TUGAS MAHASISWA

1. Buatlah kombinasi portofolio 2 saham selama 3 bulan dengan data harian

2. Daftar pilihan saham yang digunakan adalah IDX 30 dan LQ 45 (sesuai tugas individu setiap kelas sebelumnya)
3. Setelah memilih saham, download harga closing mingguan di web www.idx.co.id atau di www.yahoofinance.com
4. Hitung return dan deviasi standar saham individual
5. Hitung risk and return portofolio dengan kombinasi bobot dan korelasi (-1, -0.5, 0, +0.5, +1)
6. Buatlah grafik porttofolio dengan kombinasi dan bobot dan korelasi tersebut
7. Berikan analisis dan rekomendasi kombinasi optimal portofolio yang sudah dibuat.
8. Submit file Excel dengan nama file: Tugas Portofolio Markowitz_KelasXX_KelompokX
 IPCC.JK WTON.JK
Date Close R Date Close R
2022-08-29 535 2022-08-29 220
2022-08-30 535 0.000 2022-08-30 236 0.073
2022-08-31 525 -0.019 2022-08-31 234 -0.008
2022-09-01 535 0.019 2022-09-01 232 -0.009
2022-09-02 530 -0.009 2022-09-02 232 0.000
2022-09-05 530 0.000 2022-09-05 238 0.026
2022-09-06 535 0.009 2022-09-06 236 -0.008
2022-09-07 530 -0.009 2022-09-07 234 -0.008
2022-09-08 530 0.000 2022-09-08 240 0.026
2022-09-09 540 0.019 2022-09-09 240 0.000
2022-09-12 540 0.000 2022-09-12 242 0.008
2022-09-13 540 0.000 2022-09-13 256 0.058
2022-09-14 540 0.000 2022-09-14 252 -0.016
2022-09-15 530 -0.019 2022-09-15 254 0.008
2022-09-16 535 0.009 2022-09-16 256 0.008
2022-09-19 530 -0.009 2022-09-19 256 0.000
2022-09-20 535 0.009 2022-09-20 254 -0.008
2022-09-21 515 -0.037 2022-09-21 238 -0.063
2022-09-22 525 0.019 2022-09-22 240 0.008
2022-09-23 525 0.000 2022-09-23 240 0.000
2022-09-26 520 -0.010 2022-09-26 224 -0.067
2022-09-27 515 -0.010 2022-09-27 224 0.000
2022-09-28 515 0.000 2022-09-28 218 -0.027
2022-09-29 510 -0.010 2022-09-29 212 -0.028
2022-09-30 505 -0.010 2022-09-30 214 0.009
2022-10-03 505 0.000 2022-10-03 214 0.000
2022-10-04 510 0.010 2022-10-04 220 0.028
2022-10-05 515 0.010 2022-10-05 222 0.009
2022-10-06 515 0.000 2022-10-06 222 0.000
2022-10-07 510 -0.010 2022-10-07 216 -0.027
2022-10-10 510 0.000 2022-10-10 216 0.000
2022-10-11 505 -0.010 2022-10-11 218 0.009
2022-10-12 498 -0.014 2022-10-12 212 -0.028
2022-10-13 494 -0.008 2022-10-13 212 0.000
2022-10-14 500 0.012 2022-10-14 210 -0.009
2022-10-17 498 -0.004 2022-10-17 208 -0.010
2022-10-18 498 0.000 2022-10-18 204 -0.019
2022-10-19 500 0.004 2022-10-19 208 0.020
2022-10-20 505 0.010 2022-10-20 208 0.000
2022-10-21 505 0.000 2022-10-21 210 0.010
2022-10-24 515 0.020 2022-10-24 210 0.000
2022-10-25 515 0.000 2022-10-25 208 -0.010
2022-10-26 515 0.000 2022-10-26 210 0.010
2022-10-27 515 0.000 2022-10-27 210 0.000
2022-10-28 505 -0.019 2022-10-28 208 -0.010
2022-10-31 515 0.020 2022-10-31 208 0.000
2022-11-01 595 0.155 2022-11-01 210 0.010
2022-11-02 585 -0.017 2022-11-02 204 -0.029
2022-11-03 595 0.017 2022-11-03 206 0.010
2022-11-04 620 0.042 2022-11-04 204 -0.010
2022-11-07 620 0.000 2022-11-07 210 0.029
2022-11-08 620 0.000 2022-11-08 210 0.000
2022-11-09 605 -0.024 2022-11-09 212 0.010
2022-11-10 590 -0.025 2022-11-10 208 -0.019
2022-11-11 595 0.008 2022-11-11 212 0.019
2022-11-14 590 -0.008 2022-11-14 208 -0.019
2022-11-15 585 -0.008 2022-11-15 206 -0.010
2022-11-16 585 0.000 2022-11-16 206 0.000
2022-11-17 585 0.000 2022-11-17 210 0.019
2022-11-18 590 0.009 2022-11-18 206 -0.019
2022-11-21 610 0.034 2022-11-21 206 0.000
2022-11-22 610 0.000 2022-11-22 206 0.000
2022-11-23 610 0.000 2022-11-23 206 0.000
2022-11-24 645 0.057 2022-11-24 210 0.019
2022-11-25 640 -0.008 2022-11-25 210 0.000
2022-11-28 635 -0.008 2022-11-28 206 -0.019
E (RIPCC) 0.002916 E (RWTON) -0.000786
σIPCC 0.024411 σWTON 0.021363

