Bulan

ACES ADRO AKRA AMRT ANTM ARTO ASII BBCA

Des-23 720.00 2,580.00 1,450.00 2,820.00 1,635.00 2,970.00 5,625.00 9,300.00
Nov-23 755.00 2,620.00 1,435.00 2,870.00 1,740.00 3,200.00 5,400.00 8,975.00
Okt-23 800.00 2,560.00 1,490.00 2,890.00 1,705.00 1,575.00 5,775.00 8,750.00
Sep-23 750.00 2,850.00 1,545.00 2,960.00 1,815.00 2,020.00 6,225.00 8,825.00
Agus-23 730.00 2,670.00 1,400.00 2,900.00 1,990.00 2,330.00 6,450.00 9,175.00
Juli-23 720.00 2,410.00 1,385.00 2,700.00 1,985.00 2,910.00 6,850.00 9,125.00
Jun-23 675.00 2,230.00 1,420.00 2,580.00 1,950.00 3,180.00 6,775.00 9,150.00
Mei-23 630.00 2,040.00 1,365.00 2,640.00 1,895.00 2,380.00 6,450.00 9,050.00
Apr-23 450.00 3,130.00 1,620.00 2,900.00 2,100.00 2,070.00 6,750.00 9,050.00
Maret-23 478.00 2,900.00 1,550.00 2,880.00 2,090.00 2,420.00 6,000.00 8,750.00
Feb-23 505.00 2,990.00 1,385.00 2,900.00 1,990.00 2,510.00 6,100.00 8,750.00
Jan-23 490.00 2,960.00 1,310.00 2,830.00 2,310.00 3,210.00 6,000.00 8,475.00

137
138
139
142
143
 BBNI BBRI BBTN BMRI BRIS BRPT BUKA CPIN EMTK
5,200.00 5,550.00 1,220.00 5,925.00 1,755.00 1,515.00 212.00 5,025.00 565.00
5,275.00 5,275.00 1,295.00 5,850.00 1,655.00 1,045.00 208.00 5,200.00 645.00
4,790.00 4,960.00 1,225.00 5,675.00 1,500.00 1,125.00 210.00 5,800.00 500.00
5,162.50 5,225.00 1,220.00 6,025.00 1,625.00 1,300.00 218.00 5,425.00 585.00
4,587.50 5,550.00 1,255.00 6,025.00 1,710.00 1,070.00 232.00 5,175.00 570.00
4,437.50 5,650.00 1,315.00 5,725.00 1,655.00 775.00 216.00 5,175.00 650.00
4,575.00 5,425.00 1,320.00 5,200.00 1,690.00 745.00 212.00 5,275.00 710.00
4,525.00 5,575.00 1,280.00 5,050.00 1,730.00 760.00 212.00 4,950.00 595.00
4,712.50 5,100.00 1,245.00 5,175.00 1,730.00 835.00 236.00 4,590.00 705.00
4,675.00 4,730.00 1,225.00 5,162.50 1,680.00 825.00 248.00 4,990.00 790.00
4,387.50 4,670.00 1,325.00 5,000.00 1,520.00 935.00 262.00 5,375.00 950.00
4,575.00 4,580.00 1,360.00 4,975.00 1,335.00 825.00 290.00 5,825.00 1,080.00
 Close Price
ESSA EXCL GGRM GOTO HRUM ICBP INCO INDF INDY
530.00 1,975.00 20,100.00 88.00 1,315.00 10,575.00 4,240.00 6,275.00 1,490.00
555.00 2,120.00 21,125.00 97.00 1,385.00 11,550.00 4,500.00 6,425.00 1,475.00
600.00 2,270.00 23,275.00 60.00 1,615.00 10,350.00 4,950.00 6,650.00 1,815.00
795.00 2,380.00 24,600.00 85.00 1,885.00 11,075.00 5,650.00 6,625.00 2,200.00
605.00 2,500.00 24,050.00 96.00 1,560.00 11,200.00 5,900.00 7,100.00 2,000.00
590.00 2,270.00 27,925.00 113.00 1,660.00 11,200.00 6,875.00 7,325.00 1,975.00
580.00 1,955.00 27,625.00 110.00 1,420.00 11,325.00 6,300.00 7,350.00 1,910.00
488.00 1,985.00 27,000.00 147.00 1,410.00 11,700.00 6,300.00 7,100.00 1,715.00
700.00 1,750.00 28,450.00 104.00 1,510.00 10,575.00 6,975.00 6,450.00 2,600.00
945.00 1,980.00 26,000.00 109.00 1,460.00 9,975.00 6,650.00 6,200.00 2,410.00
1,070.00 2,090.00 25,000.00 118.00 1,630.00 10,125.00 6,825.00 6,475.00 2,300.00
990.00 2,300.00 23,000.00 112.00 1,730.00 10,100.00 7,425.00 6,725.00 2,410.00
 INKP INTP ITMG KLBF MAPI MDKA MEDC PGAS PTBA
8,400.00 9,150.00 24,800.00 1,615.00 1,715.00 2,570.00 1,140.00 1,105,00 2,360,00
8,775.00 10,200.00 24,550.00 1,615.00 1,745.00 2,530.00 1,155.00 1,115,00 2,420,00
9,600.00 9,275.00 26,525.00 1,690.00 1,735.00 2,230.00 1,275.00 1,255,00 2,480,00
11,100.00 9,950.00 28,975.00 1,755.00 1,820.00 2,880.00 1,610.00 1,325,00 2,800,00
9,100.00 10,700.00 28,925.00 1,815.00 1,935.00 3,380.00 1,070.00 1,325,00 2,860,00
9,150.00 10,425.00 27,200.00 1,915.00 1,980.00 3,510.00 1,130.00 1,365,00 2,770,00
8,500.00 9,925.00 24,125.00 2,050.00 1,690.00 3,510.00 890.00 1,305,00 2,680,00
6,900.00 9,900.00 22,125.00 2,030.00 1,775.00 3,000.00 905.00 1,430,00 3,060,00
7,775.00 10,850.00 33,300.00 2,120.00 1,370.00 3,940.00 1,010.00 1,430,00 4,140,00
7,500.00 10,525.00 39,400.00 2,100.00 1,510.00 4,190.00 1,010.00 1,380,00 3,990,00
7,925.00 11,125.00 37,200.00 2,110.00 1,510.00 4,540.00 1,150.00 1,565,00 3,860,00
8,325.00 10,000.00 36,200.00 2,060.00 1,300.00 4,720.00 1,395.00 1,545,00 3,400,00
SCMA SIDO SMGR SRTG TBIG TLKM TOWR TPIA UNTR
149.00 545.00 6,625,00 1,665,00 2,090,00 3,960,00 980.00 5,675,00 21,800,00
157.00 500.00 6,500,00 1,635,00 2,050,00 3,760,00 1,000,00 2,950,00 21,900,00
151.00 510.00 6,100,00 1,430,00 2,070,00 3,490,00 890.00 2,980,00 25,125,00
158.00 590.00 6,425,00 1,760,00 2,020,00 3,750,00 960.00 2,530,00 28,250,00
148.00 620.00 6,800,00 1,665,00 2,100,00 3,730,00 1,030,00 2,180,00 26,000,00
156.00 640.00 6,975,00 1,610,00 1,930,00 3,720,00 1,015,00 2,120,00 27,525,00
162.00 730.00 6,075,00 1,670,00 2,010,00 4,000,00 1,055,00 2,100,00 23,275,00
138.00 725.00 5,800,00 1,550,00 2,130,00 4,040,00 990.00 2,140,00 22,225,00
165.00 790.00 5,950,00 1,895,00 2,060,00 4,250,00 1,025,00 2,360,00 28,900,00
188.00 870.00 6,300,00 1,985,00 2,160,00 4,060,00 925.00 2,340,00 29,100,00
216.00 880.00 7,225,00 2,360,00 2,090,00 3,880,00 1,050,00 2,310,00 27,900,00
226.00 755.00 7,400,00 2,430,00 2,100,00 3,850,00 1,120,00 2,310,00 24,550,00

