LAPORAN INVESTASI DAN SEKURITAS

DATA 10 HARGA SAHAM INDEKS TUNGGAL

Disusun oleh :

Elisabeth Carmenita Isabella Resirwawan

11190717

Grup C
 I. PENDAHULUAN
Model Sharpe (1963) mengembangkan model yang disebut dengan model indeks
tunggal. Model ini digunakan untuk menyedarhanakan perhitungan di Model Markowitz.
Model Indeks Tunggal mengganti kovarians return antar aktiva dengan kovarian return aktiva
dengan Return indeks pasar. Sharpe menekankan, portofolio Optimal adalah portofolio yang
seharusnya mempunyai kinerja terbaik. Dalam hal ini, Sharpe mengukur kinerja terbaik
berdasarkan portofolio dengan sudut terbesar.
Model indeks tunggal adalah metode yang digunakan dalam pengukuran nilai return
dan risiko portofolio dan asumsi apabila pergerakan return saham hanya berhubungan
terhadap return pasar.
Model indeks tunggal jika dipakai untuk penilaian return saham tealh banyk
dihunakan dan dilakukan. Tetapi dari beberapa penelitian yang sama tetapi menghasilkan
hasil berbeda beda di penelitiannya.
 II. DATA HARGA INDEKS SAHAM

Kita akan mencari data dari indeks harga dari 10 saham yanag akan kita hitung
menggunakan indeks tunggal dari return harga saham yang telah kita pilih dan penghitungan
ERB (Excess Return to Beta Rato).

1. PT. ADARO ENERGY

periode adaro energy cg rr deviden harian dy tr rr

08/02/2021 1,345.00
08/03/2021 1,370.00 0.0185 1.0185 66.28 0.049278 0.0187 1.0187
08/04/2021 1,350.00 0.9854 1.9854 66.28 0.048379 0.9856 1.9856
08/05/2021 1,360.00 0.0074 1.0074 66.28 0.049096 0.0076 1.0076
08/06/2021 1,310.00 0.9632 1.9632 66.28 0.048735 0.9634 1.9634
08/09/2021 1,305.00 0.9961 1.9961 66.28 0.050595 0.9963 1.9963
08/10/2021 1,320.00 0.0114 1.0114 66.28 0.050789 0.0116 1.0116
08/12/2021 1,350.00 0.0227 1.0227 66.28 0.050212 0.0229 1.0229
08/13/2021 1,420.00 0.0518 1.0518 66.28 0.049096 0.05110 1.0511
08/16/2021 1,385.00 0.9753 1.9753 66.28 0.046676 0.9755 1.9755
08/18/2021 1,360.00 0.9819 1.9819 66.28 0.047855 0.98111 1.98111
08/19/2021 1,340.00 0.9852 1.9852 66.28 0.048735 0.9854 1.9854
08/20/2021 1,290.00 0.9626 1.9626 66.28 0.049462 0.9628 1.9628
08/23/2021 1,265.00 0.9806 1.9806 66.28 0.051379 0.9808 1.9808
08/24/2021 1,340.00 0.0592 1.0592 66.28 0.052395 0.0594 1.0594
08/25/2021 1,270.00 0.9477 1.9477 66.28 0.049462 0.9479 1.9479
08/26/2021 1,270.00 1 1 66.28 1 1 1
08/27/2021 1,280.00 0.0078 1.0078 66.28 0.052188 0.00710 1.0071
08/30/2021 1,260.00 0.9843 1.9843 66.28 0.051178 0.9845 1.9845
08/31/2021 1,310.00 0.0396 1.0396 66.28 0.052603 0.0398 1.0398
rata rata aritmatika 27.9805 27.9807
rata rata geomatrik 27.9805 27.9807
random walk 0.0396
 2. PT. TOWER BERSAMA INSFRAKSTRUKTUR

