Portofolio

TUGAS PASAR MODAL
MENENTUKAN KOMBINASI PORTOFOLIO OPTIMUM DARI

PERUSAHAAN PT. BANK RAKYAT INDONESIA (PERSERO), TBK ,
PT. BANK NEGARA INDONESIA (PERSERO), TBK DAN PT. BANK
MANDIRI (PERSERO), TBK
DISUSUN OLEH :
CHRISTIAN ELRIC Y. KOBA

13101103010
FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM

UNIVERSITAS SAM RATULANGI
MANADO
201
BAB I
PENDAHULUAN
1.1.
Latar Belakang
Investasi merupakan penanaman sejumlah dana atau barang yang diharapkan
akan memberikan hasil yang lebih dikemudian hari. Invetasi berupa surat berharga
(sekuritas) pada umumnya dapat dilakukan melalui pasar modal dan pasar uang.
Namun tingkat keuntungan yang diperoleh di pasar modal dalam bentuk surat
berharga khususnya saham lebih besar dibandingkan tingkat keuntungan di pasar uang
yang ditanamkan dalam bentuk deposito. Di lihat dari segi risiko, investasi di pasar
modal mempunyai risiko lebih besar dibandingkan risiko investasi di pasar uang
karena risiko dan keuntungan pada umumnya mempunyai hubungan positif yaitu
semakin besar tingkat keuntungan semakin besar pula risiko yang ditanggung.
Pada umumnya investor selalu mengharapkan tingkat pengembalian yang
maksimal dengan risiko tertentu atau dengan risiko minimal menghasilkan tingkat
pengembalian tertentu pada setiap investasi yang dilakukannya. Risiko dapat
diminimalkan dengan melakukan portofolio saham. Semakin banyak saham yang
dimasukan ke dalam protofolio, semakin kecil risiko yang ditanggung. Pada Makalah
ini yang akan diteliti adalah portofolio mana yang memiliki tingkat keuntungan yang
tinggi dengan resiko tertentu serta meminimalkan resiko tersebut.
Analisis portofolio ini akan menggunakan data perusahaan sector perbankan
yang diambil dari Sumber Web: www.Finance.yahoo.com :
1. PT. Bank PT. Bank Rakyat Indonesia (Persero), Tbk ,
2. PT. Bank Negara Indonesia (Persero), Tbk
3. PT. Bank Mandiri (Persero), Tbk
1.2........................................................................................................................................Rum
usan Masalah
Berdasarkan latar belakang yang telah dikemukakan, maka
perumusan masalah penelitian ini adalah :
- Bagaimana analisis kombinasi portofolio optimal yang
dapat dibentuk dari saham perusahaan sektor perbankan ?
1.3........................................................................................................................................
Tujuan
Adapun tujuan dari penelitian ini adalah:
1. Untuk mengetahui tingkat keuntungan yang diharapkan (expected
return) dari setiap portofolio.
2. Untuk mengetahui tingkat risiko yang terkandung dalam setiap
potofolio investasi.
3. Untuk mengetahui kombinasi portofolio optimal yang dapat
dibentuk dari saham perusahaan sektor perbankan.
BAB II
LANDASAN TEORI
2.1. Profil Emitem
3
1. PT. Bank Rakyat Indonesia (Persero), Tbk
Bank Rakyat Indonesia (BRI) adalah salah satu bank milik pemerintah yang
terbesar di Indonesia. Pada awalnya Bank Rakyat Indonesia (BRI) didirikan di
Purwokerto, Jawa Tengah oleh Raden Bei Aria Wirjaatmadja dengan nama De
Poerwokertosche Hulp en Spaarbank der Inlandsche Hoofden atau "Bank Bantuan dan
Simpanan Milik Kaum Priyayi Purwokerto", suatu lembaga keuangan yang melayani
orang-orang berkebangsaan Indonesia (pribumi). Lembaga tersebut berdiri tanggal 16
Desember 1895, yang kemudian dijadikan sebagai hari kelahiran BRI.
Pada periode setelah kemerdekaan RI, berdasarkan Peraturan Pemerintah No. 1
tahun 1946 Pasal 1 disebutkan bahwa BRI adalah sebagai Bank Pemerintah pertama di
Republik Indonesia. Dalam masa perang mempertahankan kemerdekaan pada tahun
1948, kegiatan BRI sempat terhenti untuk sementara waktu dan baru mulai aktif
kembali setelah perjanjian Renville pada tahun 1949 dengan berubah nama menjadi
Bank Rakyat Indonesia Serikat. Pada waktu itu melalui PERPU No. 41 tahun 1960
dibentuklah Bank Koperasi Tani dan Nelayan (BKTN) yang merupakan peleburan dari
BRI, Bank Tani Nelayan dan Nederlandsche Maatschappij (NHM). Kemudian
berdasarkan Penetapan Presiden (Penpres) No. 9 tahun 1965, BKTN diintegrasikan ke
dalam Bank Indonesia dengan nama Bank Indonesia Urusan Koperasi Tani dan
Nelayan.
Berdasarkan Undang-Undang No. 14 tahun 1967 tentang Undang-undang
Pokok Perbankan dan Undang-undang No. 13 tahun 1968 tentang Undang-undang
Bank Sentral, yang intinya mengembalikan fungsi Bank Indonesia sebagai Bank
Sentral dan Bank Negara Indonesia Unit II Bidang Rular dan Ekspor Impor dipisahkan
masing-masing menjadi dua Bank yaitu Bank Rakyat Indonesia dan Bank Ekspor
Impor Indonesia. Selanjutnya berdasarkan Undang-undang No. 21 tahun 1968
menetapkan kembali tugas-tugas pokok BRI sebagai bank umum.
Sejak 1 Agustus 1992 berdasarkan Undang-Undang Perbankan No. 7 tahun 1992 dan
Peraturan Pemerintah RI No. 21 tahun 1992 status BRI berubah menjadi perseroan
terbatas. Kepemilikan BRI saat itu masih 100% di tangan Pemerintah Republik
Indonesia. Pada tahun 2003, Pemerintah Indonesia memutuskan untuk menjual 30%
saham bank ini, sehingga menjadi perusahaan publik dengan nama resmi PT. Bank
Rakyat Indonesia (Persero) Tbk., yang masih digunakan sampai dengan saat ini.
Bank Negara Indonesia didirikan dan dipersiapkan pada tanggal 5 Juli 1946
menjadi Bank Sirkulasi atau Bank Sentral yang bertanggung jawab menerbitkan dan
mengelola mata uang RI. Beberapa bulan setelah pendiriannya, Bank Negara
Indonesia mulai mengedarkan alat pembayaran resmi pertama - Oeang Republik
4
Indonesia atau ORI. Pengusul dibentuknya sebuah Bank Sentral atau Bank Sirkulasi,
serta sekaligus juga adalah sebagai pendiri dan Direktur Utama Bank Negara
Indonesia yang pertama adalah Raden Mas (R.M.) Margono Djojohadikusumo.
Pada 1955, Peran Bank Negara Indonesia beralih menjadi bank pembangunan
dan kemudian mendapat hak untuk bertindak sebagai bank devisa. Sejalan dengan
penambahan modal pada tahun 1955, status Bank Negara Indonesia beralih menjadi
bank umum dengan penetapan secara yuridis melalui Undang-Undang Darurat nomor
2 tahun 1955.
Dengan inovasi perbankan yang luas, menimbulkan kepercayaan pemerintah terhadap
perusahaan BNI. Maka, pada 1968, status hukum Bank Negara Indonesia ditingkatkan
ke Persero dengan nama PT Bank Negara Indonesia.
Pada 2013, BNI memposisikan layanannya dalam tingkat yang lebih tinggi. Bank BNI
meluncurkan kartu kredit dan kartu ATM/debit bergambar Tim Sepakbola peserta
BPL, Chelsea, dengan logo MasterCard. Kartu tersebut dapat diterima oleh fans
Chelsea. Bank BNI juga meluncurkan layanan trust bagi industri ekspor, termasuk
untuk industri minyak dan gas.
PT Bank Mandiri (PERSERO) Tbk. adalah bank yang berkantor pusat di

