Harga beli 1000 Harga beli 1200

Harga jual 1200 Harga jual 1000

Capital gain/loss 0.2 Capital gain/loss -0.16666667
Tanpa Probabilitas (dengan persentase)
X Y M
-0.05000 -0.17000 -0.12000
0.03000 0.00000 0.03000
0.13000 0.20000 0.18000
0.18000 0.23000 0.16000
0.32000 0.35000 0.13000
Total 0.61000 0.61000 0.38000
Expected return = 0.12200 0.12200 0.07600

a b c a x b
(RX-ERX) (RY-ERY) (RM-ERM) (RX-ERX) . (RY-ERY)
-0.1720000 -0.2920000 -0.1960000 0.0502240
-0.0920000 -0.1220000 -0.0460000 0.0112240
0.0080000 0.0780000 0.1040000 0.0006240
0.0580000 0.1080000 0.0840000 0.0062640
0.1980000 0.2280000 0.0540000 0.0451440
Sum 0.113480
Covariance 0.028370
Cov (X,Y)
 (RX-ERX)^2 (RY-ERY)^2 (RM-ERM)^2 CV (X)
0.0295840 0.0852640 0.0384160 CV (Y)
0.0084640 0.0148840 0.0021160
0.0000640 0.0060840 0.0108160 coefisien variable = CV
0.0033640 0.0116640 0.0070560
0.0392040 0.0519840 0.0029160
Sum 0.0806800 0.1698800 0.0613200
Variance 0.0201700 0.0424700 0.0153300
Risk 0.1420211 0.2060825 0.1238144

a x c b x c
(RX-ERX) . (RM-ERM) (RY-ERY) . (RM-ERM) Korelasi (X,Y) = Cov (X,Y)/Risk X. Risk Y
0.0337120 0.0572320 Korelasi (X,Y) 0.969316
0.0042320 0.0056120 Korelasi (X,M) 0.772566
0.0008320 0.0081120 Korelasi (Y,M) 0.904727
0.0048720 0.0090720
0.0106920 0.0123120
0.054340 0.092340
0.013585 0.023085
Cov (X,M) Cov (Y,M)
 1.164 =Risk/ER
1.689 =Risk/ER

coefisien variable = CV

Koefisien beta X = Cov (X,M)/Var M

Beta X 0.886171
Beta Y 1.505871
Beta M 1
mencari ER dalam bentuk harga
Closing Price Dividend Capital Gain/Loss Dividend Yield Return
Jan 1200 0 0
Feb 1400 200 0.166667 0.166667 0.333333
Mar 1450 0.035714 0 0.035714
Apr 1350 -0.068966 0 -0.068966
Mei 1600 0.185185 0 0.185185
Sum 0.485267
ER 0.121317

*) yang tabel biru adalah soal

Dengan Probabilitas (dengan persentase)

Prob Return X Return Y P . RX P . RY P . (RX-ERX)^2

0.4 0.05 0.2 0.02 0.08 0.00144
0.3 0.1 0.18 0.03 0.054 3E-05
0.3 0.2 0.15 0.06 0.045 0.00243
ER 0.11 0.179 0.0039
0.06244997998
*) warna pink adalah soal

ER
Variance
Covariance
P . (RY-ERY)^2 (RX-ERX) (RY-ERY) (RX-ERX) . (RY-ERY) . P
0.0001764 -0.06 0.021 -0.000504
3E-07 -0.01 0.001 -2.9999999999999E-06
0.0002523 0.09 -0.029 -0.000783
0.000429 Variance Cov (X,Y) = -0.00129
0.02071231518 Risk
 3/1/2021 week 5
Wx= 80%, Wy =20% RUMUS PORTOFOLIO
Hitunglah ER(p) 0.122
Beta P x 1.010
var p 0.024
risk p (akar dari 0.1549 akar dari 0,024 =0,1549

Minimum required rate of return

CAPM (Capital Asset Pricing Model)
CAPM = Rf + (Rm -Rf). Beta
Rf = 0,5%
CAPM x = 0,005 + (0,076 - 0,005).0,8862 = 6,79%
CAPM y= 0,005+ (0,076 - 0,005).1,5059 = 11,195

RM return marlihat dari ER M

RF risk free