periode towerBersamainfastruktur cg rr deviden harian dy tr rr

08/02/2021 3,250.00
08/03/2021 3,220.00 0.9907 1.9907 32 0.009846 0.9909 1.9909
08/04/2021 3,200.00 0.9937 1.9937 32 0.009937 0.9939 1.9939
08/05/2021 3,210.00 0.0031 1.0031 32 0.01 0.0033 1.0033
08/06/2021 3,150.00 0.0981 1.0981 32 0.009968 0.0983 1.0983
08/09/2021 3,230.00 0.0253 1.0253 32 0.010158 0.0255 1.0255
08/10/2021 3,080.00 0.9535 1.9535 32 0.009907 0.9537 1.9537
08/12/2021 2,970.00 0.9642 1.9642 32 0.010389 0.9644 1.9644
08/13/2021 3,010.00 0.0134 1.0134 32 0.010774 0.0136 1.0136
08/16/2021 3,020.00 0.0033 1.0033 32 0.010631 0.0035 1.0035
08/18/2021 2,990.00 0.9900 1.9900 32 0.010596 0.9902 1.9902
08/19/2021 2,990.00 1 1 32 1 1 1
08/20/2021 2,930.00 0.9799 1.9799 32 0.010702 0.97911 1.97911
08/23/2021 3,200.00 0.0921 1.0921 32 0.010921 0.0923 1.0923
08/24/2021 3,250.00 0.0156 1.0156 32 0.01 0.0158 1.0158
08/25/2021 3,110.00 0.9569 1.9569 32 0.009846 0.95611 1.95611
08/26/2021 3,050.00 0.9807 1.9807 32 0.010289 0.9809 1.9809
08/27/2021 2,960.00 0.9704 1.9704 32 0.010491 0.9706 1.9706
08/30/2021 3,000.00 0.0135 1.0135 32 0.010810 0.0135 1.0135
08/31/2021 3,160.00 0.0533 1.0533 32 0.010666 0.0533 1.0533
rata rata aritmatika 0.5054 0.5056
rata rata geomatrik 5054 0.5056
random walk 0.0533

3. PT. INDOFOOD TBK

Periode BBRI CG RR Div, Harian DY TR RR
2021 08 02 6.175 2.780
2021 08 03 6.175 1 1 2.780 0.000450 1 1
2021 08 04 6.150 0.9959 1.9959 2.780 0.000450 0.9961 1.9961
2021 08 05 6.200 0.0081 1.0081 2.780 0.000452 0.0083 1.0083
2021 08 06 6.200 1 1 2.780 1 1 1
2021 08 07 2.780
2021 08 08 2.780
2021 08 09 6.225 0.0040 1.0040 2.780 0.000448 0.0042 1.0042
2021 08 10 6.125 0.9839 1.9839 2.780 0.000446 0.9841 1.9841
2021 08 11 2.780
2021 08 12 6.175 0.0081 1.0081 2.780 0.000453 0.0083 1.0083
2021 08 13 6.250 0.0121 1.0121 2.780 0.000450 0.0123 1.0123
2021 08 14 2.780
2021 08 15 2.780
2021 08 16 6.275 0.0040 1.0040 2.780 0.000444 0.0042 1.0042
2021 08 17 2.780
2021 08 18 6.400 0.0199 1.0199 2.780 0.000443 0.0201 1.0201
2021 08 19 6.375 0.9960 1.9960 2.780 0.000434 0.9962 1.9980
2021 08 20 6.225 0.9764 1.9764 2.780 0.000436 0.9766 1.9766
2021 08 21 2.780
2021 08 22 2.780
2021 08 23 6.200 0.9959 1.9959 2.780 0.000446 0.9961 1.9961
2021 08 24 6.225 0.0040 1.0040 2.780 0.000448 0.0042 1.0042
2021 08 25 6.350 0.0200 1.0200 2.780 0.000446 0.0202 1.0202
2021 08 26 6.350 1 1 2.780 0.000437 1 1
2021 08 27 6.325 0.9960 1.996 2.780 0.000437 0.9962 1.9962
2021 08 28 2.780
2021 08 29 2.780
2021 08 30 6.450 0.0197 1.0197 2.780 0.000439 0.0199 1.0199
2021 08 31 2.780
RATA RATA ARITMATIK 0.3357 0.3359
RATA RATA GEOMETRIK 0.3357 0.3359
RANDOM WALK 0.0197 0.0199
 4. PT. KALBE FARMA TBK

