(1) (2) (3) (4)

Imbal hasil Imbal hasil Deviasi Deviasi

Aktual Rata-rata (1) - (2) Kuadrat
0.10 0.04 0.06 0.0036
0.12 0.04 0.08 0.0064
0.03 0.04 -0.01 0.0001
-0.09 0.04 -0.13 0.0169
Total 0.16 0.00 0.0270

Var(R) 0.009
SD 0.09487
Var (R)=
𝜎^2 = 𝜎^2/(𝑛−1) =
0,0270/(4−1) = 0,009

Standar Deviasi (SD) = 𝜎= √0,009 = 0,09487

ARITHMETIC MEAN
Contoh portofolio dua aset
Data bulanan harga saham Adan B Kalkulasi Return

Harga saham Saham A Saham B

Bulan Saham A Saham B Bulan Harga Return Harga Return
0 25.00 45.00 0 25.00 45.00
1 24.12 44.85 1 24.12 -3.58% 44.85 -0.33%
2 23.37 46.88 2 23.37 -3.16% 46.88 4.43%
3 24.75 45.25 3 24.75 5.74% 45.25 -3.54%
4 26.62 50.87 4 26.62 7.28% 50.87 11.71%
5 26.50 53.25 5 26.50 -0.45% 53.25 4.57%
6 28.00 53.25 6 28.00 5.51% 53.25 0.00%
7 28.88 62.75 7 28.88 3.09% 62.75 16.42%
8 29.75 65.50 8 29.75 2.97% 65.50 4.29%
9 31.38 66.87 9 31.38 5.33% 66.87 2.07%
10 36.25 78.50 10 36.25 14.43% 78.50 16.03%
11 37.13 78.00 11 37.13 2.40% 78.00 -0.64%
12 36.88 68.23 12 36.88 -0.68% 68.23 -13.38%

Asumsi : 1. Data 12 bulan gambaran distribusi dari return untuk bulan berukutnya
2. data Rata rata historis representasi return yang diharapkan dari masing-masing saham
3. Kita gunakan Average( );Varp( )dan Stdevp ( )
 Saham A Saham B
Rata-rata bulanan 3.24% 3.47%
Varian Bulanan 0.23% 0.65%
Stand. Deviasi bulanan 4.78% 8.03%

Rata-rata tahunan 38.88% 41.62%

Varian tahunan 2.75% 7.75%
Stand. Deviasi tahunan 16.57% 27.83%

Cov(𝑅_𝐴 , 𝑅_𝐵)= 1/𝑀 ∑▒ 〖 [𝑟_𝐴1 −𝐸( 𝑟_𝐴 〗 )] * [r𝐵_1 −𝐸(𝑟_

-masing saham

Rata -rata
Rata -rata return
return Porto
Porto

3.50
Rata rata return portofolio (%)

3.45
3.40
3.35
3.30
3.25
3.20
3.15
3.10
3.05
3.00
3.50 4.00 4.50
 3.30

Rata rata return p

3.25
3.20
3.15
3.10
3.05
3.00
3.50 4.00 4.50
 Kalkulasi Varian dan Kovarian
Saham A Saham B Product
Return (Return - mean) Return (Return - mean)
-0.0358 -0.0682 -0.0033 -0.0380 0.00259
-0.0316 -0.0640 0.0443 0.0096 -0.00061
0.0574 0.0250 -0.0354 -0.0701 -0.00175
0.0728 0.0404 0.1171 0.0824 0.00333
-0.0045 -0.0369 0.0457 0.0110 -0.00041
0.0551 0.0227 0.0000 -0.0347 -0.00079
0.0309 -0.0015 0.1642 0.1295 -0.00019
0.0297 -0.0027 0.0429 0.0082 -0.00002
0.0533 0.0209 0.0207 -0.0140 -0.00029
0.1443 0.1119 0.1603 0.1257 0.01406
)] * [r𝐵_1 −𝐸(𝑟_𝐵)] 0.0240 -0.0084 -0.0064 -0.0411 0.00035
-0.0068 -0.0392 -0.1338 -0.1685 0.00660

Covariance 0.00191
0.00191
Correlation 0.495889
0.495889

Proporsi
Rata -rata
Rata -rata return
return Portofolio
Portofolio(%)
(%) A B
0.5 0.5
Proporsi A Sigma
0,50 5.60
0.000 8.03
0.075 7.62
0.150 7.21
Effi cient fronti er
0.225 6.82
3.50 0.300 6.46
3.45 0.375 6.11
3.40 0.450 5.80
3.35 0.525 5.51
3.30 0.600 5.26
3.25 0.675 5.06
3.20 0.750 4.90
3.15 0.825 4.80
3.10
3.05
3.00
3.50 4.00 4.50 5.00 5.50 6.00 6.50 7.00 7.50 8.00 8.50
3.30
3.25
3.20
3.15
3.10 0.900 4.75
3.05 0.975 4.77
3.00 1.050 4.84
3.50 4.00 4.50 5.00 5.50 6.00 6.50 7.00 7.50 8.00 8.50 1.125 4.96
1.200 5.14
Sigma (St,Dev) portofolio (%) 1.275 5.36
1.350 5.62
1.425 5.92
1.500 6.25
1.575 6.60
 KALKULASI RATA-RATA DAN SIGMA PORTOFOLIO