E(
Varians (σ

Unsystematic R
ER
 Actual Return
UNVR Rf AALI BBNI BDMN BMRI GGRM HMSP INDF INTP
3,460,00
3,650,00
3,620,00
3,740,00
3,670,00
3,850,00
4,260,00
4,530,00
4,400,00
4,350,00
4,180,00
4,660,00

E(R)
Varians (σ2)
α
β
Unsystematic Risk
Ai
 Bi
Ci
ERB
 Excess Return
IHSG Rf
ISAT UNTR UNVR AALI BBNI BDMN BMRI GGRM HMSP
 Optimal
Excess Return Emiten α β ERB
IHSG
INDF INTP ISAT UNTR UNVR HMSP 0.0000
UNVR 0.0000
AALI 0.0000
UNTR
GGRM
INTP
INDF
BMRI
BBNI 0.0000
BDMN
ISAT
ptimal Pembobotan
Ci C* Keputusan Zi Wi αp βp Wi dalam %

Jumlah
E(Rm)
E(Rf)
SIM = E(Rp)
CAPM = E(Rp)
Variance Market
Variance Portofolio

SUM atau Jumlah

Pembagian Dana

Total Dana
100,000,000
-
 1 Tabulasi Data
2 Menghitung Actual Return Individual, market dan Risk Free
3 Menghitung Excess Return
4 Menghitung Expected Return Individual, market, risk free dan excess return.
5 Menghitung Varians Individual
(VAR.P)

6 Menghitung Alpha (α) dan Beta (β)

(Intercept) (Slope)
7 Menghitung Varians Residual (unsystematic risk) individual
8 Menghitung Ai, Bi, dan Ci
9 Menghitung Excess Return to Beta (ERB)
10 Mengurutkan Saham Berdasarkan ERB
11 Menentukan Cut of Point (C*)
12 Menentukan Saham yang termasuk kedalam portofolio optimal
13 Menentukan Zi, Wi, Alpha, Beta, dan varians residual (unsystematic risk) saham dalam portofolio optimal
14 Menghitung Expected Return dan Varians Portofolio Optimal
aham dalam portofolio optimal