Lab 3: CAPM, SIM, dan APT

Nama Athaya Sekar Noviana

NPM 120110190049
Kelas/Dosen B/Bu Tettet
Praktikum/TA IPM 08/Kak Rezanti

Mencari expected return dari individual saham INDF dan market (IHSG)
Saham 1 INDF IHSG Return
Month
Open Close Open Close INDF IHSG
Jan-20 7925 7825 6313.13 5940.05 -0.012618 -0.059096
Feb-20 7725 6500 5920.97 5452.7 -0.158576 -0.079087
Mar-20 66000 6350 5455.05 4538.93 -0.903788 -0.16794
Apr-20 6350 6525 4538.93 4716.4 0.027559 0.0391
May-20 6525 5750 4716.4 4753.61 -0.118774 0.007889
Jun-20 5750 6525 4753.61 4905.39 0.134783 0.031929
Jul-20 6500 6450 4905.39 5149.63 -0.007692 0.04979
Aug-20 6475 7625 5149.63 5238.49 0.177606 0.017256
Sep-20 7600 7150 5238.49 4870.04 -0.059211 -0.070335
Oct-20 7100 7000 4899.64 5128.23 -0.014085 0.046654
Nov-20 7000 71000 5108.03 5612.42 9.142857 0.098745
Dec-20 7125 6850 5637.89 5979.07 -0.038596 0.060516
Total Return 8.169465 -0.024579
Expected Return 0.680789 -0.002048

Mencari Covariance antara saham INDF dengan market (IHSG)

Month Ri - E(Ri) Rm -E(Rm) (Rm - E(Rm))^2 [Ri - E(Ri)] x
[Rm - E(Rm)]
Jan-20 -0.6934070447 -0.0570476469 0.003254434017649 0.0395572403
Feb-20 -0.1585760518 -0.0790867037 0.006254706701956 0.0125412572
Mar-20 -0.9037878788 -0.1679397989 0.028203776055222 0.1517819546
Apr-20 0.0275590551 0.03909952346 0.001528772734484 0.0010775459
May-20 -0.1187739464 0.00788949199 6.22440837879E-05 -0.0009370661
Jun-20 0.1347826087 0.03192941785 0.001019487724429 0.0043035302
Jul-20 -0.0076923077 0.04979012882 0.002479056927662 -0.000383001
Aug-20 0.1776061776 0.01725560866 0.000297756030068 0.0030647027
Sep-20 -0.0592105263 -0.0703351538 0.004947033864641 0.0041645815
Oct-20 -0.014084507 0.04665444808 0.002176637525827 -0.0006571049
Nov-20 9.1428571429 0.09874452578 0.009750481370743 0.9028070928
Dec-20 -0.0385964912 0.06051554748 0.00366213148719 -0.0023356878
Total 0.063636518523658 1.1149850454
Variance Market 0.0057851380
Covariance 0.1013622769

a) Menghitung beta coefficient dari saham INDF

Rumus:
17.5211509256147
 17.5211509256147 Covariance/ Variance Market
Kesimpulan dari beta coefficient saham INDF:

Dengan beta koefisien tersebut sensitivitas return INDF terhadap pasar sebesar
17,52115093. Jadi jika return pasar mengalami kenaikan atau penurunan misal 1 maka
BNI pun akan mengalami kenaikan atau penurunan sebesar 17,52115093. Hal ini juga
menunjukan risiko dan return dari INDF besar

b) Menghitung return saham INDF dengan metode CAPM

Rumus:
2.38740038255138 𝑅𝑓+[𝛽(𝑅𝑚 −𝑅𝑓)]

c) Menghitung unique part of return (α) dan residual error) ei saham INDF
α Rumus:
0.716676224561257 𝐸(𝑅𝑖)−(𝛽(𝐸(𝑅𝑚))

ei Rumus:
-67.0788748211727000% 𝑒𝑖=𝑅𝑖 −𝐸(𝑅𝑖)
 Mencari expected return dari individual saham LPKR dan market (IHSG)
Saham 2 LPKR IHSG Return
Month
Open Close Open Close LPKR IHSG
Jan-20 242 230 6313.13 5940.05 -0.049587 -0.059096
Feb-20 228 228 5920.97 5452.7 0 -0.079087
Mar-20 226 133 5455.05 4538.93 -0.411504 -0.16794
Apr-20 130 162 4538.93 4716.4 0.246154 0.0391
May-20 162 184 4716.4 4753.61 0.135802 0.007889
Jun-20 184 171 4753.61 4905.39 -0.070652 0.031929
Jul-20 172 138 4905.39 5149.63 -0.197674 0.04979
Aug-20 137 157 5149.63 5238.49 0.145985 0.017256
Sep-20 155 119 5238.49 4870.04 -0.232258 -0.070335
Oct-20 119 135 4899.64 5128.23 0.134454 0.046654
Nov-20 132 234 5108.03 5612.42 0.772727 0.098745
Dec-20 240 214 5637.89 5979.07 -0.108333 0.060516
Total Return 0.365114 -0.024579
Expected Return 0.030426 -0.002048

Mencari Covariance antara saham LPKR market (IHSG)

