Cases

Oleh : Muhammad Ananda Putra

NIM : 042114353051

Kelas F2M

1. Monthly returns untuk saham Coolgate-Palmolive (CL), S&P 500, dan Treasury Bills adalah
sebagai berikut

Monthly Return
Date CL S&P 500 90 Days T Bills
01/09/2016 -0.00272 -0.00123 0.0242%
01/10/2016 -0.03744 -0.01943 0.0275%
01/11/2016 -0.08090 0.03417 0.0375%
01/12/2016 0.00322 0.01820 0.0425%
01/01/2017 -0.01314 0.01788 0.0425%
01/02/2017 0.13660 0.03720 0.0433%
01/03/2017 0.00288 -0.00039 0.0617%
01/04/2017 -0.01571 0.00909 0.0667%
01/05/2017 0.06570 0.01158 0.0742%
01/06/2017 -0.02920 0.00481 0.0817%
01/07/2017 -0.02604 0.01935 0.0892%
01/08/2017 -0.00223 0.00055 0.0842%
01/09/2017 0.01689 0.01930 0.0858%
01/10/2017 -0.03294 0.02219 0.0892%
01/11/2017 0.03404 0.02808 0.1025%
01/12/2017 0.04141 0.00983 0.1100%
01/01/2018 -0.01604 0.05618 0.1175%
01/02/2018 -0.06617 -0.03895 0.1308%
01/03/2018 0.03929 -0.02688 0.1417%
01/04/2018 -0.08998 0.00272 0.1467%
01/05/2018 -0.02714 0.02161 0.1550%
01/06/2018 0.02726 0.00484 0.1583%
01/07/2018 0.03395 0.03602 0.1633%
01/08/2018 -0.00257 0.03026 0.1692%
01/09/2018 0.00813 0.00429 0.1775%
01/10/2018 -0.11053 -0.06940 0.1875%
01/11/2018 0.07376 0.01786 0.1942%
01/12/2018 -0.06297 -0.09178 0.1975%
01/01/2019 0.08669 0.07868 0.1975%
01/02/2019 0.02527 0.02973 0.1992%
01/03/2019 0.04053 0.01792 0.2000%
01/04/2019 0.06201 0.03931 0.1983%
01/05/2019 -0.03756 -0.06578 0.1958%
01/06/2019 0.02945 0.06893 0.1808%
 01/07/2019 0.00098 0.01313 0.1750%
01/08/2019 0.03959 -0.01809 0.1625%
01/09/2019 -0.00863 0.01718 0.1575%
01/10/2019 -0.06679 0.02043 0.1375%
01/11/2019 -0.00511 0.03405 0.1283%
01/12/2019 0.01504 0.02859 0.1283%
01/01/2020 0.07176 -0.00163 0.1267%
01/02/2020 -0.07861 -0.08411 0.1267%
01/03/2020 -0.01791 -0.12512 0.0242%
01/04/2020 0.05892 0.12684 0.0117%
01/05/2020 0.03557 0.04528 0.0108%
01/06/2020 0.01286 0.01839 0.0133%
01/07/2020 0.05378 0.05510 0.0108%
01/08/2020 0.03274 0.07006 0.0083%
01/09/2020 -0.02662 -0.03923 0.0092%
01/10/2020 0.02255 -0.02767 0.0083%
01/11/2020 0.09155 0.10755 0.0075%
01/12/2020 -0.00152 0.03712 0.0075%
01/01/2021 -0.08783 -0.01114 0.0067%
01/02/2021 -0.03052 0.02609 0.0033%
01/03/2021 0.04827 0.04244 0.0025%
01/04/2021 0.02372 0.05243 0.0017%
01/05/2021 0.04401 0.00549 0.0017%
01/06/2021 -0.02900 0.02221 0.0033%
01/07/2021 -0.02274 0.02275 0.0042%
01/08/2021 -0.01421 0.02899 0.0042%

