MID SEMESTER

CRY CINTA PUTRI ANJEL

MONTLY
saham
JRPT BMRI BYAN

JRPT BMRI BYAN

1 2 3
JRPT BMRI BYAN
1/1/2022 456,896,271 3,394,176,514 3,216,769,531
2/1/2022 465,186,707 3,496,342,285 3,282,328,857
3/1/2022 453,211,609 3,587,156,250 3,789,319,580
4/1/2022 453,211,609 4,257,680,664 3,715,019,043
5/1/2022 451,369,293 4,043,607,178 4,700,591,797
6/1/2022 442,157,684 3,770,069,092 7,407,942,383
7/1/2022 445,842,316 3,936,570,557 6,459,972,656
8/1/2022 458,880,005 4,210,108,887 6,046,572,754
9/1/2022 443,519,989 4,483,646,973 6,367,314,453
10/1/2022 447,359,985 5,018,830,078 6,985,039,063
11/1/2022 445,440,002 5,006,937,012 8,847,715,820
12/1/2022 480,000,000 4,721,505,859 19,957,253,906
1/1/2023 468,479,980 4,733,398,926 19,755,681,641
2/1/2023 474,239,990 4,757,185,059 18,871,099,609
3/1/2023 470,399,994 4,911,793,457 20,419,119,141
4/1/2023 504,000,000 5,175,000,000 21,131,699,219
5/1/2023 489,599,976 5,050,000,000 14,743,045,898
6/1/2023 508,799,988 5,200,000,000 15,500,000,000
7/1/2023 565,000,000 5,725,000,000 19,850,000,000
8/1/2023 625,000,000 6,025,000,000 18,775,000,000
MTLA ADRO ICBP

MTLA ADRO ICBP JRPT BMRI

4 5 6 1 2
MTLA ADRO ICBP JRPT BMRI
320,569,702 1,805,665,405 8,373,817,383 6,631,150,879 457 3,394
318,672,852 1,974,946,289 8,157,874,023 6,888,170,898 465 3,496
320,569,702 2,168,410,400 7,054,161,621 7,071,441,895 453 3,587
331,950,897 2,692,375,977 7,318,092,773 7,228,914,063 453 4,258
331,950,897 2,635,948,730 8,229,855,469 7,148,970,215 451 4,044
337,641,479 2,411,674,072 9,165,611,328 6,911,582,031 442 3,770
335,744,629 2,740,538,574 8,469,791,992 6,951,123,047 446 3,937
363,700,012 2,985,079,102 7,965,923,828 7,178,589,844 459 4,210
359,810,181 3,339,240,967 8,507,350,586 7,040,797,852 444 4,484
324,801,605 3,356,105,713 9,564,623,047 7,098,890,137 447 5,019
353,975,403 3,263,349,121 9,933,438,477 7,081,312,988 445 5,007
375,369,537 3,246,484,375 9,835,087,891 6,850,619,141 480 4,722
377,314,453 2,495,998,291 9,933,438,477 6,839,341,797 468 4,733
375,369,537 2,697,344,727 9,958,026,367 6,843,238,770 474 4,757
375,369,537 2,616,153,809 9,810,500,000 6,805,276,855 470 4,912
365,644,928 2,823,641,846 10,400,605,469 6,915,715,820 504 5,175
352,030,487 1,840,328,857 11,507,052,734 6,633,261,230 490 5,050
418,157,776 2,230,000,000 11,138,236,328 6,661,878,906 509 5,200
382,000,000 2,410,000,000 11,015,297,852 6,931,358,887 565 5,725
386,000,000 2,670,000,000 11,200,000,000 6,953,259,766 625 6,025
BYAN MTLA ADRO ICBP MARKET Langkah Pertama
3 4 5 6 1
BYAN MTLA ADRO ICBP JKSE No.of observ
3,217 321 1,806 8,374 6,631 1
3,282 319 1,975 8,158 6,888 2
3,789 321 2,168 7,054 7,071 3
3,715 332 2,692 7,318 7,229 4
4,701 332 2,636 8,230 7,149 5
7,408 338 2,412 9,166 6,912 6
6,460 336 2,741 8,470 6,951 7
6,047 364 2,985 7,966 7,179 8
6,367 360 3,339 8,507 7,041 9
6,985 325 3,356 9,565 7,099 10
8,848 354 3,263 9,933 7,081 11
19,957 375 3,246 9,835 6,851 12
19,756 377 2,496 9,933 6,839 13
18,871 375 2,697 9,958 6,843 14
20,419 375 2,616 9,811 6,805 15
21,132 366 2,824 10,401 6,916 16
14,743 352 1,840 11,507 6,633 17
15,500 418 2,230 11,138 6,662 18
19,850 382 2,410 11,015 6,931 19
18,775 386 2,670 11,200 6,953 20
ngkah Pertama
RETURN
JRPT BMRI BYAN MTLA ADRO ICBP