Jakarta, dan merupakan bank terbesar di Indonesia dalam hal aset, pinjaman, dan
deposit. Bank ini berdiri pada tanggal 2 Oktober 1998 sebagai bagian dari program
restrukturisasi perbankan yang dilaksanakan oleh Pemerintah Indonesia. Pada bulan
Juli 1999, empat bank milik Pemerintah yaitu, Bank Bumi Daya (BBD), Bank Dagang
Negara (BDN), Bank Ekspor Impor Indonesia (Bank Exim), dan Bank Pembangunan
Indonesia (Bapindo), digabungkan ke dalam Bank Mandiri.
2.2. Dasar Analisis Data
Pada bab ini akan dicantumkan rumus-rumus berdasarkan tahapan pengerjaan yang
digunakan dalam analisis data :
1. Return/Tingkat Pengembalian
Re turn(u i )
si si 1
si 1
, i = 1, 2, . . .,n
Dimana :
Return = Tingkat keuntungan saham individu untuk jangka waktu investasi
Pi = harga penutupan saham periode t
5
Si-1 = harga penutupan saham periode sebelumnya

2. Expected Return/Rata-rata Tingkat Pengembalian
_
1 n
u ui
N i 1
Dimana :
u = expected return saham individu
Ui = return saham individu
N = jumlah periode
3. Varians
n
( u iu )2
2= i=1
Dimana :
2 = Varians
u = expected return saham individu
Ui = return saham individu
N = jumlah periode
4. Risk/Standar Deviasi
= 2
Dimana :
=Standar Deviasi
= Varians
5. Covarian
n
(x ix )( y i x )
Cov= i=1
Diman x dan y adalah Aset

6. Expected Return Portofolio (Tanpa Bobot) :
n
rp= ui
i=1
7. Varians Portofolio (Tanpa Bobot)

n
p = ij
2
i=1 j=1
2
ij = ji
Dimana ii = i dan
adalah kovarian
Atau dengan Matrix Varians (Tanpa Bobot/ w ):
8. Risk/Standar Deviasi Portofolio :

p = 2p
BAB III
7
HASIL DAN PEMBAHASAN

Data yang akan dianalisis pada kasus ini yakni data Close Price masing-masing
emitem.
1. PT. Bank PT. Bank Rakyat Indonesia (Persero), Tbk ,
Tabel 1 : BRI
No
Date
Close
uiu
Return (Ui)
02/02/20
15
03/02/20
15
04/02/20
15
11725.
00
11750.
00
11775.
00
05/02/20
15
11700.
00
06/02/20
15
11650.
00
07/02/20
15
11675.
00
08/02/20
15
11650.
00
09/02/20
15
10/02/20
15
11/02/20
15
12/02/20
15
11700.
00
11875.
00
12000.
00
12025.
00
11
13/02/20
15
12000.
00
12
14/02/20
15
12475.
00
0.0021321961
62
0.0021276595
74
0.0063694267
52
0.0042735042
74
0.0021459227
47
0.0021413276
23
0.0042918454
94
0.0149572649
57
0.0105263157
89
0.0020833333
33
0.0020790020
79
0.0395833333
33
13
15/02/20
15
12475.
00
0.0000000000
00
14
16/02/20
15
12725.
00
15
17/02/20
15
12700.
00
18/02/20
15
19/02/20
15
20/02/20
15
12800.
00
12925.
00
12950.
00
0.0200400801
60
0.0019646365
42
0.0078740157
48
0.0097656250
00
0.0019342359
77
0
1
2
7
8
9
10
16
17
18
0.0020459254
23
0.0020413888
35
0.0064556974
91
0.0043597750
13
0.0020596520
07
0.0022275983
63
0.0042055747
54
0.0148709942
18
0.0104400450
50
0.0019970625
94
0.0021652728
18
0.0394970625
94
0.0000862707
39
0.0199538094
21
0.0020509072
82
0.0077877450
09
0.0096793542
61
0.0018479652
37
( uiu )
0.000004185811
0.000004167268
0.000041676030
0.000019007638
0.000004242166
0.000004962194
0.000017686859
0.000221146469
0.000108994541
0.000003988259
0.000004688406
0.001560017954
0.000000007443
0.000398154510
0.000004206221
0.000060648972
0.000093689899
0.000003414976
0.0057915057
92
0.0058252427
18
0.0057915057
92
0.0038834951
46
0.0019493177
39
0.0175097276
26
0.0114722753
35
0.0038684719
54
0.0019417475
73
0.0038910505
84
0.0116279069
77
0.0117647058
82
0.0019379844
96
0.0038684719
54
0.0057803468
21
0.0114942528
74
19
21/02/20
15
12875.
00
20
22/02/20
15
12950.
00
21
23/02/20
15
12875.
00
22
24/02/20
15
12825.
00
25/02/20
15
26/02/20
15
12850.
00
13075.
00
25
27/02/20
15
12925.
00
26
28/02/20
15
12875.
00
27
01/03/20
15
12850.
00
28
02/03/20
15
12900.
00
29
03/03/20
15
12750.
00
04/03/20
15
05/03/20
15
06/03/20
15
07/03/20
15
12900.
00
12925.
00
12975.
00
13050.
00
34
08/03/20
15
12900.
00
35
09/03/20
15
12900.
00
0.0000000000
00
10/03/20
15
11/03/20
15
13000.
00
13150.
00
38
12/03/20
15
13125.
00
39
13/03/20
15
13075.
00
14/03/20
15
13025.
00
0.0077519379
84
0.0115384615
38
0.0019011406
84
0.0038095238
10
0.0038240917
23
24
30
31
32
33
36
37
40
0.0058777765
31
0.0057389719
79
0.0058777765
31
0.0039697658
85
0.0018630469
99
0.0174234568
87
0.0115585460
74
0.0039547426
93
0.0020280183
12
0.0038047798
44
0.0117141777
16
0.0116784351
43
0.0018517137
57
0.0037822012
14
0.0056940760
81
0.0115805236
13
0.0000862707
39
0.0076656672
45
0.0114521907
99
0.0019874114
24
0.0038957945
49
0.0039103625
0.000034548257
0.000032935799
0.000034548257
0.000015759041
0.000003470944
0.000303576850
0.000133599987
0.000015639990
0.000004112858
0.000014476350
0.000137221960
0.000136385847
0.000003428844
0.000014305046
0.000032422502
0.000134108527
0.000000007443
0.000058762454
0.000131152674
0.000003949804
0.000015177215
0.000015290935
78
0.0191938579
65
0.0207156308
85
41
15/03/20
15
13275.
00
42
16/03/20
15
13000.
00
43
17/03/20
15
13000.
00
0.0000000000
00
44
18/03/20
15
13000.
00
0.0000000000
00
19/03/20
15
20/03/20
15
13025.
00
13175.
00
47
21/03/20
15
13100.
00
48
22/03/20
15
13075.
00
49
23/03/20
15
13025.
00
50
24/03/20
15
13000.
00
0.0019230769
23
0.0115163147
79
0.0056925996
20
0.0019083969
47
0.0038240917
78
0.0019193857
97
51
25/03/20
15
13000.
00
0.0000000000
00
26/03/20
15
27/03/20
15
13075.
00
13125.
00
28/03/20
15
13000.
00
29/03/20
15
30/03/20
15
13150.
00
13200.
00
57
31/03/20
15
13175.
00
58
01/04/20
15
13050.
00
59
02/04/20
15
12950.
00
60
03/04/20
15
12025.
00
61
04/04/20
11875.
0.0057692307
69
0.0038240917
78
0.0095238095
24
0.0115384615
38
0.0038022813
69
0.0018939393
94
0.0094876660
34
0.0076628352
49
0.0714285714
29
-
45
46
52
53
54
55
56
10
18
0.0191075872
26
0.0208019016
25
0.0000862707
39
0.0000862707
39
0.0018368061
84
0.0114300440
40
0.0057788703
60
0.0019946676
86
0.0039103625
18
0.0020056565
36
0.0000862707
39
0.0056829600
30
0.0037378210
39
0.0096100802
63
0.0114521907
99
0.0037160106
29
0.0019802101
33
0.0095739367
74
0.0077491059
88
0.0715148421
68
-
0.000365099890
0.000432719111
0.000000007443
0.000000007443
0.000003373857
0.000130645907
0.000033395343
0.000003978699
0.000015290935
0.000004022658
0.000000007443
0.000032296035
0.000013971306
0.000092353643
0.000131152674
0.000013808735
0.000003921232
0.000091660265
0.000060048644
0.005114372650
0.000157760714
0.0124740124
74
0.0210526315
79
15
00
62
05/04/20
15
11625.
00
63
06/04/20
15
11625.
00
0.0000000000
00
64
07/04/20
15
11625.
00
0.0000000000
00
65
08/04/20
15
11625.
00
0.0000000000
00
09/04/20
15
10/04/20
15
11700.
00
11750.
00
11/04/20
15
11625.
00
12/04/20
15
13/04/20
15
14/04/20
15
15/04/20
15
11650.
00
11775.
00
12025.
00
12175.
00
0.0064516129
03
0.0042735042
74
0.0106382978
72
0.0021505376
34
0.0107296137
34
0.0212314225
05
0.0124740124
74
73
16/04/20
15
12175.
00
0.0000000000
00
74
17/04/20
15
11800.
00
18/04/20
15
19/04/20
15
20/04/20
15
21/04/20
15
12000.
00
12275.
00
12475.
00
12750.
00
79
22/04/20
15
12600.
00
80
23/04/20
15
12350.
00
81
24/04/20
15
12375.
00
82
25/04/20
15
11950.
00
83
26/04/20
11825.
66
67
68
69
70
71
72
75
76
77
78
0.0308008213
55
0.0169491525
42
0.0229166666
67
0.0162932790
22
0.0220440881
76
0.0117647058
82
0.0198412698
41
0.0020242914
98
0.0343434343
43
11
0.0125602832
13
0.0211389023
18
0.0000862707
39
0.0000862707
39
0.0000862707
39
0.0063653421
64
0.0041872335
34
0.0107245686
12
0.0020642668
95
0.0106433429
94
0.0211451517
66
0.0123877417
35
0.0000862707
39
0.0308870920
95
0.0168628818
03
0.0228303959
27
0.0162070082
83
0.0219578174
37
0.0118509766
22
0.0199275405
81
0.0019380207
59
0.0344297050
83
-
0.000446853191
0.000000007443
0.000000007443
0.000000007443
0.000040517581
0.000017532925
0.000115016372
0.000004261198
0.000113280750
0.000447117443
0.000153456145
0.000000007443
0.000954012458
0.000284356783
0.000521226978
0.000262667117
0.000482145747
0.000140445647
0.000397106874
0.000003755924
0.001185404592
0.000111229122
15
00
84
27/04/20
15
11775.
00
85
28/04/20
15
11725.
00
86
29/04/20
15
11725.
00
87
30/04/20
15
11250.
00
88
01/05/20
15
11125.
00
89
02/05/20
15
11300.
00
90
03/05/20
15
11000.
00
91
04/05/20
15
10475.
00
92
05/05/20
15
10400.
00
93
06/05/20
15
10125.
00
94
07/05/20
15
10375.
00
95
08/05/20
15
10150.
00
09/05/20
15
10/05/20
15
10550.
00
11000.
00
98
11/05/20
15
10775.
00
99
12/05/20
15
11050.
00
10
0
13/05/20
15
10950.
00
10
1
14/05/20
15
10800.
00
10
2
15/05/20
15
10300.
00
10
16/05/20
10200.
96
97
0.0104602510
46
0.0042283298
10
0.0042462845
01
0.0000000000
00
0.0405117270
79
0.0111111111
11
0.0157303370
79
0.0265486725
66
0.0477272727
27
0.0071599045
35
0.0264423076
92
0.0246913580
25
0.0216867469
88
0.0394088669
95
0.0426540284
36
0.0204545454
55
0.0255220417
63
0.0090497737
56
0.0136986301
37
0.0462962962
96
12
0.0105465217
85
0.0043146005
49
0.0043325552
40
0.0000862707
39
0.0405979978
18
0.0111973818
51
0.0156440663
39
0.0266349433
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0.0000862707
39
0.0000862707
39
0.0042900968
75
0.0086283262
10
0.0044059251
67
0.0239474421
06
0.0310248403
72
0.0194828224
64
0.0196939490
41
0.0000862707
39
0.0106895913
30
0.0235404285
22
0.0044530829
66
0.0086856590
85
0.0435645316
09
0.0159953616
0.000000007443
0.000000007443
0.000725804349
0.000000007443
0.000004438234
0.000000007443
0.000000007443
0.000018404931
0.000074448013
0.000019412177
0.000573479983
0.000962540720
0.000379580371
0.000387851629
0.000000007443
0.000114267363
0.000554151775
0.000019829948
0.000075440674
0.001897868414
0.000255851594
25
4
25
5
14/10/20
15
15/10/20
15
11275.
00
11425.
00
25
6
16/10/20
15
11300.
00
25
7
17/10/20
15
11375.
00
25
8
18/10/20
15
11250.
00
25
9
19/10/20
15
11225.
00
26
0
20/10/20
15
11225.
00
09
0.0415704387
99
0.0133037694
01
0.0109409190
37
0.0066371681
42
0.0109890109
89
0.0022222222
22
49
0.0414841680
60
0.0132174986
62
0.0110271897
77
0.0065508974
02
0.0110752817
28
0.0023084929
62
0.0000000000
0.0000862707
00
39
Expected
Return
Varians
SD
0.001720936200
0.000174702271
0.000121598914
0.000042914257
0.000122661865
0.000005329140
0.000000007443
0.000086270739
0.000507437196
0.022526366687

