Estimating beta using historical data
Date AALI ASII IHSG
1/1/2016 16,269.90 6,450.00 4,615.16
1/2/2016 14,149.80 6,800.00 4,770.96
1/3/2016 17,341.90 7,250.00 4,845.37
1/4/2016 15,340.90 6,725.00 4,838.58
1/5/2016 13,482.80 6,600.00 4,796.87
1/6/2016 14,700.00 7,400.00 5,016.65
1/7/2016 14,500.00 7,725.00 5,215.99
1/8/2016 16,400.00 8,150.00 5,386.08
1/9/2016 14,825.00 8,250.00 5,364.80
1/10/2016 15,250.00 8,225.00 5,422.54
1/11/2016 16,550.00 7,550.00 5,148.91
1/12/2016 16,775.00 8,275.00 5,296.71
1/1/2017 15,775.00 7,950.00 5,294.10
AALI (Beta 0,5675)
Investment is less volatile compared to market
Investment tends to go up when market goes up conversely
ASII (Beta 2,0309)
Investment is more volatile compared to market
Investment tends to go up when market goes up conversely
r.AALI r.ASII r.IHSG
-0.13031 0.054264 0.033758
0.225593 0.066176 0.015596
-0.11539 -0.07241 -0.0014
-0.12112 -0.01859 -0.00862
0.090278 0.121212 0.045817
-0.01361 0.043919 0.039736
0.131034 0.055016 0.032609
-0.09604 0.01227 -0.00395
0.028668 -0.00303 0.010763
0.085246 -0.08207 -0.05046
0.013595 0.096026 0.028705
-0.05961 -0.03927 -0.00049
 AALI
SBI R.AALI R.ASII R.IHSG (r1-R)^2 P (1/n-1) (r1-R)^2 x P
0.00542 -0.1357 0.0488 0.0283 0.017823 0.090909 0.00162
0.00542 0.2202 0.0608 0.0102 0.049461 0.090909 0.004496
0.00542 -0.1208 -0.0778 -0.0068 0.014061 0.090909 0.001278
0.00542 -0.1265 -0.0240 -0.0140 0.015455 0.090909 0.001405
0.00542 0.0849 0.1158 0.0404 0.007583 0.090909 0.000689
0.00542 -0.0190 0.0385 0.0343 0.000282 0.090909 2.57E-05
0.00542 0.1256 0.0496 0.0272 0.016343 0.090909 0.001486
0.00542 -0.1015 0.0068 -0.0094 0.009847 0.090909 0.000895
0.00542 0.0232 -0.0085 0.0053 0.000649 0.090909 5.9E-05
0.00542 0.0798 -0.0875 -0.0559 0.006732 0.090909 0.000612
0.00542 0.0082 0.0906 0.0233 0.000108 0.090909 9.83E-06
0.00542 -0.0650 -0.0447 -0.0059 0.003945 0.090909 0.000359
-0.00222 0.014039 0.006418 akar --> 0.012935
0.113734

AALI ASII IHSG

SD 0.1137 0.0644 0.0270
Betha 0.5667 2.0309 1.0000
Corr 0.1346 0.8511

R.AALI = r.AALI - SBI

R.ASII = r.ASII - SBI
R.IHSG = r.IHSG - SBI