Proporsi dari A 0.5 Portofolio

Proporsi A
Bulan 𝑅_𝐴1 𝑅_𝐵1 𝑅_𝑃𝑡 0,50
0.000
1 -3.58% -0.33% -1.96% 0.075
2 -3.16% 4.43% 0.63% 0.150
3 5.74% -3.54% 1.10% 0.225
4 7.28% 11.71% 9.50% 0.300
5 -0.45% 4.57% 2.06% 0.375
6 5.51% 0.00% 2.75% 0.450
7 3.09% 16.42% 9.76% 0.525
8 2.97% 4.29% 3.63% 0.600
9 5.33% 2.07% 3.70% 0.675
10 14.43% 16.03% 15.23% 0.750
11 2.40% -0.64% 0.88% 0.825
12 -0.68% -13.38% -7.03% 0.900
0.975
Portofolio saham A dan B 1.050
Mean (Rata-rata) 3.35% 1.125
Variance (varian) 0.31% 1.200
St.dev (Simpangan baku) 5.60% 1.275
1.350
1.425
1.500
1.575

Mean 0,50
3.35 0.000
3.47 0.075
3.45 0.150
3.43 0.225
3.42 0.300
3.40 0.375
3.38 0.450
3.37 0.525
3.35 0.600
3.33 0.675
3.31 0.750
3.30 0.825
3.28 0.900
3.26 0.975
3.25 1.050
3.23 1.125
3.21 1.200
3.19 1.275
3.18 1.350
3.16 1.425
3.14 1.500
3.13 1.575
3.11

100
 Proporsi
A B
0.5 0.5

Portofolio
Sigma Mean
5.60% 3.35%
8.03% 3.47%
7.62% 3.45%
7.21% 3.43%
6.82% 3.42%
6.46% 3.40%
6.11% 3.38%
5.80% 3.37%
5.51% 3.35%
5.26% 3.33%
5.06% 3.31%
4.90% 3.30%
4.80% 3.28%
4.75% 3.26%
4.77% 3.38%
4.84% 3.23%
4.96% 3.21%
5.14% 3.19%
5.36% 3.18%
5.62% 3.16%
5.92% 3.14%
6.25% 3.13%
6.60% 3.11%
 Year

1 2005 4.83 -4.54 20.60

2 2006 15.61 6.24 38.95
3 2007 5.48 -3.89 15.12
4 2008 -36.55 -45.92 2,108.55
5 2009 25.94 16.57 274.60
6 2010 14.82 5.45 29.71
7 2011 2.10 -7.27 52.84
8 2012 15.89 6.52 42.52
9 2013 32.05 22.68 514.43
10 2014 13.52 4.15 17.23
93.69 3,114.56
9.37 346.06
18.60

Expected return 9.37

Risk 18.60
 Year Beginning Value Ending Value HPR HPY
1 100.00 115.00 1.15 15%
2 115.00 138.00 1.20 20%
3 138.00 110.00 0.80 -20%
0.15
AM = 5%
GM = 1.10000 0.333333
N= TAHUN 1.03228
3.23%

Geometric mean return (GM)

=J9^K9
 Number of Beginning Beginning Ending
Investment Share Price Market Value Price
A 100,000 $10 $1,000,000 $12
B 200,000 20 4,000,000 21
C 500,000 30 15,000,000 33
$20,000,000
 return portofolio
Ending Market Weihted
Market Value HPR HPY Weight HPY
$1,200,000 1.20 20% 0.05 1.00% HPR 1.095
4,200,000 1.05 5% 0.20 1.00% HPY 9.50%
16,500,000 1.10 10% 0.75 7.50%
$21,900,000 1.00 9.50%
=N5-1 =N5-1
 Economic Conditions 𝑃_𝑖 𝑅_𝑖
Strong economy, no inflation 0.15 0.20
Weak economic, above average inflation 0.15 -0.20
No mayor change in economy 0.70 0.10
E(𝑅𝑖) =
EXPETASI RETUR Variance STANDAR DEVIATION
( 𝑃𝑖 )( 𝑅𝑖 ) Ri - E(Ri) [Ri - E(Ri)]2 Pi [Ri - E(Ri)]2
0.03 0.13 0.017 0.002535
- 0.03 - 0.27 0.073 0.010935
0.07 0.03 0.001 0.00063
7% 0.0141 =SUM(N7:N9)
11.874% =N10^0.5