Daily Returns X

tanggal HILL PACK KING WIIM HALO HILL PACK KING WIIM HALO HILL PACK KING WIIM HALO
28 Februari 2023 1,250 106 146 730 112
1 Maret 2023 1,330 107 137 700 112 6.40% 0.94% -6.16% -4.11% 0.00% 4.01% -1.01% -8.88% -5.02% -3.53%
2 Maret 2023 1,495 111 138 740 109 12.41% 3.74% 0.73% 5.71% -2.68% 10.02% 1.79% -1.99% 4.80% -6.21%
3 Maret 2023 1,510 112 140 755 114 1.00% 0.90% 1.45% 2.03% 4.59% -1.39% -1.05% -1.27% 1.11% 1.05%
6 Maret 2023 1,560 109 154 800 117 3.31% -2.68% 10.00% 5.96% 2.63% 0.92% -4.63% 7.28% 5.05% -0.90%
7 Maret 2023 1,580 108 163 785 117 1.28% -0.92% 5.84% -1.88% 0.00% -1.11% -2.87% 3.13% -2.79% -3.53%
8 Maret 2023 1,630 104 160 765 116 3.16% -3.70% -1.84% -2.55% -0.85% 0.78% -5.66% -4.56% -3.46% -4.39%
9 Maret 2023 1,640 114 164 765 120 0.61% 9.62% 2.50% 0.00% 3.45% -1.78% 7.66% -0.22% -0.91% -0.08%
10 Maret 2023 1,700 124 169 765 118 3.66% 8.77% 3.05% 0.00% -1.67% 1.27% 6.82% 0.33% -0.91% -5.20%
13 Maret 2023 1,735 120 170 740 120 2.06% -3.23% 0.59% -3.27% 1.69% -0.33% -5.18% -2.12% -4.18% -1.84%
14 Maret 2023 1,820 118 171 725 117 4.90% -1.67% 0.59% -2.03% -2.50% 2.51% -3.62% -2.13% -2.94% -6.03%
15 Maret 2023 2,000 120 172 715 123 9.89% 1.69% 0.58% -1.38% 5.13% 7.50% -0.26% -2.13% -2.29% 1.60%
16 Maret 2023 2,020 119 172 700 166 1.00% -0.83% 0.00% -2.10% 34.96% -1.39% -2.79% -2.72% -3.01% 31.43%
17 Maret 2023 2,040 130 172 755 220 0.99% 9.24% 0.00% 7.86% 32.53% -1.40% 7.29% -2.72% 6.94% 29.00%
20 Maret 2023 2,050 138 171 790 224 0.49% 6.15% -0.58% 4.64% 1.82% -1.90% 4.20% -3.30% 3.72% -1.72%
21 Maret 2023 2,080 151 172 785 210 1.46% 9.42% 0.58% -0.63% -6.25% -0.93% 7.47% -2.13% -1.55% -9.78%
24 Maret 2023 2,120 166 189 775 196 1.92% 9.93% 9.88% -1.27% -6.67% -0.47% 7.98% 7.17% -2.19% -10.20%
27 Maret 2023 2,130 160 206 840 193 0.47% -3.61% 8.99% 8.39% -1.53% -1.92% -5.57% 6.28% 7.47% -5.06%
28 Maret 2023 2,140 159 216 850 202 0.47% -0.62% 4.85% 1.19% 4.66% -1.92% -2.58% 2.14% 0.28% 1.13%
29 Maret 2023 2,060 151 224 875 204 -3.74% -5.03% 3.70% 2.94% 0.99% -6.13% -6.98% 0.99% 2.03% -2.54%
30 Maret 2023 1,920 161 246 830 206 -6.80% 6.62% 9.82% -5.14% 0.98% -9.19% 4.67% 7.11% -6.06% -2.55%
31 Maret 2023 2,020 155 252 870 212 5.21% -3.73% 2.44% 4.82% 2.91% 2.82% -5.68% -0.28% 3.91% -0.62%

HILL PACK KING WIIM HALO

Expected Returns 2.39% 1.95% 2.72% 0.91% 3.53%

n 21
Standar Deviasiߪ 4.09% 5.25% 4.24% 3.99% 10.55%
Variance ߪ ଶ 0.001671259 0.002754 0.001794 0.001590468 0.011128
Modified Sharpe 0.584 0.372 0.641 0.229 0.335

VarCovar Correlation
HILL PACK KING WIIM HALO HILL PACK KING WIIM HALO
HILL 0.001671259 -0.00015 -0.00075 0.000189629 -0.00055 HILL 1 -0.06962 -0.43206 0.11631092 -0.127
PACK -0.00014934 0.002754 6.13E-05 -0.000124803 0.000111 PACK -0.06961671 1 0.027596 -0.059637019 0.020029
KING -0.00074816 6.13E-05 0.001794 0.00033729 -0.00102 KING -0.43205545 0.027596 1 0.199669068 -0.22849
WIIM 0.000189629 -0.00012 0.000337 0.001590468 0.000721 WIIM 0.11631092 -0.05964 0.199669 1 0.171504
HALO -0.00054766 0.000111 -0.00102 0.000721499 0.011128 HALO -0.12699705 0.020029 -0.22849 0.171503936 1
 HILL PACK KING WIIM HALO

