BAB IV. ANALISIS DAN PEMBAHASAN
4.3 Implikasi Manajerial
Pembentukan portofolio optimal saham memiliki dasar yang berbeda–beda bagi tiap model. Portofolio optimal saham Model Markowitz dipilih berdasarkan preferensi investor yang terdiri dari berbagai macam portofolio efficient. Portofolio efficient Makrowitz dapat digambarkan pada curva efficient frontier pada gambar 4.7.
KLBF ITMG UNVR BBNI GGRM INDY JSMR UNTR ADRO LSIP Risko Portofolio
Return Portofolio 19.57% 14.87% 12.83% 12.34% 11.29% 10.35% 7.62% 4.33% 3.50% 3.30% 6.56% 7.93%
Gambar 4.7 Curva Efficient Frontier Markowitz
Sumber : data penelitian yang diolah
Peneliti melakukan perbandingan antara dua tipe investor yang memiliki perbedaan dalam derajat risk averse dengan menggunakan Model Markowitz. Tipe investor pertama dengan risk averse tinggi, memilih titik optimal di atas titik GMV dengan menghasilkan return portofolio per bulannya sebesar 2.00% dari nilai yang diinvestasikan dan risiko sebesar 2.11%. Bobot portofolionya adalah 7.74% AALI, 17.86% BNBR, 12.17% GGRM, 10.96% INTP, 1.77% JSMR, 0.80% KLBF, 27.05%
PGAS, 21.66% UNVR. Tipe Investor kedua dengan risk averse rendah, memilih titik optimal pada persingguan antara kurva efficient frontier dan garis CML sehingga dapat menghasilkan return portofolio per bulannya sebesar 5.50% dari nilai yang
8.56%
8.25%
8.00%
7.75%
7.50%
7.25%
7.00%
6.75%
6.50%
6.25%
6.00%
5.75%
5.50% optimal inves 2 5.25%
5.00%
4.75%
4.50%
4.25%
4.00%
3.75%
3.50%
3.25%
3.00%
2.75%
2.50%
2.25%
2.00% Optimal Inves 1 1.75% (GMV)
1.50%
1.25%
1.00%
0.75%
0.50%
0.25%
0.5240%
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
8.00%
9.00%
0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00%
Return
Resiko
Curva Efficient Frontier
diinvestasikan dan risiko sebesar 3.28%. Bobot portofolionya adalah 1.42% BBNI, 20.44% GGRM, 4.92% ITMG, 25.90% KLBF, 23.02% LSIP, 1.92% PGAS, 22.38% UNVR.
Sedangkan bagi para investor yang ingin berinvestasi di luar derajat risk averse dari tipe investor yang diteliti, titik optimal dapat di sesuai berdasarkan preferensi masing–masing investor dengan komposisi portofolio sesuai dengan titik optimalnya. Jadi portofolio optimal Model Markowitz menghasilkan beberapa portofolio yang efisien terlebih dahulu sebelum dipilih para investor untuk menjadi titik optimalnya.
Perhitungan portofolio optimal saham Model Indeks Tunggal memiliki dasar pembentukan portofolio dilihat dari nilai unique cut-off rate. Nilai unique cut-off rate dipilih berdasarkan nilai cut-off point individual yang tertinggi. Lalu dilakukan perbandingan dengan nilai ERB tiap saham, bagi saham yang memiliki nilai ERB lebih kecil dari nilai unique cut-off rate maka saham–saham tersebut tidak akan masuk dalam pembentukan portofolio optimal. Nilai ERB yang tertinggi akan mendapatkan proporsi yang paling besar sesuai dengan urutan besar ERB nya.
Sehingga nilai return portofolio yang didapat sebesar 5.82% per bulannya dari nilai yang diinvestasikan dengan risiko sebesar 6.56%. Komposisi portofolionya adalah 19.57% KLBF, 14.87% ITMG, 12.83% UNVR, 12.34% BBNI, 11.29% GGRM, 10.35% INDY, 7.62% JSMR, 4.33% UNTR, 3.50% ADRO, 3.30% LSIP. Hasil yang diperoleh dari perhitungan Model Indeks Tunggal merupakan hasil portofolio yang paling optimal, sehingga Model Indeks Tunggal hanya menghasilkan satu portofolio optimal berdasarkan model perhitungannya. Sehingga bagi para investor yang tidak memiliki preferensi dari dirinya dapat menggunakan model perhitungan Model Indeks
Tunggal. Model Indeks Tunggal juga menghasilkan return yang cukup tinggi, sehingga penggunaan model tersebut sangat cocok bagi investor yang berani mengambil risiko karena return yang tinggi juga mempunyai risiko yang tinggi.