Sedangkan untuk standar deviasi dan average monthly returns adalah sebagai berikut :

Keterangan CL S&P 500 90 Days T Bills

Standar Deviasi 0.04869 0.04281 0.00071
Avg Monthly Return (Geometric) 0.27% 1.23% 0.09%

2. Jensen alpha (α) mengukur excess return yang tidak dijelaskan oleh beta dari saham. Apabila α
bernilai positif maka akan tergambar diatas SML (Security Market Line) dan memiliki excess
return atas systematic risk. Sedangkan residual adalah error pada estimasi perhitungan, dan
bagian dari return yang tidak dijelaskan oleh market model.
 3. Berikut perhitungan Beta dengan menggunakan market model dan scatterplot Colgate-Palmolive terhadap S&P 500 atas data 36 bulan terakhir

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.645627363
R Square 0.416834692
Adjusted R Square 0.399682771
Standard Error 0.038648858
Observations 36

ANOVA
df SS MS F Significance F
Regression 1 0.036301488 0.036301488 24.30250791 0.0000211802
Residual 34 0.050786964 0.001493734
Total 35 0.087088452

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.000974541 0.006631393 -0.146958744 0.8840325547 -0.014451154 0.012502072 -0.014451154 0.012502072
X Variable 1 0.601608411 0.122036109 4.929757389 0.0000211802 0.353601198 0.849615624 0.353601198 0.849615624

Dari hasil regresi diatas dapat disimpulkan bahwa X Variable 1 (Colgate-Palmolive) bernilai < 1 yang artinya return dari Colgate-Palmolive memiliki volatilitas
lebih rendah dari market (S&P500). Selain itu nilai alpha di atas tidak dapat digunakan karena tidak reliable.
 X Variable 1 Line Fit Plot
0.15

0.10

0.05
Y
0.00

Y
Predicted Y
-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15
-0.05 Linear (Predicted Y)

-0.10

-0.15
X Variable 1

4. Berikut perhitungan Beta dengan menggunakan market model dan scatterplot Colgate-Palmolive terhadap S&P 500 atas data 60 bulan terakhir

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.525121246
R Square 0.275752323
Adjusted R Square 0.263265294
Standard Error 0.042169829
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.039270257 0.039270257 22.08310117 0.000016500
Residual 58 0.10314108 0.001778294
Total 59 0.142411337

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.004320699 0.005663696 -0.762876213 0.448628953 -0.015657819 0.007016421 -0.015657819 0.007016421
X Variable 1 0.595595633 0.126742268 4.699266025 0.000016500 0.34189342 0.849297847 0.34189342 0.849297847
Dari hasil regresi diatas dapat disimpulkan bahwa X Variable 1 (Colgate-Palmolive) bernilai < 1 yang artinya return dari Colgate-Palmolive memiliki
volatilitas lebih rendah dari market (S&P500). Sedangkan alpha dalam perhitungan diatas tidak dapat di gunakan karena tidak reliable.
Apabila menggunakan data harian, Treasury bills dapat diakses perhariannya, sedangkan untuk data bulanan menunggu release di bulan berikutnya.
Jumlah hari kerja tiap tahun bisa berbeda- beda sehingga menyulitkan untuk melakukan annualized. Jika menggunakan data bulanan lebih konsisten
karena dalam 1 tahun ada 12 bulan, tapi informasi terupdate untuk T Bills tidak tersedia untuk bulan berjalan sehingga harus menunggu release di
bulan berikutnya. Jika menggunakan data tahunan, datanya terlalu sedikit sehingga kurang mewakili keadaan sebenarnya.