Div,
Periode BBRI CG RR Harian DY TR RR
2021 08
02 1.280     3.400      
2021 08 0.00265
03 1.310 0.0234 1.0234 3.400 6 0.0236 1.0236
2021 08 0.00259
04 1.315 0.0038 1.0038 3.400 5 0.0040 1.0040
2021 08 0.00258
05 1.310 0.9961 1.9961 3.400 5 0.9963 1.9963
2021 08 0.00259
06 1.305 0.9961 1.9961 3.400 5 0.9963 1.9963
2021 08
07       3.400      
2021 08
08       3.400      
2021 08 0.00260
09 1.300 0.9961 1.9961 3.400 5 0.9963 1.9963
2021 08 0.00261
10 1.255 0.9653 1.9653 3.400 5 0.9655 1.9655
2021 08
11       3.400      
2021 08 0.00270
12 1.305 0.0398 1.0398 3.400 9 0.0400 1.0400
2021 08 0.00260
13 1.295 0.9923 1.9923 3.400 5 0.9925 1.9925
2021 08
14       3.400      
2021 08
15       3.400      
2021 08 0.00262
16 1.305 0.0077 1.0077 3.400 5 0.0079 1.0079
2021 08
17       3.400      
2021 08 0.00260
18 1.300 0.9961 1.9961 3.400 5 0.9963 1.9963
2021 08 0.00261
19 1.300 1 1 3.400 5 1 1
2021 08 0.00261
20 1.255 0.9653 1.9653 3.400 5 0.9655 1.9655
2021 08
21       3.400      
2021 08
22       3.400      
2021 08 0.00270
23 1.275 0.0159 1.0159 3.400 9 0.0161 1.0161
2021 08 0.00266
24 1.300 0.0196 1.0196 3.400 6 0.0198 1.0198
2021 08 0.00261
25 1.305 0.0038 1.0038 3.400 5 0.0040 1.0040
2021 08 0.00260
26 1.340 0.0291 1.0291 3.400 5 0.0293 1.0293
2021 08 0.00253
27 1.345 0.0037 1.0037 3.400 7 0.0039 1.0039
2021 08
28       3.400      
2021 08
29       3.400      
2021 08 0.00252
30 1.370 0.0185 1.0185 3.400 7 0.0187 1.0187
2021 08
31       3.400      
RATA RATA ARITMATIK 0.3929       0.3931  
RATA RATA GEOMETRIK   0.3929       0.3931
RANDOM WALK 0.0185       0.0187  

5. PT. TELEKOMUNIKASI INDONESIA TBK

Periode BBRI CG RR Div, Harian DY TR RR
2021 08 02 3,240.00 1.680
2021 08 03 3,310.00 0.0216 1.0216 1.680 0.518518 0.0218 1.0218
2021 08 04 3,330.00 0.0060 1.0060 1.680 0.507552 0.0062 1.0062
2021 08 05 3,360.00 0.0090 1.0090 1.680 0.504504 0.0092 1.0092
2021 08 06 3,360.00 1 1 1.680 0.5 1 1
2021 08 07 1.680
2021 08 08 1.680
2021 08 09 3,260.00 0.9702 1.9702 1.680 0.515337 0.9704 1.9704
2021 08 10 3,240.00 0.9938 1.9938 1.680 0.515337 0.994 1.9940
2021 08 11 1.680
2021 08 12 3,260.00 0.0061 1.0061 1.680 0.518518 0.0063 1.0063
2021 08 13 3,370.00 0.0337 1.0337 1.680 0.498516 0.0339 1.0339
2021 08 14 1.680
2021 08 15 1.680
2021 08 16 3,300.00 0.9792 1.9792 1.680 0.498516 0.9794 1.9794
2021 08 17 1.680
2021 08 18 3,360.00 0.0181 1.0181 1.680 0.50909 0.0183 1.0183
2021 08 19 3,410.00 0.0148 0.0148 1.680 0.5 0.015 1.0150
2021 08 20 3,390.00 0.9941 1.9941 1.680 0.492668 0.9943 1.9943
2021 08 21 1.680
2021 08 22 1.680
2021 08 23 3,420.00 0.0088 1.0088 1.680 0.495575 0.009 1.0090
2021 08 24 3,410.00 0.9970 1.9970 1.680 0.491228 0.9972 1.9972
2021 08 25 3,390.00 0.9941 1.9941 1.680 0.492668 0.9943 1.9943
2021 08 26 3,330.00 0.9823 1.9823 1.680 0.495575 0.9825 1.9825
2021 08 27 3,370.00 0.0120 1.0120 1.680 0.504504 0.0122 1.0122
2021 08 28 1.680
2021 08 29 1.680
2021 08 30 3,330.00 0.9881 1.9881 1.680 0.498516 0.9883 1.9883
2021 08 31 1.680
RATA RATA ARITMATIK 0.4460 0.4462
RATA RATA GEOMETRIK 0.4460 0.4462
RANDOM WALK 0.9881 0.9883