Tabel 2 : BNI
No
0
1
2
3
4
5
6
7
8
9
10
Date
Clo
se
02/02/201
5
03/02/201
5
04/02/201
5
05/02/201
5
06/02/201
5
09/02/201
5
10/02/201
5
11/02/201
5
12/02/201
5
13/02/201
5
16/02/201
625
0
642
5
650
0
645
0
667
5
687
5
680
0
672
5
672
5
667
5
667
uiu
Return (Ui)
( uiu )
0.028000000000
0.028713079428
0.000824440930
0.011673151751
0.012386231179
0.000153418723
0.007692307692
0.006979228264
0.000048709627
0.034883720930
0.035596800358
0.001267132196
0.029962546816
0.030675626245
0.000940994046
0.010909090909
0.011029411765
0.010196011481
0.010316332336
0.000000000000
0.000713079428
0.007434944238
0.000000000000
0.006721864810
0.000713079428
20
0.000103958650
0.000106426713
0.000000508482
0.000045183467
0.000000508482
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
5
17/02/201
5
18/02/201
5
19/02/201
5
20/02/201
5
23/02/201
5
24/02/201
5
25/02/201
5
26/02/201
5
27/02/201
5
02/03/201
5
03/03/201
5
04/03/201
5
05/03/201
5
06/03/201
5
09/03/201
5
10/03/201
5
11/03/201
5
12/03/201
5
13/03/201
5
16/03/201
5
17/03/201
5
18/03/201
5
19/03/201
5
20/03/201
5
23/03/201
5
24/03/201
5
25/03/201
5
5
665
0
690
0
690
0
690
0
692
5
697
5
697
5
692
5
687
5
685
0
667
5
665
0
667
5
677
5
670
0
675
0
670
0
672
5
675
0
692
5
690
0
695
0
700
0
695
0
700
0
710
0
705
0
0.003745318352
0.003032238924
0.000009194473
0.037593984962
0.038307064391
0.001467431182
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.003623188406
0.004336267834
0.000018803219
0.007220216606
0.007933296035
0.000062937186
0.000000000000
0.000713079428
0.000000508482
0.007168458781
0.007220216606
0.003636363636
0.025547445255
0.003745318352
0.006455379353
0.006507137178
0.002923284208
0.024834365827
0.003032238924
0.003759398496
0.004472477924
0.000020003059
0.014981273408
0.015694352836
0.000246312711
0.011070110701
0.010357031273
0.000107268097
0.007462686567
0.008175765995
0.000066843150
0.007407407407
0.006694327979
0.000044814027
0.003731343284
0.004444422712
0.000019752893
0.003717472119
0.004430551547
0.000019629787
0.025925925926
0.026639005354
0.000709636606
0.003610108303
0.002897028875
0.000008392776
0.007246376812
0.007959456240
0.000063352944
0.007194244604
0.007907324033
0.000062525773
0.007142857143
0.006429777715
0.000041342041
0.007194244604
0.007907324033
0.000062525773
0.014285714286
0.014998793714
0.000224963813
0.007042253521
0.006329174093
0.000040058445
21
0.000041671923
0.000042342834
0.000008545591
0.000616745726
0.000009194473
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
26/03/201
5
27/03/201
5
30/03/201
5
31/03/201
5
01/04/201
5
02/04/201
5
03/04/201
5
06/04/201
5
07/04/201
5
08/04/201
5
09/04/201
5
10/04/201
5
13/04/201
5
14/04/201
5
15/04/201
5
16/04/201
5
17/04/201
5
20/04/201
5
21/04/201
5
22/04/201
5
23/04/201
5
24/04/201
5
27/04/201
5
28/04/201
5
29/04/201
5
30/04/201
5
01/05/201
5
04/05/201
710
0
710
0
700
0
722
5
725
0
720
0
720
0
717
5
727
5
722
5
717
5
712
5
720
0
710
0
710
0
715
0
705
0
717
5
717
5
710
0
712
5
695
0
650
0
665
0
652
5
642
5
642
5
647
0.007092198582
0.007805278010
0.000060922365
0.000000000000
0.000713079428
0.000000508482
0.014084507042
0.013371427614
0.000178795076
0.032142857143
0.032855936571
0.001079512568
0.003460207612
0.004173287041
0.000017416325
0.006896551724
0.006183472296
0.000038235330
0.000000000000
0.000713079428
0.000000508482
0.003472222222
0.002759142794
0.000007612869
0.013937282230
0.014650361658
0.000214633097
0.006872852234
0.006920415225
0.006968641115
0.006159772805
0.006207335797
0.006255561687
0.010526315789
0.011239395218
0.000126324005
0.013888888889
0.013175809461
0.000173601955
0.000000000000
0.000713079428
0.000000508482
0.007042253521
0.007755332949
0.000060145189
0.013986013986
0.013272934558
0.000176170792
0.017730496454
0.018443575882
0.000340165491
0.000000000000
0.000713079428
0.000000508482
0.010452961672
0.009739882244
0.000094865306
0.003521126761
0.004234206189
0.000017928502
0.024561403509
0.064748201439
0.023848324081
0.064035122011
0.023076923077
0.023790002505
0.018796992481
0.015325670498
0.018083913053
0.014612591070
0.000000000000
0.000713079428
0.000000508482
0.007782101167
0.008495180596
0.000072168093
22
0.000037942801
0.000038531018
0.000039132052
0.000568742561
0.004100496851
0.000565964219
0.000327027911
0.000213527818
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
5
05/05/201
5
06/05/201
5
07/05/201
5
08/05/201
5
11/05/201
5
12/05/201
5
13/05/201
5
14/05/201
5
15/05/201
5
18/05/201
5
19/05/201
5
20/05/201
5
21/05/201
5
22/05/201
5
25/05/201
5
26/05/201
5
27/05/201
5
28/05/201
5
29/05/201
5
01/06/201
5
02/06/201
5
03/06/201
5
04/06/201
5
05/06/201
5
08/06/201
5
09/06/201
5
10/06/201
5
5
650
0
655
0
670
0
665
0
665
0
675
0
682
5
682
5
672
5
667
5
675
0
677
5
700
0
707
5
705
0
695
0
685
0
690
0
687
5
665
0
665
0
637
5
620
0
622
5
602
5
580
0
575
0
0.003861003861
0.004574083289
0.000020922238
0.007692307692
0.008405387121
0.000070650533
0.022900763359
0.023613842787
0.000557613571
0.007462686567
0.006749607139
0.000045557197
0.000000000000
0.000713079428
0.000000508482
0.015037593985
0.015750673413
0.000248083713
0.011111111111
0.011824190539
0.000139811482
0.000000000000
0.000713079428
0.000000508482
0.014652014652
0.007434944238
0.013938935224
0.006721864810
0.011235955056
0.011949034484
0.000142779425
0.003703703704
0.004416783132
0.000019507973
0.033210332103
0.033923411532
0.001150797850
0.010714285714
0.011427365143
0.000130584674
0.003533568905
0.014184397163
0.014388489209
0.002820489476
0.013471317735
0.013675409780
0.007299270073
0.008012349501
0.003623188406
0.032727272727
0.002910108978
0.032014193299
0.000000000000
0.000713079428
0.041353383459
0.027450980392
0.040640304030
0.026737900964
0.004032258065
0.004745337493
0.032128514056
0.037344398340
0.008620689655
0.031415434628
0.036631318912