5. Berikut adalah screenshot atas Beta Coolgate-Palmolive (CL)

Nilai Beta yang terdapat di yahoo finance sebesar 0.59 sangatlah mirip dengan perhitungan diatas yangmana nilai Beta sebesar 0.60.
Lampiran

Price,Index Data,and T Bills Monthly Return Excess Return (Risk Premium)

Date CL Adj Close Price S&P 500 Adj Close 90 Days T Bills CL S&P 500 90 Days T Bills CL (Ri-Rf) S&P 500 (Rm-Rf)
01/09/2016 65.96 2168.27 0.29 0.00 0.00 0.0242% 0.00 0.00
01/10/2016 63.49 2126.15 0.33 -0.04 -0.02 0.0275% -0.04 -0.02
01/11/2016 58.35 2198.81 0.45 -0.08 0.03 0.0375% -0.08 0.03
01/12/2016 58.54 2238.83 0.51 0.00 0.02 0.0425% 0.00 0.02
01/01/2017 57.77 2278.87 0.51 -0.01 0.02 0.0425% -0.01 0.02
01/02/2017 65.66 2363.64 0.52 0.14 0.04 0.0433% 0.14 0.04
01/03/2017 65.85 2362.72 0.74 0.00 0.00 0.0617% 0.00 0.00
01/04/2017 64.82 2384.20 0.80 -0.02 0.01 0.0667% -0.02 0.01
01/05/2017 69.08 2411.80 0.89 0.07 0.01 0.0742% 0.06 0.01
01/06/2017 67.06 2423.41 0.98 -0.03 0.00 0.0817% -0.03 0.00
01/07/2017 65.31 2470.30 1.07 -0.03 0.02 0.0892% -0.03 0.02
01/08/2017 65.17 2471.65 1.01 0.00 0.00 0.0842% 0.00 0.00
01/09/2017 66.27 2519.36 1.03 0.02 0.02 0.0858% 0.02 0.02
01/10/2017 64.09 2575.26 1.07 -0.03 0.02 0.0892% -0.03 0.02
01/11/2017 66.27 2647.58 1.23 0.03 0.03 0.1025% 0.03 0.03
01/12/2017 69.01 2673.61 1.32 0.04 0.01 0.1100% 0.04 0.01
01/01/2018 67.90 2823.81 1.41 -0.02 0.06 0.1175% -0.02 0.06
01/02/2018 63.41 2713.83 1.57 -0.07 -0.04 0.1308% -0.07 -0.04
01/03/2018 65.90 2640.87 1.70 0.04 -0.03 0.1417% 0.04 -0.03
01/04/2018 59.97 2648.05 1.76 -0.09 0.00 0.1467% -0.09 0.00
01/05/2018 58.35 2705.27 1.86 -0.03 0.02 0.1550% -0.03 0.02
01/06/2018 59.94 2718.37 1.90 0.03 0.00 0.1583% 0.03 0.00
01/07/2018 61.97 2816.29 1.96 0.03 0.04 0.1633% 0.03 0.03
01/08/2018 61.81 2901.52 2.03 0.00 0.03 0.1692% 0.00 0.03
01/09/2018 62.31 2913.98 2.13 0.01 0.00 0.1775% 0.01 0.00
01/10/2018 55.43 2711.74 2.25 -0.11 -0.07 0.1875% -0.11 -0.07
01/11/2018 59.51 2760.17 2.33 0.07 0.02 0.1942% 0.07 0.02