Periode pengambilan data: tgl 2 Agustus 2022 sampai dengan 28 November 2022
 Saham IPCC WTON
Return 0.002916 -0.000786
Risiko 0.024411 0.021363

WIPCC WWTON E (Rp) σp (r = -1) σp (r = -1/2) σp (r = 0) σp (r = 1/2) σp (r = 1)

1.000000 0.000000 0.00292 0.02441 0.02441 0.02441 0.02441 0.02441
0.950000 0.050000 0.00273 0.02212 0.02268 0.02322 0.02374 0.02426
0.900000 0.100000 0.00255 0.01983 0.02098 0.02207 0.02311 0.02411
0.850000 0.150000 0.00236 0.01755 0.01935 0.02100 0.02252 0.02395
0.800000 0.200000 0.00218 0.01526 0.01778 0.01999 0.02198 0.02380
0.750000 0.250000 0.00199 0.01297 0.01631 0.01907 0.02148 0.02365
0.700000 0.300000 0.00181 0.01068 0.01495 0.01825 0.02104 0.02350
0.650000 0.350000 0.00162 0.00839 0.01375 0.01754 0.02065 0.02334
0.600000 0.400000 0.00143 0.00610 0.01274 0.01696 0.02032 0.02319
0.550000 0.450000 0.00125 0.00381 0.01198 0.01651 0.02004 0.02304
0.500000 0.500000 0.00106 0.00152 0.01152 0.01622 0.01984 0.02289
0.490000 0.510000 0.00103 0.00107 0.01147 0.01618 0.01980 0.02286
0.480000 0.520000 0.00099 0.00061 0.01143 0.01615 0.01977 0.02283
0.470000 0.530000 0.00095 0.00015 0.01140 0.01612 0.01974 0.02280
0.460000 0.540000 0.00092 0.00031 0.01139 0.01610 0.01972 0.02277
0.450000 0.550000 0.00088 0.00076 0.01139 0.01608 0.01969 0.02273
0.400000 0.600000 0.00069 0.00305 0.01160 0.01611 0.01962 0.02258
0.350000 0.650000 0.00051 0.00534 0.01213 0.01630 0.01961 0.02243
0.300000 0.700000 0.00032 0.00763 0.01295 0.01665 0.01967 0.02228
0.250000 0.750000 0.00014 0.00992 0.01401 0.01715 0.01979 0.02212
0.200000 0.800000 -0.00005 0.01221 0.01525 0.01777 0.01998 0.02197
0.150000 0.850000 -0.00023 0.01450 0.01663 0.01852 0.02024 0.02182
0.100000 0.900000 -0.00042 0.01679 0.01813 0.01938 0.02056 0.02167
0.050000 0.950000 -0.00060 0.01907 0.01971 0.02033 0.02093 0.02152
0.000000 1.000000 -0.00079 0.02136 0.02136 0.02136 0.02136 0.02136
 0.00350

0.00300 IPCC

0.00250
Risiko

0.00200
R

n
e

r=-1
r
t

0.00150 r=-0,5
r=0
r=0,5
0.00100 P r=1

0.00050

0.00000
0.00000 0.00500 0.01000 0.01500 0.02000 0.02500 0.03000

-0.00050

-0.00100
WTON

Analisis:
1. Return rata-rata harian selama 3 bulan saham ICPP didapat positip sedang return saham WTON negatif.
2. Risiko (deviasi standar) saham ICPP lebih besar dari saham WTON
3. Return portofolio (Rp) menunjukkan angka sebagian negatif namun bukan di garos Efficient Frontier, hal ini disebabkan oleh return
salah satu saham yaitu WTON yang negatif
4. Pada korelasi r = -1, Standard Deviasi mendekati nol (0,00015) didapat pada kombinasi portofolio saham IPCC 47% dan saham WTON 53% dengan E(Rporto) = 0,00095
5. Pilihan portofolio yang memungkinkan untuk diambil adalah titik P1, dimana kombinasi bobot saham IPCC sebesar 50% dan saham WTON sebesar 50%,
dengan E(Rporto) = 0,00106 dan Standard Deviasi portofolio = 0,00152