KESIMPULAN dan SARAN
5.1 Kesimpulan
Berdasarkan hasil analisis dan pembahasan, peneliti dapat menarik kesimpulan yang merupakan jawaban dari perumusan masalah seperti di bawah ini :
1. Komposisi saham–saham Indeks LQ45 yang membentuk portofolio optimal Model Markowitz berdasarkan preferensi investor
a. Tipe investor pertama dengan risk averse tinggi dapat berinvestasi dengan menghasilkan return per bulannya sebesar 2.00% dari nilai yang diinvestasikan dan risiko sebesar 2.11% dengan menginvestasikan 7.74% AALI, 17.86% BNBR, 12.17% GGRM, 10.96% INTP, 1.77% JSMR, 0.80% KLBF, 27.05% PGAS, 21.66%
UNVR.
b. Tipe Investor kedua dengan risk averse rendah dapat berinvestasi dengan menghasilkan return per bulannya sebesar 5.50% dari nilai yang diinvestasikan dan risiko sebesar 3.28% dengan menginvestasikan 1.42% BBNI, 20.44% GGRM, 4.92% ITMG, 25.90% KLBF, 23.02% LSIP, 1.92% PGAS, 22.38% UNVR.
2. Komposisi saham – saham Indeks LQ45 yang membentuk portofolio optimal berdasarkan Model Indeks Tunggal adalah dengan tingkat return per
bulannya sebesar 7,93% dari nilai yang diinvestasikan dengan risiko sebesar 6,56% yang berisikan 19,57% saham KLBF, 14,87% saham ITMG, 12,83%
saham UNVR, 12,34% saham BBNI, 11,29% saham GGRM, 10,35% saham INDY, 7,62% saham JSMR, 4,33% saham UNTR, 3,50% saham ADRO, 3,30% saham LSIP.
5.2 Saran
5.2.1 Bagi Peneliti Selanjutnya
1. Peneliti selanjutnya memilih saham dari indeks–indeks lain atau sektor–
sektor lain dalam proses pembentukan portofolio optimum dengan menggunakan Model Markowitz ataupun Model Indeks Tunggal.
2. Peneliti selanjutnya mengambil data yang lebih dari satu tahun.
5.2.2 Bagi Investor dan Manajerial Investasi
1. Bagi Investor dapat mengalokasikan dananya pada instrument investasi saham dengan memilih indeks yang memiliki nilai kapitalisasi pasar besar seperti LQ45 dikarenakan saham-saham tersebut sangat liquid untuk dijual kembali.
2. Bagi investor dapat menggunakan model Markowitz jika ingin menentukan portofolio yang optimal berdasarkan preferensinya masing–
masing.
3. Bagi investor yang memilih portofolio optimal tanpa meilhat dari preferensi masing–masing dapat menggunakan Model Indeks Tunggal.
4. Manajer investasi dapat mempertimbangkan hasil penelitian ini sebagai bahan referensi dalam penggunaan metode pembentukan portofolio.
Bayumashudi, Agul (2006), Analisis Pembentukan Portofolio Optimum Menggunakan Model Pemilihan Portofolio Markowitz Terhadap Saham-saham LQ45 di BEJ, Jakarta: Fakultas Ekonomi Universitas Indonesia.
Bodie,Zvi. Kane, Alex. & Marcus, Alan J. (2005). Investments, 6th Edition. New York:
Mc Graw Hill.
Husnan, Suad. (2009). Dasar-dasar Teori Portofolio dan Analisis Sekuritas, Edisi keempat: Unit Penerbit dan Percetakan Sekolah Tinggi Ilmu Mmanajemen YKPN.
Jones, Charles P. (2007), Investment: Analysis and Management, 10th edition: John Wiley and Sons Inc.
Jogiyanto, Hartono. (2003). Teori Portofolio dan Analisis Investasi, Edisi Tiga.
Yogyakarta: BPFE Yogyakarta.