01/12/2018 55.77 2506.85 2.37 -0.06 -0.09 0.1975% -0.06 -0.09
01/01/2019 60.60 2704.10 2.37 0.09 0.08 0.1975% 0.08 0.08
01/02/2019 62.13 2784.49 2.39 0.03 0.03 0.1992% 0.02 0.03
01/03/2019 64.65 2834.40 2.40 0.04 0.02 0.2000% 0.04 0.02
01/04/2019 68.66 2945.83 2.38 0.06 0.04 0.1983% 0.06 0.04
01/05/2019 66.08 2752.06 2.35 -0.04 -0.07 0.1958% -0.04 -0.07
01/06/2019 68.03 2941.76 2.17 0.03 0.07 0.1808% 0.03 0.07
01/07/2019 68.09 2980.38 2.10 0.00 0.01 0.1750% 0.00 0.01
01/08/2019 70.79 2926.46 1.95 0.04 -0.02 0.1625% 0.04 -0.02
01/09/2019 70.18 2976.74 1.89 -0.01 0.02 0.1575% -0.01 0.02
01/10/2019 65.49 3037.56 1.65 -0.07 0.02 0.1375% -0.07 0.02
01/11/2019 65.16 3140.98 1.54 -0.01 0.03 0.1283% -0.01 0.03
01/12/2019 66.14 3230.78 1.54 0.02 0.03 0.1283% 0.01 0.03
01/01/2020 70.88 3225.52 1.52 0.07 0.00 0.1267% 0.07 0.00
01/02/2020 65.31 2954.22 1.52 -0.08 -0.08 0.1267% -0.08 -0.09
01/03/2020 64.14 2584.59 0.29 -0.02 -0.13 0.0242% -0.02 -0.13
01/04/2020 67.92 2912.43 0.14 0.06 0.13 0.0117% 0.06 0.13
01/05/2020 70.34 3044.31 0.13 0.04 0.05 0.0108% 0.04 0.05
01/06/2020 71.24 3100.29 0.16 0.01 0.02 0.0133% 0.01 0.02
01/07/2020 75.07 3271.12 0.13 0.05 0.06 0.0108% 0.05 0.05
01/08/2020 77.53 3500.31 0.10 0.03 0.07 0.0083% 0.03 0.07
01/09/2020 75.47 3363.00 0.11 -0.03 -0.04 0.0092% -0.03 -0.04
01/10/2020 77.17 3269.96 0.10 0.02 -0.03 0.0083% 0.02 -0.03
01/11/2020 84.23 3621.63 0.09 0.09 0.11 0.0075% 0.09 0.11
01/12/2020 84.11 3756.07 0.09 0.00 0.04 0.0075% 0.00 0.04
01/01/2021 76.72 3714.24 0.08 -0.09 -0.01 0.0067% -0.09 -0.01
01/02/2021 74.38 3811.15 0.04 -0.03 0.03 0.0033% -0.03 0.03
01/03/2021 77.97 3972.89 0.03 0.05 0.04 0.0025% 0.05 0.04
01/04/2021 79.82 4181.17 0.02 0.02 0.05 0.0017% 0.02 0.05
01/05/2021 83.33 4204.11 0.02 0.04 0.01 0.0017% 0.04 0.01
01/06/2021 80.91 4297.50 0.04 -0.03 0.02 0.0033% -0.03 0.02
01/07/2021 79.07 4395.26 0.05 -0.02 0.02 0.0042% -0.02 0.02
01/08/2021 77.95 4522.68 0.05 -0.01 0.03 0.0042% -0.01 0.03
Data 3 Tahun terakhir