0.01814512 0.03010031 0.02038049 -0.00591712 0.09374986 -0.0257879233

-0.02574256 0.02597399 0.15446067 0.00595234 0.09795918 -0.1352941218
0 0.18692367 -0.01960788 0.03550303 0.2416358 0.0374149568
-0.00406502 -0.05027937 0.26529413 0 -0.02095816 0.1245902074
-0.02040814 -0.06764705 0.57595952 0.01714284 -0.08508309 0.1137025872
0.0083333 0.04416404 -0.12796667 -0.00561794 0.13636358 -0.075916304
0.02924283 0.06948645 -0.06399406 0.08326383 0.08923083 -0.0594900281
-0.03347284 0.06497174 0.05304521 -0.01069516 0.11864405 0.0679678553
0.008658 0.11936335 0.09701494 -0.09729735 0.00505047 0.1242775233
-0.00429181 -0.00236969 0.26666662 0.08982036 -0.02763816 0.0385603728
0.0775862 -0.05700714 1.25563912 0.06043961 -0.00516793 -0.0099009609
-0.02400004 0.00251891 -0.0101002 0.00518134 -0.23116886 0.0099999702
0.0122951 0.00502517 -0.04477608 -0.00515463 0.0806677 0.0024752647
-0.00809716 0.03249998 0.08203123 0 -0.03010031 -0.0148148199
0.07142859 0.05358665 0.03489769 -0.02590676 0.07931034 0.0601503969
-0.02857148 -0.02415459 -0.30232558 -0.03723405 -0.34824282 0.1063829667
0.03921571 0.02970297 0.05134313 0.18784535 0.21173995 -0.0320513353
0.110456 0.10096154 0.28064516 -0.08646922 0.08071749 -0.0110375173
0.10619469 0.05240175 -0.05415617 0.0104712 0.10788382 0.0167677852
0.01752139 0.03243277 0.13233954 0.01164882 0.03129441 0.0177893092
WEIGHT 6%
VARIANCE MATRIX

JRPT
JRPT 0.0000015688
BMRI 0.0000008358
BYAN 0.0000102755
MTLA -0.0000000180
ADRO Err:502
ICBP Err:502

JRPT
AVERAGE RETU 0.01752139393
ST DEV 0.04439519045

PORTFOLIO RE JRPT
WEIGHT*RET 0.00096512725

GLOBAL MINIMUM VARIANCE

Portfolio
Expected
Return

U=GMV 2.091%
TRANSPOSE THE RETURN DATA

JRPT 0.25423717659 0.09909914203 0.06557381545 -0.0346153697 -0.28286854

BMRI 0.03010031169 0.02597399156 0.1869236708 -0.0502793664 -0.06764705
BYAN 0.02038048588 0.15446067262 -0.0196078835 0.26529413244 0.57595952
MTLA 0.03579957909 0.05529947755 0.00873365376 -0.067099504 -0.0719258
ADRO -0.0868485476 -0.005434813 0.06284159886 0.21593816415 0.00845671
ICBP -0.0257879233 -0.1352941218 0.03741495676 0.12459020735 0.11370259