Markowitz, Harry. (1952, March). “Portfolio Selection”. The Journal of Finance, Vol. 7, No. 1. Hlm. 77-91.
Nafik HR, Muhamad. (2009). Bursa Efek dan Investasi Syariah. Jakarta: PT Serambi Ilmu Semesta.
Putro Adhianto, Hanur. (2010). Analisis Portofolio Optimum Menggunakan Model Markowitz Pada Saham Sektor Perbankan Tahun 2009. Jakarta, Skripsi, Sekolah Tinggi Ilmu Ekonomi Indonesia Banking School.
Ramadhan, Adam (2011), Analisis Optimisasi Portofolio Saham Syariah (studi kasus pada Jakarta Islamic Index periode 2005-2009), Jakarta : Manajemen Keuangan STIE Indonesia Banking School.
Sharpe, William F. (1963). A Simplified Model for Portfolio Analysis,Management Science 9: 227-293.
Sharpe, William F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19 (3), 425-442
Supranto, Johannes. (1998). Metode Riset, Aplikasinya Dalam Pemasaran. Jakarta: PT RINEKA CIPTA.
Sunariyah. 2011. Pengantar Pengetahuan Pasar Modal. Yogyakarta: Unit Penerbit dan Percetakan Sekolah Tinggi Ilmu Mmanajemen YKPN.
Tandelilin, Eduardus. (2010). Portofolio dan Investasi: Teori dan Aplikasi. Edisi Pertama. Yogyakarta: Kanisius.
Wulandari, Sri. (2010). Analisis Portofolio Saham Optimal di Bursa Efek Indonesia (Studi Komparatif Menggunakan Saham yang Terdaftar Pada Saham LQ45 dan Saham JI). Yogyakarta, Skripsi, Fakultas Ekonomi, Universitas Islam Indonesia Yogyakarta.
Zubir, Zalmi. (2011). Manajemen Portofolio: Penerapannya Dalam Investasi Saham.
Jakarta : Salemba Empat.
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5 Bank Central Asia Tbk. (BBCA) Bank Central Asia Tbk. (BBCA) Alam Sutra Realty Tbk. (ASRI)
6 Bank Negara Indonesia Tbk. (BBNI) Bank Negara Indonesia Tbk. (BBNI) Bank Central Asia Tbk. (BBCA) 7 Bank Rakyat Indonesia (Persero) Tbk. (BBRI) Bank Rakyat Indonesia (Persero) Tbk. (BBRI) Bank Negara Indonesia Tbk. (BBNI)
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31 PP London Sumatera Tbk. (LSIP) Lippo Karawaci Tbk. (LPKR) Jasa Marga Tbk. (JSMR)
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35 Bank Pan Indonesia Tbk. (PNBN) Perusahaan Gas Negara (Persero) Tbk. (PGAS) Medco Energy Internasional Tbk. (MEDC) 36 Tambang Batubara Bukit Asam Tbk. (PTBA) Tambang Batubara Bukit Asam Tbk. (PTBA) Perusahaan Gas Negara (Persero) Tbk. (PGAS)
37 Sampoerna Argo Tbk. (SGRO) Sampoerna Argo Tbk. (SGRO) Tambang Batubara Bukit Asam Tbk. (PTBA)
38 Holcim Indonesia Tbk. (SMCB) Holcim Indonesia Tbk. (SMCB) Holcim Indonesia Tbk. (SMCB)
39 Semen Gresik (Persero) Tbk. (SMGR) Semen Gresik (Persero) Tbk. (SMGR) Semen Gresik (Persero) Tbk. (SMGR)
40 Timah Tbk. (TINS) Timah Tbk. (TINS) Timah Tbk. (TINS)
41 Telekomunikasi Indonesia Tbk. (TLKM) Telekomunikasi Indonesia Tbk. (TLKM) Telekomunikasi Indonesia Tbk. (TLKM) 42 Truba Alam Manunggal Engineering Tbk. (TRUB) Truba Alam Manunggal Engineering Tbk. (TRUB) Truba Alam Manunggal Engineering Tbk. (TRUB) 43 Bakrie Sumatera Plantations Tbk. (UNSP) Bakrie Sumatera Plantations Tbk. (UNSP) Bakrie Sumatera Plantations Tbk. (UNSP)
