Zalfa Karina​

Calculate Expected Return &

CAPM of PT Indofood CBP Sukses
Makmur Tbk
W
Work Steps

1. Expected Return

2. Risk-free Rate

3. CAPM

2
 Expected Return
1. Collect Adj Close PT Indofood CBP Sukse Makmur Tbk in a year for
company
2. Collect Adj Close JKSE in a year for market
3. Calcukate R ICBP.JK
4. Calculate R JKSE
Return = (Pt-Pt-1) / (Pt-1)

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Table

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Table

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Table

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Table

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Table

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 Calculate Beta
• Select & klik “Analysis Data” in Menu Data
• Find Regression & klik ok
• Input Y range : all data about Return of ICBP.JK (R company)
• Input X range : all data about Return JKSE (R Mmarket)
• Labels & Confidence level checked
• New Worksheet ply : Output Beta & OK

Presentation title 9
 Calculate Expected Return & Risk-free Rate
Expected Market Return Risk-free Rate
• E (Rm) Daily From ORI 21 (Investigasi Obligasi Negara Ritel) = 4,9%
Formula : Average (Total R JKSE) in percentage
• E (Rm) Year
Formula : (1 + result of “E (Rm) Daily)^365-1 in
percentage

Expected Company Return

• E (Rt) Daily
Formula : Average (Total R ICBP.JK) in percentage
• E (Rt) Year
Formula : (1 + result of “E (Rt) Daily)^365-1 in
percentage

Presentation title 10
 Calculate CAPM
Result Analysis for CAPM
• Hasil CAPM > Risk-free Rate (ORI 21) – (25,83% >
4,90%), hal ini menyatakan bahwa investasi yang
ditanamkan pada PT Indofood CBP Sukses Makmur Tbk
(ICBP.JK) dinilai menguntungkan dan harus tetap
dilanjutkan

Presentation title 11
 1. Expected Return terbagi menjadi 2 yaitu
Expected Return Market & Expected
Return Company

2. Risk-free Rate didasarkan pada ORI 21

yang merupakan investasi obligasi
negara
Summary 3. Capital Asset Pricing Model (CAPM)
merupakan suatu proses perhitungan
untuk mengestimasi nilai masa depan
dari suatu asset. Perhitungan ini
memberikan tingkat pemahaman akan
Expected Return sama dengan Risk-free
Rate ditambah Risk Premium