6. PT. ACE HARDWARE TBK

 Div,
Periode BBRI CG RR Harian DY TR RR
2021 08
02 1.320     3.215      
2021 08 0.43560
03 1.305 0.9886 1.9886 3.215 6 0.9888 1.9888
2021 08 0.46360
04 1.335 0.0229 1.0229 3.215 1 0.0231 1.0231
2021 08 0.40823
05 1.365 0.0224 1.0224 3.215 9 0.0226 1.0226
2021 08 0.35531
06 1.370 0.0036 1.0036 3.215 1 0.0038 1.0038
2021 08
07       3.215      
2021 08
08       3.215      
2021 08 0.34671
09 1.340 0.9781 1.9781 3.215 5 0.9783 1.9783
2021 08 0.39925
10 1.370 0.0223 1.0223 3.215 3 0.0225 1.0225
2021 08
11       3.215      
2021 08 0.34671
12 1.470 0.0729 1.0729 3.215 5 0.0731 1.0731
2021 08 0.18707
13 1.505 0.2380 1.2380 3.215 4 0.2382 1.2382
2021 08
14       3.215      
2021 08
15       3.215      
2021 08 0.16498
16 1.485 0.9867 1.9867 3.215 3 0.9869 1.9869
2021 08
17       3.215      
2021 08 0.16498
18 1.505 0.0134 1.0134 3.215 3 0.0136 1.0136
2021 08 0.13621
19 1.500 0.9966 1.9966 3.215 2 0.9968 1.9968
2021 08 0.13333
20 1.445 0.9633 1.9633 3.215 3 0.9635 1.9635
2021 08
21       3.215      
2021 08
22       3.215      
2021 08 0.22491
23 1.460 0.0103 1.0103 3.215 3 0.0105 1.0105
2021 08 0.20205
24 1.500 0.0273 1.0273 3.215 4 0.0275 1.0275
2021 08 0.14333
25 1.430 0.9533 1.9533 3.215 3 0.9535 1.9535
2021 08 0.24825
26 1.405 0.9825 1.9825 3.215 1 0.9827 1.9827
2021 08 0.28825
27 1.380 0.9822 1.9822 3.215 6 0.9824 1.9824
2021 08
28       3.215      
2021 08
29       3.215      
2021 08
30 1.410 0.0217 1.0217 3.215 0.32971 0.0219 1.0219
2021 08
31              
RATA RATA ARITMATIK 0.4603       0.4605  
RATA RATA GEOMETRIK   0.4603       0.4605
RANDOM WALK 0.0217       0.0219  