Equally Weighted 20.00% 20.00% 20.00% 20.00% 20.00% 100.00%

‫ܧ‬ሺܴ ௣ሻ 2.30% /day 30774.71% /yearly
ߪ௉ 2.577%
‫ ܧ‬ሺܴ ௣ሻȀߪ ௣ 0.89301

Min Equally Weighted 38.23% 12.64% 36.46% 5.08% 7.60% 100.00%

‫ܧ‬ሺܴ ௣ሻ 2.47% /day 46162.84% /yearly
ߪ௉ 1.776%
‫ ܧ‬ሺܴ ௣ሻȀߪ ௣ 1.38836
Max Equally Weighted 40.03% 9.72% 40.68% 0.00% 9.56% 100.00%
‫ܧ‬ሺܴ ௣ሻ 2.59% /day 62618.87% /yearly
ߪ௉ 1.797%
‫ܧ‬ሺܴ ௣ሻȀߪ௣ 1.44102

Randarry 89.73% 38.60% 73.92% 94.32% 83.54% 3.80

Random Weights 23.61% 10.15% 19.45% 24.81% 21.98% 100.00%
‫ܧ‬ሺܴ ௣ሻ 2.29% /day 30224.63% /yearly
ߪ௉ 2.719%
‫ܧ‬ሺܴ ௣ሻȀߪ௣ 0.84349
 61 2.143% 2.45%
62 2.420% 2.35%
63 2.914% 2.29%
64 3.765% 2.30%
65 2.427% 1.79%
66 2.021% 2.21%
67 1.820% 2.43%
68 2.872% 2.43%
69 2.150% 2.25%
70 2.829% 2.37%
71 2.941% 2.12%
72 2.288% 1.99%
73 3.461% 2.42%
74 2.599% 1.81%
75 3.872% 2.77%
76 3.019% 2.39%
77 2.933% 2.20%
78 2.249% 2.32%
79 2.445% 2.10%
80 6.142% 2.89%
81 2.020% 2.20%
82 2.216% 2.25%
83 2.328% 2.00%
84 2.484% 1.98%
85 3.514% 2.72%
86 2.223% 1.84%
87 2.661% 2.26%
88 2.986% 2.45%
89 2.506% 1.75%
90 3.252% 2.26%
91 2.826% 2.21%
92 2.513% 2.19%
93 2.745% 2.41%
94 2.221% 2.09%
95 3.346% 1.97%
96 2.469% 2.22%
97 2.022% 2.46%
98 2.834% 2.72%
99 2.634% 2.10%
100 3.987% 2.17%
 ߪ௉ ‫ܧ‬ሺܴ ௣ሻ 31 3.033% 2.47%
Trials 2.719% 2.29% 32 3.816% 2.17%
1 3.572% 2.55% 33 2.081% 2.36%
2 3.230% 2.50% 34 2.791% 2.12%
3 3.226% 2.28% 35 4.209% 2.59%
4 2.894% 2.21% 36 2.607% 2.48%
5 2.403% 2.55% 37 3.910% 2.48%
6 4.018% 2.68% 38 1.928% 2.09%
7 2.708% 2.54% 39 3.160% 2.70%
8 2.184% 2.18% 40 2.116% 2.26%
9 2.077% 2.19% 41 2.314% 2.04%
10 2.485% 1.68% 42 2.558% 2.47%
11 2.834% 2.08% 43 2.113% 2.24%
12 2.032% 2.06% 44 3.868% 2.81%
13 3.755% 2.61% 45 3.352% 2.69%
14 3.763% 2.70% 46 2.934% 2.47%
15 2.788% 2.38% 47 2.688% 2.30%
16 3.556% 2.06% 48 2.508% 2.27%
17 3.655% 2.46% 49 2.998% 2.59%
18 3.125% 2.25% 50 2.893% 2.33%
19 2.730% 2.08% 51 2.759% 2.24%
20 2.894% 2.42% 52 2.187% 2.39%
21 2.455% 2.07% 53 4.062% 2.21%
22 3.167% 2.47% 54 3.787% 2.25%
23 2.176% 2.27% 55 2.992% 2.04%
24 2.966% 2.44% 56 3.038% 2.12%
25 2.545% 2.05% 57 2.163% 2.28%
26 3.241% 2.82% 58 2.687% 2.39%
27 2.377% 2.21% 59 3.530% 2.62%
28 2.598% 2.33% 60 2.659% 2.33%
29 3.068% 2.38%
30 5.135% 2.75%
 Chart Title
EFFICIENT FRONTIER
3.50%
3.23% 3.26%
3.00% 3.07%

2.50%
Portofolio Expected return

2.00%

1.50%

1.00%

0.50%

0.00%
1.590% 2.590% 3.590% 4.590% 5.590% 6.590% 7.590% 8.590% 9.590%

Portofolio Standard Deviation