI stock and the IHSG stock market index.

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    This document contains: 1) Sample daily closing price and dividend data for the AALI stock from January 2-11, 2013. 2) Calculations of daily return, expected return, variance, and standard deviation for the AALI stock. 3) Sample calculations of covariance between the AALI stock and the IHSG stock market index.

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    6 views6 pages

    Tugas 3 Teori Portofolio

    Uploaded by

    Damilo Hendriksz
    This document contains: 1) Sample daily closing price and dividend data for the AALI stock from January 2-11, 2013. 2) Calculations of daily return, expected return, variance, and standard deviation for the AALI stock. 3) Sample calculations of covariance between the AALI stock and the IHSG stock market index.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    of 6

    Nama : Damilo Hendriksz

    Nim : 202030144

    Contoh Data Closing Price Harian Saham


    AALI (PT Astra Agro Lestari Tbk.)

    Closing Deviden
    Price Saham
    Tanggal
    Saham
    AALI
    AALI
    Rp
    2/1/2013 -
    19.104,7,-
    3/1/2013 Rp 19.724,- -
    Rp
    4/1/2013 -
    19.628,7,-
    Rp
    7/1/2013 -
    19.676,4,-
    Rp
    9/1/2013 -
    19.247,6,-
    Rp
    10/1/2013 -
    18.628,2,-
    Rp
    11/1/2013 -
    18.628,2,-

    Contoh Data Perhitungan Return Harian, Expected Return, Varian dan


    Standar Deviasi Saham

    AALI (PT Astra Agro Lestari Tbk.)

    Closing Deviden Return


    (Return –
    Price Saham Harian

    Tanggal

    Saham Saham Expected


    AALI
    AALI AALI* Return)2
    Rp
    2/1/2013 - - -
    19.104,7,-

    3/1/2013 Rp 19.724,- - 0.03242 0.00085

    Rp
    4/1/2013 - -0.00483 0.00007
    19.628,7,-

    Rp
    7/1/2013 - 0.00243 0
    19.676,4,-

    Rp
    9/1/2013 - 0.02179 0.00034
    19.247,6,-

    Rp
    10/1/2013 - -0.03218 0.00126
    18.628,2,-

    Rp
    11/1/2013 - 0 0.00001
    18.628,2,-

    Total 0.01963 0.00253

    Expected
    Return
    0.00327
    Saham
    AALI**

    Varian
    Saham
    0.00051
    AALI***

    Standar
    Deviasi
    0.02248
    Saham
    AALI****

    Data Expected Return, Varian, dan Standar Deviasi Saham


    Kode Expected Varian Standar
    No
    Saham Return Saham Deviasi
    1 AALI 0.00008 0.00054 0.02327
    Perhitungan Kovarian sahamm AALI dan IHSG

    [(RA)-
    No Return Return
    E(RA)] ×
    (RA)- (RB)-
    Harian Harian E(RA) E(RB) [(RB)-
    AALI IHSG E(RB)]
    (RA) (RB)
    1 0.03242 0.01214 0.02915 0.01367 0.0004
    2 -0.00483 0.00245 -0.0081 0.00398 -0.00003
    3 0.00243 -0.004 -0.00084 -0.00247 0
    4 0.02179 -0.0067 0.01852 -0.00517 -0.0001
    5 -0.03218 -0.01044 -0.03545 -0.00891 0.00032
    6 0 -0.00265 -0.00327 -0.00112 0
    Total 0.01963 -0.0092 0.00059

    Expected
    0.00327 -0.00153
    Return(E(R))

    Kovarian
    AALI & 0.0001
    IHSG*
    Data Perhitungan Return Harian, Expected Return, Varian dan
    Standar Deviasi IHSG
    Closing Return
    (Return –
    Price Harian

    Tanggal
    Expected
    IHSG IHSG*
    Return)2

    Rp
    2/1/2013 - -
    4.346,48,-
    Rp
    3/1/2013 0.01214 0.00019
    4.399,26,-

    Rp
    4/1/2013 0.00245 0.00002
    4.410,02,-

    Rp
    7/1/2013 -0.004 0.00001
    4.392,38,-

    Rp
    9/1/2013 -0.0067 0.00003
    4.362,93,-

    Rp
    10/1/2013 -0.01044 0.00008
    4.317,37,-

    Rp
    11/1/2013 -0.00265 0
    4.305,91,-

    Total -0.0092 0.00032

    Expected Return
    -0.00153
    IHSG**

    Varian IHSG*** 0.00006

    Standar Deviasi
    0.00795
    IHSG****

    Data Expected Return, Varian, dan Standar Deviasi Market (IHSG)


    Expected Return Market
    0.00036
    (IHSG)
    Varian Market (IHSG) 0.0001
    Standar Deviasi Market
    0.00983
    (IHSG)

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