CORRELATION MATRIX
JRPT BMRI BYAN MTLA ADRO
JRPT 0.10166513335 Err:502 Err:502 Err:502 Err:502
BMRI Err:502 Err:502 Err:502 Err:502 Err:502
BYAN Err:502 Err:502 Err:502 Err:502 Err:502
MTLA Err:502 Err:502 Err:502 Err:502 Err:502
ADRO Err:502 Err:502 Err:502 Err:502 Err:502
ICBP Err:502 Err:502 Err:502 Err:502 Err:502

0.00023719739
COVARIANCE MATRIX
JRPT BMRI BYAN MTLA ADRO
JRPT 0.00051706599 Err:502 Err:502 Err:502 Err:502
BMRI 0.00053454907 Err:502 Err:502 Err:502 Err:502
BYAN 0.00384078509 Err:502 Err:502 Err:502 Err:502
MTLA -6.4418685E-07 Err:502 Err:502 Err:502 Err:502
ADRO Err:502 Err:502 Err:502 Err:502 Err:502
ICBP Err:502 Err:502 Err:502 Err:502 Err:502
 3% 5% 51% 2% 34%

BMRI BYAN MTLA ADRO ICBP

Err:502 Err:502 Err:502 Err:502 Err:502
0.0000031473 Err:502 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502

BMRI BYAN MTLA ADRO ICBP

0.032432772506328 0.1323395391 0.01164882461 0.03129440691 0.01778930925
0.0625863480994804 0.33000247432 0.06337551446 0.1411651999 0.07088753194

BMRI BYAN MTLA ADRO ICBP

0.0009206053303234 0.00642770392 0.00590011092 0.00062068344 0.0060773672

WEIGHTS
Portfolio
Portfolio Variance Standard
Deviation
0.000965127253 0.00092060533 0.006427703922 0.005900111

-6.98902192618E-05 0.00836003704 6% 3% 5% 51%

0.10320487958 0.01790279 -0.02512562 -0.04896906 0.07588073 0 0.163728027
0.04416403544 0.06948645 0.06497174 0.11936335 -0.00236969 -0.05700714 0.002518914
-0.1279666712 -0.06399406 0.05304521 0.09701494 0.26666662 1.25563912 -0.0101002
0.09617980479 0.07801418 -0.02192981 -0.01569502 -0.07972672 -0.07178213 0.026666652
-0.0382191638 0.0177385 0.05228743 -0.03933743 0.03448281 -0.00624414 -0.008510719
-0.075916304 -0.05949003 0.06796786 0.12427752 0.03856037 -0.00990096 0.00999997

ICBP
-0.5741230413
Err:502
Err:502
Err:502
Err:502
Err:502

ICBP WEIGHT
Err:502 6%
Err:502 3%
Err:502 5%
Err:502 51%
Err:502 2%
Err:502 34%
100%
 100%

VARIANCE OF RETURNS
-0.00006989

ST DEV OF RETURNS
0.00836003704

PORTFOLIO RETURN
2.091%

0.00062068344 0.006077367

2% 34% 100%
-0.13852818 0.05025125 0.0047847 -0.09761904 0.02902375 0.05986978 0.00251889
0.00502517 0.03249998 0.05358665 -0.02415459 0.02970297 0.10096154 0.05240175
-0.04477608 0.08203123 0.03489769 -0.30232558 0.05134313 0.28064516 -0.05415617
0.00779218 0.04639177 0.04679806 -0.04941181 -0.00990097 -0.03086108 0.00268817
-0.1030043 0.04066988 0.01149425 0.02954551 -0.05960266 -0.09624416 -0.01455358
0.00247526 -0.01481482 0.0601504 0.10638297 -0.03205134 -0.01103752 0.01676779
 Beta Weight Beta x weight
JRPT 0.17 6% 0.00936407
BMRI 0.62 3% 0.01759872
BYAN -3.797 5% -0.1844195
MLTA 0.23 51% 0.11649463
ADRO 0.14 2% 0.00277672
ICBP -0.02 34% -0.00683261
100%
BETA PORTFOLIO -0.0450179665574

multipler 500000
index future price 918.46
value of protfolio Rp10,000,000,000

459,230,000
hedge required -0.9803 kontrak