0.007907610227
23
0.000194293915
0.000045183467
0.000007955161
0.000181476402
0.000187016833
0.000064197745
0.000008468734
0.001024908573
0.000000508482
0.001651634312
0.000714915348
0.000022518228
0.000986929533
0.001341853525
0.000062530300
93
94
95
96
97
98
99
10
0
10
1
10
2
10
3
10
4
10
5
10
6
10
7
10
8
10
9
11
0
11
1
11
2
11
3
11
4
11
5
11
6
11
7
11
8
11
9
12
11/06/201
5
12/06/201
5
15/06/201
5
16/06/201
5
17/06/201
5
18/06/201
5
19/06/201
5
22/06/201
5
23/06/201
5
24/06/201
5
25/06/201
5
26/06/201
5
29/06/201
5
30/06/201
5
01/07/201
5
02/07/201
5
03/07/201
5
06/07/201
5
07/07/201
5
08/07/201
5
09/07/201
5
10/07/201
5
13/07/201
5
14/07/201
5
15/07/201
5
16/07/201
5
17/07/201
5
20/07/201
557
5
562
5
537
5
550
0
565
0
552
5
557
5
560
0
557
5
550
0
535
0
527
5
525
0
530
0
530
0
557
5
562
5
545
0
555
0
540
0
535
0
545
0
547
5
530
0
507
5
507
5
507
5
507
0.030434782609
0.029721703180
0.000883379640
0.008968609865
0.009681689294
0.000093735108
0.044444444444
0.043731365016
0.001912432286
0.023255813953
0.023968893382
0.000574507850
0.027272727273
0.027985806701
0.000783205377
0.022123893805
0.021410814377
0.000458422972
0.009049773756
0.009762853184
0.000095313302
0.004484304933
0.005197384361
0.000027012804
0.004464285714
0.013452914798
0.027272727273
0.014018691589
0.004739336493
0.003751206286
0.012739835370
0.026559647844
0.013305612161
0.004026257065
0.009523809524
0.010236888952
0.000104793895
0.000000000000
0.000713079428
0.000000508482
0.051886792453
0.052599871881
0.002766746522
0.008968609865
0.009681689294
0.000093735108
0.031111111111
0.030398031683
0.000924040330
0.018348623853
0.019061703281
0.000363348532
0.027027027027
0.009259259259
0.026313947599
0.008546179831
0.018691588785
0.019404668213
0.000376541148
0.004587155963
0.005300235392
0.000028092495
0.031963470320
0.042452830189
0.031250390891
0.041739750760
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
24
0.000014071549
0.000162303405
0.000705414894
0.000177039315
0.000016210746
0.000692423838
0.000073037190
0.000976586931
0.001742206794
0
12
1
12
2
12
3
12
4
12
5
12
6
12
7
12
8
12
9
13
0
13
1
13
2
13
3
13
4
13
5
13
6
13
7
13
8
13
9
14
0
14
1
14
2
14
3
14
4
14
5
14
6
14
7
5
21/07/201
5
22/07/201
5
23/07/201
5
24/07/201
5
27/07/201
5
28/07/201
5
29/07/201
5
30/07/201
5
31/07/201
5
03/08/201
5
04/08/201
5
05/08/201
5
06/08/201
5
07/08/201
5
10/08/201
5
11/08/201
5
12/08/201
5
13/08/201
5
14/08/201
5
17/08/201
5
18/08/201
5
19/08/201
5
20/08/201
5
21/08/201
5
24/08/201
5
25/08/201
5
26/08/201
5
5
507
5
517
5
510
0
500
0
485
0
474
5
464
0
448
0
476
0
481
5
479
5
510
0
517
5
500
0
489
0
466
5
451
0
463
0
457
5
457
5
434
0
442
0
442
0
430
0
412
5
435
0
450
5
0.000000000000
0.000713079428
0.000000508482
0.019704433498
0.020417512926
0.000416874834
0.014492753623
0.019607843137
0.030000000000
0.021649484536
0.022128556375
0.034482758621
0.013779674195
0.018894763709
0.029286920572
0.020936405108
0.021415476947
0.033769679192
0.062500000000
0.063213079428
0.003995893411
0.011554621849
0.012267701277
0.000150496495
0.004153686397
0.003440606968
0.000011837776
0.063607924922
0.064321004350
0.004137191601
0.014705882353
0.015418961781
0.000237744382
0.033816425121
0.022000000000
0.046012269939
0.033226152197
0.033103345693
0.021286920572
0.045299190510
0.032513072769
0.026607538803
0.027320618231
0.000746416181
0.011879049676
0.011165970248
0.000124678892
0.000000000000
0.000713079428
0.000000508482
0.051366120219
0.050653040790
0.002565730541
0.018433179724
0.019146259152
0.000366579240
0.000000000000
0.000713079428
0.000000508482
0.027149321267
0.040697674419
0.026436241839
0.039984594990
0.054545454545
0.055258533974
0.003053505577
0.035632183908
0.036345263336
0.001320978167
25
0.000189879421
0.000357012096
0.000857723717
0.000438333059
0.000458622653
0.001140391233
0.001095831496
0.000453132987
0.002052016661
0.001057099901
0.000698874883
0.001598767837
14
8
14
9
15
0
15
1
15
2
15
3
15
4
15
5
15
6
15
7
15
8
15
9
16
0
16
1
16
2
16
3
16
4
16
5
16
6
16
7
16
8
16
9
17
0
17
1
17
2
17
3
17
4
17
27/08/201
5
28/08/201
5
31/08/201
5
01/09/201
5
02/09/201
5
03/09/201
5
04/09/201
5
07/09/201
5
08/09/201
5
09/09/201
5
10/09/201
5
11/09/201
5
14/09/201
5
15/09/201
5
16/09/201
5
17/09/201
5
18/09/201
5
21/09/201
5
22/09/201
5
23/09/201
5
24/09/201
5
25/09/201
5
28/09/201
5
29/09/201
5
30/09/201
5
01/10/201
5
02/10/201
5
05/10/201
495
5
500
0
495
0
476
0
470
0
468
5
460
0
449
0
471
5
466
5
448
5
440
5
445
0
436
0
431
5
435
0
428
5
433
0
430
0
428
0
428
0
411
0
394
0
407
0
413
5
419
5
414
5
440
0.099889012209
0.100602091637
0.010120780842
0.009081735621
0.009794815049
0.000095938402
0.010000000000
0.038383838384
0.012605042017
0.003191489362
0.018143009605
0.023913043478
0.009286920572
0.037670758956
0.011891962589
0.002478409933
0.017429930177
0.023199964050
0.050111358575
0.050824438003
0.010604453871
0.038585209003
0.017837235229
0.009891374442
0.037872129575
0.017124155800
0.010215664018
0.010928743446
0.020224719101
0.010321100917
0.019511639673
0.009608021489
0.008111239861
0.008824319289
0.000077868611
0.014942528736
0.014229449307
0.000202477228
0.010501750292
0.011214829720
0.000125772406
0.006928406467
0.004651162791
0.006215327038
0.003938083362
0.000000000000
0.000713079428
0.039719626168
0.041362530414
0.039006546740
0.040649450985
0.032994923858
0.033708003286
0.001136229486
0.015970515971
0.016683595399
0.000278342355
0.014510278114
0.015223357542
0.000231750615
0.011918951132
0.061519903498
0.011205871704
0.062232982926
26
0.000086246894
0.001419086080
0.000141418774
0.000006142516
0.000303802466
0.000538238332
0.002583123498
0.000097839288
0.001434298199
0.000293236712
0.000119437433
0.000380704083
0.000092314077
0.000038630290
0.000015508501
0.000000508482
0.001521510689
0.001652377865
0.000125571561