7. PT. SILOAM INTERNATIONAL HOSPITALS

Div,
Periode BBRI CG RR DY TR RR
Harian
2021 08
8,325     2,260      
02
2021 08 0,00027
8,600 0,0330 0,0330 2,260 0,0330 0,0330
03 1
2021 08 0,00026
8,375 0,9738 0,9738 2,260 0,9738 0,9738
04 2
2021 08 0,00026
8,550 0,0208 0,0208 2,260 0,0208 0,0208
05 9
2021 08 0,00026
8,600 0,0058 0,0058 2,260 0,0058 0,0058
06 4
2021 08
      2,260      
07
2021 08
      2,260      
08
2021 08 0,00026
8,700 0,0116 0,0116 2,260 0,0116 0,0116
09 2
2021 08 0,00025
8,500 0,9770 0,9770 2,260 0,9770 0,9770
10 9
2021 08
      2,260      
11
2021 08 0,00026
8,100 0,9529 0,9529 2,260 0,9529 0,9529
12 5
2021 08 0,00027
8,150 0,0061 0,0061 2,260 0,0061 0,0061
13 9
2021 08
      2,260      
14
2021 08
      2,260      
15
2021 08 0,00027
8,200 0,0061 0,0061 2,260 0,0061 0,0061
16 7
2021 08
      2,260      
17
2021 08 0,00027
8,250 0,0060 0,0060 2,260 0,0060 0,0060
18 5
2021 08 0,00027
8,350 0,0121 0,0121 2,260 0,0121 0,0121
19 3
2021 08 0,00027
7,950 0,9520 0,9520 2,260 0,9520 0,9520
20 0
2021 08
      2,260      
21
2021 08
      2,260      
22
2021 08 0,00028
7,850 0,9874 0,9874 2,260 0,9874 0,9874
23 4
2021 08 0,00028
7,975 0,0159 0,0159 2,260 0,0159 0,0159
24 7
2021 08 0,00028
8,050 0,0094 0,0094 2,260 0,0094 0,0094
25 3
2021 08 0,00028
8,100 0,0062 0,0062 2,260 0,0062 0,0062
26 0
2021 08 0,00027
8,150 0,0061 0,0061 2,260 0,0061 0,0061
27 9
2021 08
      2,260      
28
2021 08
      2,260      
29
2021 08 0,00027
8,200 0,0061 0,0061 2,260 0,0061 0,0061
30 7
2021 08
      2,260      
31
RATA RATA ARITMATIK 0,2771       0,2773  
RATA RATA GEOMETRIK   0,2771       0,2773
RANDOM WALK 0.0061       0.2773  
 8. PT. GUDANG GARAM TBK
PERIODE BBRI CG RR DIVIDEN HARIAN DY TR RR
01/08/2020 33,700.00 2.600
02/08/2020 2600
03/08/2020 32,800.00 0,9732 1,9732 2600 0,079268 0,9734 1,9734
04/08/2020 33,300.00 0,0152 1,0152 2600 0,078078 0,0154 1,0154
05/08/2020 32,975.00 0,9902 1,9902 2600 0,078847 0,9904 1,9904
06/08/2020 32,950.00 0,9992 1,9992 2600 0,078907 0,9994 1,9994
07/08/2020 2600
08/08/2020 2600
09/08/2020 32,800.00 0,9954 1,9954 2600 0,079268 0,9956 1,9956
10/08/2020 32,825.00 0,0007 1,0007 2600 0,079207 0,0009 1,0009
11/08/2020 2600
12/08/2020 32,750.00 0,9977 1,9977 2600 0,079389 0,9979 1,9979
13/08/2020 32,950.00 0,0061 1,0061 2600 0,078907 0,0063 1,0063
14/08/2020 2600
15/08/2020 2600
16/08/2020 32,625.00 0,9901 1,9901 2600 0,079693 0,9903 1,9903
17/08/2020 2600
18/08/2020 32,250.00 0,9885 1,9885 2600 0,08062 0,9887 1,9887
19/08/2020 30,875.00 0,9573 1,9573 2600 0,08421 0,9575 1,9575
20/08/2020 30,200.00 0,9781 1,9781 2600 0,086092 0,9783 1,9783
21/08/2020 2600
22/08/2020 2600
23/08/2020 30,450.00 0,0082 1,0082 2600 0,085385 0,0084 1,0084
24/08/2020 31,775.00 0,0435 1,0435 2600 0,081828 0,0437 1,0437
25/08/2020 32,275.00 0,0157 1,0157 2600 0,080557 0,0159 1,0159
26/08/2020 32,450.00 0,0054 1,0054 2600 0,080123 0,0056 1,0056
27/08/2020 32,300.00 0,9953 1,9953 2600 0,080495 0,9955 1,9955
28/08/2020 2600
29/08/2020 2600
30/08/2020 32,300.00 1 1 2600 1 1 1
31/08/2020 32,650.00 0,0108 1,0108 2600 0,0796332 0,0108 1,01010
Rata'-rata Aritmatika 0,5247 0,5249
rata-ratageometrik 0,5247 0,5249
Random walk 0,0108 0,0108