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.645627363
R Square 0.416834692
Adjusted R Square 0.399682771
Standard Error 0.038648858
Observations 36

ANOVA
df SS MS F Significance F
Regression 1 0.036301488 0.036301488 24.30250791 0.0000211802
Residual 34 0.050786964 0.001493734
Total 35 0.087088452

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.000974541 0.006631393 -0.146958744 0.8840325547 -0.014451154 0.012502072 -0.014451154 0.012502072
X Variable 1 0.601608411 0.122036109 4.929757389 0.0000211802 0.353601198 0.849615624 0.353601198 0.849615624

RESIDUAL OUTPUT PROBABILITY OUTPUT

Observation Predicted Y Residuals Percentile Y

1 0.000541091 0.00581525 1.388888889 -0.112405351
2 -0.043856202 -0.068549149 4.166666667 -0.087892633
 3 0.00860169 0.063219913 6.944444444 -0.07987813
4 -0.057376506 -0.007570815 9.722222222 -0.068168668
5 0.045174482 0.039544103 12.5 -0.064947322
6 0.01571243 0.007569659 15.27777778 -0.039513777
7 0.008605644 0.02992871 18.05555556 -0.03055015
8 0.021483562 0.038540595 20.83333333 -0.029037864
9 -0.041725125 0.002211347 23.61111111 -0.02671291
10 0.039406528 -0.011769436 26.38888889 -0.022782936
11 0.005870677 -0.006643946 29.16666667 -0.018149081
12 -0.012836245 0.050805235 31.94444444 -0.014255639
13 0.00841426 -0.018620461 34.72222222 -0.0102062
14 0.010490158 -0.078658826 37.5 -0.006389946
15 0.018736395 -0.02512634 40.27777778 -0.001593021
16 0.015453261 -0.001696777 43.05555556 -0.000773269
17 -0.002716051 0.073209981 45.83333333 0.006356342
18 -0.052338144 -0.027539986 48.61111111 0.012724375
19 -0.076392766 0.058243685 51.38888889 0.013756483
20 0.07526575 -0.016461605 54.16666667 0.022469998
21 0.026202181 0.009260679 56.94444444 0.023282089
22 0.010007862 0.002716513 59.72222222 0.023705261
23 0.032109688 0.021563009 62.5 0.027637092
24 0.04112683 -0.008465777 65.27777778 0.032661053
25 -0.024629556 -0.002083354 68.05555556 0.035462861
26 -0.017668638 0.040138635 70.83333333 0.037968989
27 0.063680711 0.027795115 73.61111111 0.038534355
28 0.021312889 -0.02290591 76.38888889 0.043994867
29 -0.007714545 -0.080178088 79.16666667 0.048246292
30 0.014702256 -0.045252406 81.94444444 0.053672697
31 0.024541858 0.023704434 84.72222222 0.058804145
32 0.030554941 -0.00684968 87.5 0.060024157
 33 0.002316158 0.041678709 90.27777778 0.07049393
34 0.01236952 -0.041407384 93.05555556 0.071821603
35 0.012685846 -0.035468782 95.83333333 0.084718585
36 0.016441213 -0.030696852 98.61111111 0.091475826

X Variable 1 Residual Plot X Variable 1 Line Fit Plot

0.1 0.20
Y
0.05 0.10
Residuals

0 0.00 Predicted Y

Y
-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15 -0.20 -0.10 0.00 0.10 0.20
-0.05 -0.10
Linear (Predicted
-0.1 -0.20 Y)
X Variable 1 X Variable 1

Normal Probability Plot

0.2

0.1

0
Y

0 20 40 60 80 100 120
-0.1

-0.2
Sample Percentile
Data 5 tahun terakhir

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.525121246
R Square 0.275752323
Adjusted R Square 0.263265294
Standard Error 0.042169829
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.039270257 0.039270257 22.08310117 0.000016500
Residual 58 0.10314108 0.001778294
Total 59 0.142411337

Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
Intercept -0.004320699 0.005663696 -0.762876213 0.448628953 -0.015657819 0.007016421 -0.015657819 0.007016421
X Variable 1 0.595595633 0.126742268 4.699266025 0.000016500 0.34189342 0.849297847 0.34189342 0.849297847