0.003872944164
5
17
6
17
7
17
8
17
9
18
0
18
1
18
2
18
3
18
4
18
5
18
6
18
7
18
8
18
9
19
0
19
1
19
2
19
3
19
4
19
5
19
6
19
7
19
8
19
9
20
0
20
1
20
2
5
06/10/201
5
07/10/201
5
08/10/201
5
09/10/201
5
12/10/201
5
13/10/201
5
14/10/201
5
15/10/201
5
16/10/201
5
19/10/201
5
20/10/201
5
21/10/201
5
22/10/201
5
23/10/201
5
26/10/201
5
27/10/201
5
28/10/201
5
29/10/201
5
30/10/201
5
02/11/201
5
03/11/201
5
04/11/201
5
05/11/201
5
06/11/201
5
09/11/201
5
10/11/201
5
11/11/201
5
0
453
5
470
0
483
0
502
5
502
5
483
5
483
5
502
5
510
0
512
5
520
0
522
5
522
5
527
5
530
0
517
5
502
5
481
5
475
5
481
5
495
0
500
0
494
5
481
5
487
5
483
0
480
0
0.030681818182
0.031394897610
0.000985639596
0.036383682470
0.037096761898
0.001376169743
0.027659574468
0.028372653896
0.000805007489
0.040372670807
0.041085750236
0.001688038872
0.000000000000
0.000713079428
0.000000508482
0.037810945274
0.037097865845
0.001376251650
0.000000000000
0.000713079428
0.000000508482
0.039296794209
0.040009873637
0.001600789988
0.014925373134
0.015638452563
0.000244561199
0.004901960784
0.005615040213
0.000031528677
0.014634146341
0.015347225770
0.000235537339
0.004807692308
0.005520771736
0.000030478921
0.000000000000
0.000713079428
0.000000508482
0.009569377990
0.010282457419
0.000105728931
0.004739336493
0.005452415921
0.000029728839
0.023584905660
0.028985507246
0.041791044776
0.012461059190
0.022871826232
0.028272427818
0.041077965348
0.011747979762
0.012618296530
0.013331375958
0.000177725585
0.028037383178
0.028750462606
0.000826589100
0.010101010101
0.010814089529
0.000116944532
0.011000000000
0.026289180991
0.010286920572
0.025576101563
0.012461059190
0.013174138618
0.009230769231
0.006211180124
0.008517689803
0.005498100696
27
0.000523120435
0.000799330175
0.001687399237
0.000138015028
0.000105820735
0.000654136971
0.000173557928
0.000072551040
0.000030229111
20
3
20
4
20
5
20
6
20
7
20
8
20
9
21
0
21
1
21
2
21
3
21
4
21
5
21
6
21
7
21
8
21
9
22
0
22
1
22
2
22
3
22
4
22
5
22
6
22
7
22
8
22
9
23
12/11/201
5
13/11/201
5
16/11/201
5
17/11/201
5
18/11/201
5
19/11/201
5
20/11/201
5
23/11/201
5
24/11/201
5
25/11/201
5
26/11/201
5
27/11/201
5
30/11/201
5
01/12/201
5
02/12/201
5
03/12/201
5
04/12/201
5
07/12/201
5
08/12/201
5
09/12/201
5
10/12/201
5
11/12/201
5
14/12/201
5
15/12/201
5
16/12/201
5
17/12/201
5
18/12/201
5
21/12/201
496
0
484
0
482
0
500
0
502
5
520
0
520
0
520
0
515
0
517
5
512
5
498
0
477
0
497
0
498
5
499
0
495
5
500
0
499
5
499
5
500
0
493
0
480
0
479
0
500
0
505
0
496
0
485
0.033333333333
0.034046412762
0.024193548387
0.004132231405
0.023480468959
0.003419151977
0.037344398340
0.038057477768
0.001448371614
0.005000000000
0.005713079428
0.000032639277
0.034825870647
0.035538950075
0.001263016972
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.009615384615
0.008902305187
0.000079251038
0.004854368932
0.005567448360
0.000030996481
0.009661835749
0.028292682927
0.042168674699
0.008948756321
0.027579603499
0.041455595271
0.041928721174
0.042641800602
0.001818323159
0.003018108652
0.003731188080
0.000013921764
0.001003009027
0.001716088455
0.000002944960
0.007014028056
0.006300948628
0.000039701954
0.009081735621
0.009794815049
0.000095938402
0.001000000000
0.000286920572
0.000000082323
0.000000000000
0.000713079428
0.000000508482
0.001001001001
0.001714080429
0.000002938072
0.014000000000
0.026369168357
0.002083333333
0.013286920572
0.025656088929
0.001370253905
0.043841336117
0.044554415545
0.001985095945
0.010000000000
0.010713079428
0.000114770071
0.017821782178
-
0.017108702750
-
28
0.001159158222
0.000551332423
0.000011690600
0.000080080240
0.000760634529
0.001718566379
0.000176542258
0.000658234899
0.000001877596
0.000292707710
0.000418459204
0
23
1
23
2
23
3
23
4
23
5
23
6
23
7
23
8
23
9
24
0
24
1
24
2
24
3
24
4
24
5
24
6
24
7
24
8
24
9
25
0
25
1
25
2
25
3
25
4
25
5
25
6
25
7
5
22/12/201
5
23/12/201
5
24/12/201
5
25/12/201
5
28/12/201
5
29/12/201
5
30/12/201
5
31/12/201
5
01/01/201
6
04/01/201
6
05/01/201
6
06/01/201
6
07/01/201
6
08/01/201
6
11/01/201
6
12/01/201
6
13/01/201
6
14/01/201
6
15/01/201
6
18/01/201
6
19/01/201
6
20/01/201
6
21/01/201
6
22/01/201
6
25/01/201
6
26/01/201
6
27/01/201
6
5
490
5
488
0
488
0
488
0
500
0
499
0
499
0
499
0
499
0
489
0
495
0
505
0
498
5
500
0
493
5
492
0
498
5
502
5
497
5
492
0
496
0
485
0
487
0
500
0
502
5
493
0
495
0
0.021169354839
0.020456275410
0.010298661174
0.011011740602
0.000121258431
0.005096839959
0.004383760531
0.000019217356
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.024590163934
0.025303243363
0.000640254125
0.002000000000
0.001286920572
0.000001656165
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.000000000000
0.000713079428
0.000000508482
0.020040080160
0.019327000732
0.000373532957
0.012269938650
0.012983018079
0.000168558758
0.020202020202
0.020915099630
0.000437441393
0.012871287129
0.012158207700
0.000147822014
0.003009027081
0.003722106509
0.000013854077
0.013000000000
0.003039513678
0.012286920572
0.002326434250
0.013211382114
0.013924461542
0.000193890629
0.008024072217
0.008737151645
0.000076337819
0.009950248756
0.011055276382
0.009237169328
0.010342196954
0.008130081301
0.008843160729
0.000078201492
0.022177419355
0.021464339927
0.000460717888
0.004123711340
0.004836790768
0.000023394545
0.026694045175
0.027407124603
0.000751150479
0.005000000000
0.005713079428
0.000032639277
0.018905472637
0.018192393209
0.000330963171
0.004056795132
0.004769874560
0.000022751703
29
0.000150968417
0.000005412296
0.000085325297
0.000106961038
25
8
25
9
26
0
28/01/201
6
29/01/201
6
01/02/201
6
496
0
491
0
488
0
0.002020202020
0.002733281448
0.010080645161
0.006109979633
0.009367565733
0.005396900205
Expected Return
Varians
SD
0.000007470827
0.000087751288
0.000029126532
0.000713079428
0.000479198072
0.021890593240