9. PT. BANK MEGA TBK

PERIODE BBRI CG RR DIVIDEN HARIAN DY TR RR
Aug 31, 2021 7,875.00
Aug 30, 2021 7,875.00 1 1 3,015 0,000126 1 1
Aug 27, 2021 7,675.00 0,9746 1,9746 3,015 0,000126 0,9748 1,9748
Aug 26, 2021 7,675.00 1 1 3,015 0,000392 1 1
Aug 25, 2021 7,625.00 0,9934 1,9934 3,015 0,000392 0,9936 1,9936
Aug 24, 2021 7,800.00 0,0229 1,0229 3,015 0,395409 0,0221 1,0221
Aug 23, 2021 7,800.00 1 1 3,015 0,386538 1 1
Aug 20, 2021 7,775.00 0,9967 1,9967 3,015 0,386538 0,9969 1,9969
Aug 19, 2021 7,775.00 1 1 3,015 0,387781 1 1
Aug 18, 2021 7,800.00 0,0032 1,0032 3,015 0,387781 0,0034 1,0034
Aug 16, 2021 7,900.00 0,0128 1,0128 3,015 0,386538 0,0121 1,0121
Aug 13, 2021 7,900.00 1 1 3,015 0,386538 1 1
Aug 12, 2021 7,925.00 0,0031 1,0031 3,015 0,381645 0,0033 1,0033
Aug 10, 2021 7,800.00 0,9842 1,9842 3,015 0,380441 0,9844 1,9844
Aug 09, 2021 7,850.00 0,0064 1,0064 3,015 0,386538 0,0066 1,0066
Aug 06, 2021 7,950.00 0,0127 1,0127 3,015 0,384076 0,0129 1,0129
Aug 05, 2021 7,975.00 0,0031 1,0031 3,015 0,379245 0,0033 1,0033
Aug 04, 2021 8,000.00 0,0031 1,0031 3,015 0,378056 0,0033 1,0033
Aug 03, 2021 8,000.00 1 1 3,015 0,000376 1 1
Aug 02, 2021 7,950.00 0,9937 1,9937 3,015 0,000376 0,9931 1,9931
Rata-rata aritmatika 0,3853 0,3855
Rata-raa geometrik 0,3853 0,3855
random walk 0,9746 0,9748
 10. PT. UNILEVER INDONESIA TBK

PERIODE BBRI CG RR DIVIDEN HARIAN DY TR RR

Aug 31, 2021 4,110.00
Aug 30, 2021 4,040.00 0,9829 1,9829 100 0,024330 0,9831 1,9831
Aug 27, 2021 4,060.00 0,0049 1,0049 100 0,024752 0,0051 1,0051
Aug 26, 2021 4,170.00 0,0270 1,0270 100 0,024630 0,0280 1,0280
Aug 25, 2021 4,110.00 0,9856 1,9856 100 0,023980 0,9858 1,9858
Aug 24, 2021 4,060.00 0,9878 1,9878 100 0,024330 0,9880 1,9880
Aug 23, 2021 4,080.00 0,0049 1,0049 100 0,024630 0,0051 1,0051
Aug 20, 2021 4,090.00 0,0024 1,0024 100 0,024509 0,0026 1,0026
Aug 19, 2021 4,250.00 0,0391 1,0391 100 0,024449 0,0393 1,0393
Aug 18, 2021 4,170.00 0,9811 1,9811 100 0,023529 0,9813 1,9813
Aug 16, 2021 4,240.00 0,0167 1,0167 100 0,023980 0,0169 1,0169
Aug 13, 2021 4,230.00 0,9976 1,9976 100 0,023584 0,9978 1,9978
Aug 12, 2021 4,290.00 0,0141 1,0141 100 0,023640 0,0143 1,0143
Aug 10, 2021 4,300.00 0,0023 1,0023 100 0,023310 0,0025 1,0025
Aug 09, 2021 4,410.00 0,0255 1,0255 100 0,023255 0,0257 1,0257
Aug 06, 2021 4,440.00 0,0068 1,0068 100 0,022675 0,0070 1,0070
Aug 05, 2021 4,330.00 0,9752 1,9752 100 0,022522 0,9754 1,9754
Aug 04, 2021 4,400.00 0,0161 1,0161 100 0,023094 0,0163 1,0163
Aug 03, 2021 4,400.00 1 1 100 0,022727 1 1
Aug 02, 2021 4,220.00 0,9590 1,9590 100 0,023696 0,9591 1,9591
Rata-rata aritmatika 0,3905 0,3907
Rata-rata Geometrik 0,3905 0,3907
Rendom wolk 0,9829 0,9831