Month Ri - E(Ri) Rm -E(Rm) (Rm - E(Rm))^2 [Ri - E(Ri)] x [Rm - E(Rm)]
Jan-20 -0.08001 -0.0570476 0.003254434018 0.004564548148789
Feb-20 0 -0.0790867 0.006254706702 0
Mar-20 -0.4115 -0.1679398 0.028203776055 0.069107970344602
Apr-20 0.246154 0.03909952 0.001528772734 0.009624498081469
May-20 0.135802 0.00788949 6.22440838E-05 0.001071412491846
Jun-20 -0.07065 0.03192942 0.001019487724 -0.002255882783089
Jul-20 -0.19767 0.04979013 0.002479056928 -0.009842234766247
Aug-20 0.145985 0.01725561 0.00029775603 0.00251906695699
Sep-20 -0.23226 -0.0703352 0.004947033865 0.01633590669658
Oct-20 0.134454 0.04665445 0.002176637526 0.006272866968995
Nov-20 0.772727 0.09874453 0.009750481371 0.0763025880997
Dec-20 -0.10833 0.06051555 0.003662131487 -0.006555850977346
Total 0.063636518524 0.167144889262288
Variance Market 0.005785138048
Covariance 0.0151949899

a) Menghitung beta coefficient dari saham LPKR

Rumus:
2.62655615266177 Covariance/ Variance Market
Kesimpulan dari beta coefficient saham LPKR:

Dengan beta koefisien tersebut sensitivitas return LPKR terhadap pasar sebesar
2,626556153. Jadi jika return pasar mengalami kenaikan atau penurunan misal 1
maka LPKR pun akan mengalami kenaikan atau penurunan sebesar 2,626556153.
Hal ini juga menunjukan risiko dan return yang dari LPKR besar.

b) Menghitung return saham LPKR dengan metode CAPM

Rumus:
0.415356034612419
 0.415356034612419 𝑅𝑓+[𝛽(𝑅𝑚 −𝑅𝑓)]

c) Menghitung unique part of return (α) dan residual error) ei saham LPKR
α Rumus:
0.035805942086999 𝐸(𝑅𝑖)−(𝛽(𝐸(𝑅𝑚))

ei Rumus:
-2.0426131581996500% 𝑒𝑖=𝑅𝑖 −𝐸(𝑅𝑖)
 Mencari expected return dari individual saham KAEF dan market (IHSG)
Saham 3 KAEF IHSG Return
Month
Open Close Open Close KAEF IHSG
Jan-20 1250 1000 6313.13 5940.05 -0.2 -0.059096
Feb-20 995 580 5920.97 5452.7 -0.417085 -0.079087
Mar-20 585 1310 5455.05 4538.93 1.239316 -0.16794
Apr-20 1310 1330 4539 4716.4 0.015267 0.0391
May-20 1330 1160 4716.4 4753.61 -0.12782 0.007889
Jun-20 1160 1120 4754 4905.39 -0.034483 0.031929
Jul-20 1120 2250 4905 5149.63 1.008929 0.04979
Aug-20 2310 3040 5149.63 5238.49 0.316017 0.017256
Sep-20 3050 2890 5238.49 4870.04 -0.052459 -0.070335
Oct-20 2920 3150 4900 5128.23 0.078767 0.046654
Nov-20 3150 3150 5108 5612.42 0 0.098745
Dec-20 3150 4250 5638 5979.07 0.349206 0.060516
Total Return 2.175656 -0.024579
Expected Return 0.181305 -0.002048

Mencari Covariance antara saham KAEF dengan market (IHSG)

Month Ri - E(Ri) Rm -E(Rm) (Rm - E(Rm))^2 [Ri - E(Ri)] x [Rm - E(Rm)]
Jan-20 -0.381305 -0.057048 0.003254 0.021752534101245
Feb-20 -0.417085 -0.079087 0.006255 0.032985911593003
Mar-20 1.239316 -0.16794 0.028204 -0.208130520006671
Apr-20 0.015267 0.0391 0.001529 0.000596939289404
May-20 -0.12782 0.007889 6.224E-05 -0.001008431306406
Jun-20 -0.034483 0.031929 0.001019 -0.001101014408723
Jul-20 1.008929 0.04979 0.002479 0.050234683539069
Aug-20 0.316017 0.017256 0.000298 0.005453071133518
Sep-20 -0.052459 -0.070335 0.004947 0.003689712987934
Oct-20 0.078767 0.046654 0.002177 0.003674836663985
Nov-20 0 0.098745 0.00975 0
Dec-20 0.349206 0.060516 0.003662 0.021132413406828
Total 0.063637 -0.070719863006813
Variance Market 0.005785
Covariance -0.0064290785

a) Menghitung beta coefficient dari saham KAEF

Rumus:
-1.11130942810019 Covariance/ Variance Market
Kesimpulan dari beta coefficient saham KAEF:
 b) Menghitung return saham KAEF dengan metode CAPM
Rumus:
-0.079537368280465 𝑅𝑓+[𝛽(𝑅𝑚 −𝑅𝑓)]

c) Menghitung unique part of return (α) dan residual error) ei saham KAEF
α Rumus:
0.179028443133907 𝐸(𝑅𝑖)−(𝛽(𝐸(𝑅𝑚))

ei Rumus:
-17.1304668650556000% 𝑒𝑖=𝑅𝑖 −𝐸(𝑅𝑖)