Tabel 3 : Mandiri
No
Date
Clos
e
02/02/201
5
03/02/201
5
04/02/201
5
112
50
113
50
113
75
05/02/201
5
112
50
06/02/201
5
09/02/201
5
113
50
117
00
10/02/201
5
116
25
11/02/201
5
12/02/201
5
13/02/201
5
117
50
117
75
119
00
10
16/02/201
5
117
75
11
17/02/201
5
117
00
0
1
2
3
4
5
6
7
8
9
Return (Ui)
0.00888888888
9
0.00220264317
2
0.01098901098
9
0.00888888888
9
0.03083700440
5
0.00641025641
0
0.01075268817
2
0.00212765957
4
0.01061571125
3
0.01050420168
1
0.00636942675
2
30
uiu
( uiu )
0.00928943667
4
0.00260319095
7
0.01058846320
4
0.00928943667
4
0.03123755219
1
0.00600970862
5
0.01115323595
8
0.00252820736
0
0.01101625903
8
0.01010365389
5
0.00596887896
6
0.00008629363
4
0.00000677660
3
0.00011211555
3
0.00008629363
4
0.00097578466
7
0.00003611659
8
0.00012439467
2
0.00000639183
2
0.00012135796
3
0.00010208382
2
0.00003562751
6
18/02/201
5
19/02/201
5
20/02/201
5
119
25
119
25
120
75
23/02/201
5
118
75
24/02/201
5
25/02/201
5
118
75
119
00
26/02/201
5
118
75
27/02/201
5
02/03/201
5
120
00
120
00
21
03/03/201
5
119
00
22
04/03/201
5
118
50
23
05/03/201
5
118
25
24
06/03/201
5
121
00
25
09/03/201
5
118
00
26
10/03/201
5
120
25
27
11/03/201
5
118
75
12/03/201
5
13/03/201
5
16/03/201
5
119
00
119
00
120
00
31
17/03/201
5
119
75
32
18/03/201
5
119
50
19/03/201
5
20/03/201
5
122
00
122
00
12
13
14
15
16
17
18
19
20
28
29
30
33
34
0.01923076923
1
0.00000000000
0
0.01257861635
2
0.01656314699
8
0.00000000000
0
0.00210526315
8
0.00210084033
6
0.01052631578
9
0.00000000000
0
0.00833333333
3
0.00420168067
2
0.00210970464
1
0.02325581395
3
0.02479338843
0
0.01906779661
0
0.01247401247
4
0.00210526315
8
0.00000000000
0
0.00840336134
5
0.00208333333
3
0.00208768267
2
0.02092050209
2
0.00000000000
0
31
0.01963131701
6
0.00040054778
5
0.01297916413
8
0.01616259921
2
0.00040054778
5
0.00250581094
3
0.00170029255
1
0.01092686357
5
0.00040054778
5
0.00793278554
8
0.00380113288
7
0.00170915685
6
0.02365636173
9
0.02439284064
4
0.01946834439
6
0.01207346468
9
0.00250581094
3
0.00040054778
5
0.00880390913
0
0.00168278554
8
0.00168713488
7
0.02132104987
8
0.00040054778
5
0.00038538860
8
0.00000016043
9
0.00016845870
2
0.00026122961
3
0.00000016043
9
0.00000627908
8
0.00000289099
5
0.00011939634
8
0.00000016043
9
0.00006292908
7
0.00001444861
1
0.00000292121
7
0.00055962345
1
0.00059501067
5
0.00037901643
4
0.00014576855
0
0.00000627908
8
0.00000016043
9
0.00007750881
6
0.00000283176
7
0.00000284642
4
0.00045458716
8
0.00000016043
9
35
23/03/201
5
121
75
36
24/03/201
5
120
75
37
25/03/201
5
120
25
38
26/03/201
5
120
50
39
27/03/201
5
119
50
30/03/201
5
31/03/201
5
121
00
124
75
01/04/201
5
122
75
02/04/201
5
03/04/201
5
122
75
122
75
45
06/04/201
5
121
75
46
07/04/201
5
121
75
47
08/04/201
5
120
75
48
09/04/201
5
120
00
10/04/201
5
13/04/201
5
120
00
120
50
51
14/04/201
5
118
50
52
15/04/201
5
120
50
53
16/04/201
5
120
00
17/04/201
5
20/04/201
5
21/04/201
5
22/04/201
120
00
120
75
121
50
120
40
41
42
43
44
49
50
54
55
56
57
0.00204918032
8
0.00821355236
1
0.00414078674
9
0.00207900207
9
0.00829875518
7
0.01255230125
5
0.03099173553
7
0.01603206412
8
0.00000000000
0
0.00000000000
0
0.00814663951
1
0.00000000000
0
0.00821355236
1
0.00621118012
4
0.00000000000
0
0.00416666666
7
0.01659751037
3
0.01687763713
1
0.00414937759
3
0.00000000000
0
0.00625000000
0
0.00621118012
4
32
0.00164863254
2
0.00781300457
6
0.00374023896
4
0.00247954986
4
0.00789820740
1
0.01295284904
1
0.03139228332
3
0.01563151634
3
0.00040054778
5
0.00040054778
5
0.00774609172
6
0.00040054778
5
0.00781300457
6
0.00581063233
9
0.00040054778
5
0.00456721445
2
0.01619696258
8
0.01727818491
6
0.00374882980
8
0.00040054778
5
0.00665054778
5
0.00661172791
0
-
0.00000271798
9
0.00006104304
1
0.00001398938
8
0.00000614816
8
0.00006238168
0
0.00016777629
8
0.00098547545
2
0.00024434430
3
0.00000016043
9
0.00000016043
9
0.00006000193
7
0.00000016043
9
0.00006104304
1
0.00003376344
8
0.00000016043
9
0.00002085944
8
0.00026234159
7
0.00029853567
4
0.00001405372
5
0.00000016043
9
0.00004422978
6
0.00004371494
6
0.00009776301
25
58
23/04/201
5
120
00
59
24/04/201
5
119
00
60
27/04/201
5
112
50
61
28/04/201
5
109
00
62
29/04/201
5
105
50
30/04/201
5
01/05/201
5
04/05/201
5
05/05/201
5
06/05/201
5
107
50
107
50
111
75
112
25
114
00
68
07/05/201
5
111
75
69
08/05/201
5
111
75
70
11/05/201
5
111
25
71
12/05/201
5
112
75
72
13/05/201
5
112
50
73
14/05/201
5
112
50
74
15/05/201
5
109
50
18/05/201
5
19/05/201
5
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0.00031655000
2
0.00012090022
0
0.00003799781
2
0.00000607514
9
0.00068972503
9
0.00156944600
21
4
27/11/201
5
897
5
21
5
30/11/201
5
850
0
21
6
21
7
01/12/201
5
02/12/201
5
890
0
890
0
21
8
03/12/201
5
880
0
21
9
04/12/201
5
875
0
22
0
07/12/201
5
910
0
22
1
08/12/201
5
900
0
22
2
09/12/201
5
900
0
22
3
10/12/201
5
887
5
22
4
11/12/201
5
875
0
22
5
14/12/201
5
862
5
22
6
22
7
22
8
15/12/201
5
16/12/201
5
17/12/201
5
875
0
895
0
910
0
22
9
18/12/201
5
872
5
23
0
23
1
23
2
23
3
23
4
23
5
23
21/12/201
5
22/12/201
5
23/12/201
5
24/12/201
5
25/12/201
5
28/12/201
5
29/12/201
887
5
887
5
887
5
887
5
887
5
900
0
912
5
0.03234501347
7
0.05292479108
6
0.04705882352
9
0.00000000000
0
0.01123595505
6
0.00568181818
2
0.04000000000
0
0.01098901098
9
0.00000000000
0
0.01388888888
9
0.01408450704
2
0.01428571428
6
0.01449275362
3
0.02285714285
7
0.01675977653
6
0.04120879120
9
0.01719197707
7
0.00000000000
0
0.00000000000
0
0.00000000000
0
0.00000000000
0
0.01408450704
2
0.01388888888
40
0
0.03194446569
2
0.05252424330
1
0.04745937131
5
0.00040054778
5
0.01083540727
1
0.00528127039
6
0.04040054778
5
0.01058846320
4
0.00040054778
5
0.01348834110
3
0.01368395925
7
0.01388516650
0
0.01489330140
9
0.02325769064
3
0.01716032432
2
0.04080824342
3
0.01759252486
3
0.00040054778
5
0.00040054778
5
0.00040054778
5
0.00040054778
5
0.01448505482
8
0.01428943667
1
0.00102044888
8
0.00275879613
4
0.00225239192
6
0.00000016043
9
0.00011740605
1
0.00002789181
7
0.00163220426
1
0.00011211555
3
0.00000016043
9
0.00018193534
6
0.00018725074
1
0.00019279784
9
0.00022181042
7
0.00054092017
4
0.00029447673
1
0.00166531273
1
0.00030949693
1
0.00000016043
9
0.00000016043
9
0.00000016043
9
0.00000016043
9
0.00020981681
3
0.00020418800
6
23
7
23
8
23
9
24
0
24
1
5
30/12/201
5
31/12/201
5
01/01/201
6
04/01/201
6
05/01/201
6
5
925
0
925
0
925
0
925
0
937
5
24
2
06/01/201
6
935
0
24
3
07/01/201
6
910
0
24
4
08/01/201
6
927
5
24
5
11/01/201
6
910
0
24
6
24
7
24
8
12/01/201
6
13/01/201
6
14/01/201
6
920
0
935
0
935
0
24
9
15/01/201
6
927
5
25
0
25
1
18/01/201
6
19/01/201
6
927
5
937
5
25
2
20/01/201
6
932
5
25
3
21/01/201
6
930
0
25
4
25
5
25
6
25
7
22/01/201
6
25/01/201
6
26/01/201
6
27/01/201
6
937
5
952
5
952
5
955
0
25
8
28/01/201
6
950
0
25
9
26
29/01/201
6
01/02/201
960
0
962
9
0.01369863013
7
0.00000000000
0
0.00000000000
0
0.00000000000
0
0.01351351351
4
0.00266666666
7
0.02673796791
4
0.01923076923
1
0.01886792452
8
0.01098901098
9
0.01630434782
6
0.00000000000
0
0.00802139037
4
0.00000000000
0
0.01078167115
9
0.00533333333
3
0.00268096514
7
0.00806451612
9
0.01600000000
0
0.00000000000
0
0.00262467191
6
0.00523560209
4
0.01052631578
9
0.00260416666
41
4
0.01409917792
2
0.00040054778
5
0.00040054778
5
0.00040054778
5
0.01391406129
9
0.00226611888
1
0.02633742012
9
0.01963131701
6
0.01846737674
3
0.01138955877
5
0.01670489561
2
0.00040054778
5
0.00762084258
9
0.00040054778
5
0.01118221894
5
0.00493278554
8
0.00228041736
2
0.00846506391
5
0.01640054778
5
0.00040054778
5
0.00302521970
2
0.00483505430
9
0.01092686357
5
0.00300471445
0
0.00019878681
8
0.00000016043
9
0.00000016043
9
0.00000016043
9
0.00019360110
2
0.00000513529
5
0.00069365969
9
0.00038538860
8
0.00034104400
4
0.00012972204
9
0.00027905353
7
0.00000016043
9
0.00005807724
2
0.00000016043
9
0.00012504202
1
0.00002433237
3
0.00000520030
3
0.00007165730
7
0.00026897796
8
0.00000016043
9
0.00000915195
4
0.00002337775
0
0.00011939634
8
0.00000902830
2
Expected Return
Varians
SD
9
0.00040054778
5
0.00039893898
0
0.01997345688
1
Tabel 4. Hasil Perhitungan Expected Return Masingmasing Aset