RESIDUAL OUTPUT PROBABILITY OUTPUT

Observation Predicted Y Residuals Percentile Y

1 -0.005199887 0.002236721 0.833333333 -0.112405351
2 -0.016054305 -0.021661598 2.5 -0.091449839
3 0.015810104 -0.097088251 4.166666667 -0.087892633
 4 0.006266462 -0.003472102 5.833333333 -0.081278147
5 0.006078008 -0.019644635 7.5 -0.07987813
6 0.017576331 0.118593598 9.166666667 -0.068168668
7 -0.004919807 0.007180764 10.83333333 -0.067474321
8 0.000696926 -0.017076147 12.5 -0.064947322
9 0.002132307 0.062824758 14.16666667 -0.039513777
10 -0.001940005 -0.028080808 15.83333333 -0.037715904
11 0.00667227 -0.033599135 17.5 -0.033836273
12 -0.004496504 0.001424326 19.16666667 -0.03055015
13 0.006664801 0.009366708 20.83333333 -0.030020813
14 0.008363408 -0.042199681 22.5 -0.029037864
15 0.01179469 0.021224487 24.16666667 -0.028688418
16 0.000879815 0.039427854 25.83333333 -0.026926865
17 0.028439279 -0.045651203 27.5 -0.02671291
18 -0.028296826 -0.039177495 29.16666667 -0.022782936
19 -0.021176759 0.059052324 30.83333333 -0.018149081
20 -0.003574933 -0.087874906 32.5 -0.017211924
21 0.007625968 -0.036314387 34.16666667 -0.016379221
22 -0.002379613 0.02805897 35.83333333 -0.014255639
23 0.016160794 0.016151363 37.5 -0.013566627
24 0.012696392 -0.016958052 39.16666667 -0.0102062
25 -0.002820215 0.009176556 40.83333333 -0.006389946
26 -0.046773779 -0.065631572 42.5 -0.00426166
27 0.005159822 0.06666178 44.16666667 -0.003072178
28 -0.060158955 -0.004788367 45.83333333 -0.002963167
29 0.041367087 0.043351498 47.5 -0.001593021
30 0.012199494 0.011082595 49.16666667 -0.000773269
31 0.005163737 0.033370618 50.83333333 0.002260957
32 0.017912946 0.042111211 52.5 0.002794361
33 -0.044664001 0.005150223 54.16666667 0.006356342
34 0.035656781 -0.008019689 55.83333333 0.012724375
35 0.002456104 -0.003229373 57.5 0.013756483
36 -0.016063852 0.054032841 59.16666667 0.016031509
37 0.004974266 -0.015180466 60.83333333 0.022469998
38 0.007029416 -0.075198084 62.5 0.023282089
39 0.015193236 -0.021583181 64.16666667 0.023705261
40 0.011942915 0.001813569 65.83333333 0.025679357
41 -0.006044804 0.076538733 67.5 0.027637092
42 -0.055170948 -0.024707181 69.16666667 0.032312158
43 -0.078985156 0.060836075 70.83333333 0.032661053
44 0.071157608 -0.012353463 72.5 0.033019177
45 0.022584405 0.012878455 74.16666667 0.035462861
46 0.006551941 0.006172434 75.83333333 0.037875566
47 0.02843287 0.025239827 77.5 0.037968989
48 0.03735989 -0.004698837 79.16666667 0.038534355
49 -0.027739294 0.001026384 80.83333333 0.040307669
50 -0.020847947 0.043317944 82.5 0.043994867
51 0.059688355 0.03178747 84.16666667 0.048246292
52 0.017743979 -0.019337 85.83333333 0.053672697
53 -0.01099334 -0.076899293 87.5 0.058804145
54 0.011199416 -0.041749566 89.16666667 0.060024157
55 0.020940676 0.027305616 90.83333333 0.064957065
56 0.026893661 -0.0031884 92.5 0.07049393
57 -0.001062889 0.045057756 94.16666667 0.071821603
58 0.008889995 -0.037927858 95.83333333 0.084718585
59 0.009203159 -0.031986095 97.5 0.091475826
60 0.012920993 -0.027176633 99.16666667 0.136169928
 X Variable 1 Residual Plot X Variable 1 Line Fit Plot
0.2 0.20
Y
0.1 0.10
Residuals

0 0.00 Predicted Y

Y
-0.15 -0.10 -0.05 0.00 0.05 0.10 0.15 -0.20 -0.10 0.00 0.10 0.20
-0.1 -0.10
Linear (Predicted
-0.2 -0.20 Y)
X Variable 1 X Variable 1

Normal Probability Plot

0.2

0.1

0
Y

0 20 40 60 80 100 120
-0.1

-0.2
Sample Percentile