Nilai Expected
Perusahaan
return
PT. Bank Rakyat Indonesia (Persero),
Tbk
0.000086270739
PT. Bank Mandiri (Persero), Tbk
-0.000400547785
PT. Bank Negara Indonesia (Persero),
Tbk
-0.000713079428
Dari hasil perhitungan expected return di atas menunjukkan bahwa perusahaan

yang menerima expected return tertinggi adalah PT. Bank Rakyat Indonesia (Persero),
Tbk sebesar 0.000086270739, sedangkan perusahaan yang menghasilkan expected
return terkecil adalah perusahaan PT. Bank Negara Indonesia (Persero), Tbk sebesar
-0.000713079428.
Tabel 5. Hasil Perhitungan Varians dan Standar Deviasi Masing-masing
Aset
Nilai standar
Perusahaan
Nilai varians
deviasi
PT. Bank Rakyat Indonesia
(Persero), Tbk
0.000505493021
0.022483171947
PT. Bank Negara Indonesia
(Persero), Tbk
0.000477364013
0.021848661576
0.000397411093
0.019935172250
Dari hasil perhitungan standar deviasi di atas menunjukkan bahwa perusahaan

yang memiliki standar deviasi tertinggi adalah PT. Bank Rakyat Indonesia (Persero),
Tbk sebesar 0.022483171947, yang artinya saham ini memiliki risiko tertinggi,
sedangkan perusahaan yang menghasilkan standar deviasi terkecil adalah perusahaan
PT. Bank Mandiri (Persero), Tbk sebesar 0.019935172250, yang artinya saham ini
memiliki risiko terendah.
-
Kombinasi Portofolio
Tabel 6. Kombinasi Portofolio
Tbk
2 PT. Bank Negara Indonesia
1
42
(Persero), Tbk
3 PT. Bank Mandiri (Persero), Tbk
4 Tbk
(Persero), Tbk
5 Tbk
PT. Bank Mandiri (Persero),
Tbk
6 (Persero), Tbk
PT. Bank Mandiri
(Persero), Tbk
Tbk
7
(Persero), Tbk
PT. Bank Mandiri
(Persero), Tbk
Hasil Perhitungan Expected Return Portofolio

Tabel 7. Hasil Perhitungan expected return portofolio
Nilai Expected
Portofolio
return
0.000086270739
(Persero), Tbk
(Persero), Tbk
PT. Bank Mandiri
0.000314277046
(Persero), Tbk
0.000400547785
(Persero), Tbk
PT. Bank Negara
0.000626808689
Indonesia (Persero), Tbk
0.000713079428
(Persero), Tbk
(Persero), Tbk
PT. Bank Negara
Indonesia (Persero), Tbk
PT.
0.001027356474
Bank Mandiri (Persero), Tbk
(Persero), Tbk
PT. Bank
Mandiri (Persero), Tbk
0.001113627214
Dari hasil perhitungan expected return portofolio di atas menunjukkan bahwa

perusahaan yang menerima expected return tertinggi adalah PT. Bank Rakyat
Indonesia (Persero), Tbk sebesar 0.000086270739, sedangkan perusahaan yang
menghasilkan expected return terkecil adalah kombinasi perusahaan PT. Bank Negara
Indonesia (Persero) dan Tbk PT. Bank Mandiri (Persero), Tbk sebesar
-0.001113627214.
43
Hasil Perhitungan Covarians, Varians dan Standar Deviasi Masing-masing

Portofolio
Tabel 8. Hasil Perhitungan Covarians, Varians dan Standar Deviasi Masingmasing Portofolio
Nilai
Nilai
Portofolio
Covarians
standar
varians
deviasi
(Persero), Tbk
PT. Bank
0.00331815
0.057603407
Negara Indonesia (Persero), Tbk
2
0.00036521
(Persero), Tbk
PT. Bank
0.00171329 0.041391907
6
0.00032844 0.00155979
(Persero), Tbk
PT. Bank
0.039494204
4
2
0.00027528 0.00142533
(Persero), Tbk
PT. Bank
0.037753655
2
8
0.00050549
0.022483172
(Persero), Tbk
3
0.00047736
0.021848662
(Persero), Tbk
4
0.00039741
0.019935172
1
Dari hasil perhitungan standar deviasi di atas menunjukkan bahwa perusahaan

yang memiliki standar deviasi tertinggi adalah Kombinasi 3 perusahaan yakni : BRI,
BNI dan Mandiri sebesar 0.057603407, yang artinya saham ini memiliki risiko
tertinggi, sedangkan perusahaan yang menghasilkan standar deviasi terkecil adalah
perusahaan PT. Bank Mandiri (Persero), Tbk sebesar 0.019935172, yang artinya
saham ini memiliki risiko terendah
-
Scatter Plot (X=Risk, Y=Expected_Retun)

Untuk nilai Expected return dan Standar Deviasi dilakukan pembulatan
Tabel 9. Hasil Perhitungan expected return portofolio

Nilai
Nilai standar
Portofolio
Expected
deviasi
return
0.0001
0.0225
(Persero), Tbk
-0.0007
0.0218
(Persero), Tbk
-0.0004
0.0199
(Persero), Tbk
PT. Bank
(Persero), Tbk
PT. Bank
44
-0.0006
0.0414
-0.0003
0.0395

(Persero), Tbk
PT. Bank
-0.0011
0.0378

(Persero), Tbk
PT. Bank
-0.0010
0.0576
0.0002
0.0000
0.0500
0.0000
0.1000
-0.0002
-0.0004
Expected Return/Rata-rata Tingkat Pengembalian
-0.0006
-0.0008
-0.0010
-0.0012
Risk/Standar Deviasi
BAB IV
PENUTUP
4.1.
KESIMPULAN
Dari hasil analysis data dapat disimpulkan bahwa :
1. Expected Return masing portofolio dapat dilihat pada Table.9
2. Risk Masing-masing portofolio dapat dilihat pada Table.9
3. Berdasarkan hasil analisis data dan output pada scatter plot menunjukan bahwa
portofolio paling maksimum yakni hanya terdiri dari satu asset yaitu PT. Bank
Rakyat Indonesia (Persero), Tbk dengan Tingkat Pengembalian ratarata/Expected return sebesar 0.0001 dan Standar Deviasi/Risk sebesar 0.0225
45
46

Portofolio

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Portofolio

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TUGAS PASAR MODAL

MENENTUKAN KOMBINASI PORTOFOLIO OPTIMUM DARI

CHRISTIAN ELRIC Y. KOBA

FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM

1. PT. Bank Rakyat Indonesia (Persero), Tbk

PT Bank Mandiri (PERSERO) Tbk. adalah bank yang berkantor pusat di

Si-1 = harga penutupan saham periode sebelumnya

Diman x dan y adalah Aset

7. Varians Portofolio (Tanpa Bobot)

Atau dengan Matrix Varians (Tanpa Bobot/ w ):

8. Risk/Standar Deviasi Portofolio :

HASIL DAN PEMBAHASAN

2. PT. Bank Negara Indonesia (Persero), Tbk

3. PT. Bank Mandiri (Persero), Tbk

Tabel 4. Hasil Perhitungan Expected Return Masingmasing Aset

Dari hasil perhitungan expected return di atas menunjukkan bahwa perusahaan

Dari hasil perhitungan standar deviasi di atas menunjukkan bahwa perusahaan

Hasil Perhitungan Expected Return Portofolio

Dari hasil perhitungan expected return portofolio di atas menunjukkan bahwa

Hasil Perhitungan Covarians, Varians dan Standar Deviasi Masing-masing

Dari hasil perhitungan standar deviasi di atas menunjukkan bahwa perusahaan

Scatter Plot (X=Risk, Y=Expected_Retun)

Tabel 9. Hasil Perhitungan expected return portofolio

PT. Bank Negara Indonesia

PT. Bank Rakyat Indonesia

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