44 United Tractors Tbk. (UNTR) United Tractors Tbk. (UNTR) United Tractors Tbk. (UNTR)
45 Unilever Indonesia Tbk. (UNVR) Unilever Indonesia Tbk. (UNVR) Unilever Indonesia Tbk. (UNVR)
an 1. Daftar LQ45 Tahun 2010
12/30/2009 22750 1730 2200 34700 4850 1980 7650 4550 4700 85 1330 147 2425 136 355 193 193 21550 3650
1/29/2010 23850 1890 2125 35950 5000 1930 7650 4850 4675 84 1230 147 2475 121 325 260 174 24000 3575
2/25/2010 24200 1830 2075 36250 4875 1910 7150 4975 4475 77 1210 141 2250 108 320 220 160 26050 3775
3/31/2010 24600 1960 2400 41900 5500 2275 8250 5200 5350 73 1310 141 2250 105 470 240 147 24750 4725
4/30/2010 22200 2200 2450 47150 5450 2600 8950 5800 5800 70 1260 139 2375 105 520 235 148 27600 5000
5/31/2010 19850 2000 2025 43150 5550 2500 8600 5150 5350 61 1040 147 2025 82 445 141 130 33700 3950
6/30/2010 19350 1990 1940 48300 5950 2350 9300 5400 6000 57 1030 170 1880 77 395 144 128 34200 3750
7/30/2010 19500 2000 2100 50700 5950 3025 9900 5350 6000 50 1060 154 1720 64 340 133 102 35000 4125
8/31/2010 19650 1900 2075 47600 5800 3475 9300 5350 5900 50 1070 163 1660 62 290 112 90 39400 4275
9/30/2010 20700 2025 2375 56700 6700 3675 10000 5800 7200 54 1260 235 2125 75 340 154 114 51600 4875
10/29/2010 24900 2100 2550 57000 7000 3900 11400 6700 7000 54 1270 240 2225 77 335 158 118 47700 4750
11/30/2010 24150 2325 2325 51900 6050 4050 10500 6500 6400 69 1180 235 2650 72 310 160 123 40700 4475
12/30/2010 26200 2550 2450 54550 6400 3875 10500 5700 6500 65 1170 235 3025 71 325 157 124 40000 4875
12/30/2009 3550 2225 13700 4725 31800 1810 1300 510 8350 2450 3900 17250 1550 7550 2000 9450 126 580 15500 11050
1/29/2010 3600 2425 13500 5600 31400 1800 1540 530 8500 2400 3775 17200 1630 8000 2225 9350 123 580 16850 11300
2/25/2010 3800 2225 13700 5100 31600 1780 1560 500 9000 2475 3625 15600 1770 7600 2150 8300 115 510 17150 11500
3/31/2010 3775 2325 14250 5500 38050 1790 1870 600 9800 2600 4250 17400 2075 7300 2375 8050 113 495 18350 12150
4/30/2010 3900 3075 15800 5900 39050 2075 2075 580 9700 2950 4100 18600 2350 8200 2700 7850 128 500 19500 13850
5/31/2010 3650 2850 15000 5150 36000 1970 1880 425 8300 2850 3900 17450 2100 8450 2225 7750 101 385 18350 15600
6/30/2010 4150 2850 15800 4950 37150 2025 2100 500 8300 2950 3875 17250 2175 8750 2150 7700 100 370 18750 17000
7/30/2010 4625 3300 16900 4850 37500 2675 2450 485 8850 3000 4050 16700 2375 9250 2475 8450 86 305 20150 16950
8/31/2010 4550 3200 17650 4400 39200 2925 2325 500 9350 3075 4000 17500 2300 8700 2375 8650 72 275 18400 16100
9/30/2010 5450 3325 18400 5500 41600 3200 2550 560 9850 3325 3850 19450 2425 9900 3150 9200 81 340 20450 16850
10/29/2010 5200 3650 18300 6000 45200 3750 2675 620 11700 4075 4050 19650 2325 9800 2850 9100 83 385 22200 17450
11/30/2010 4575 3900 16600 5400 49050 3475 3500 680 11350 3350 4300 18700 2300 9200 2625 7950 78 370 23000 15000
12/30/2010 4875 4725 15950 5400 50750 3425 3250 680 12850 3375 4425 22950 2250 9450 2750 7950 79 390 23800 16500
Bakrie Sumatera Plantations Tbk. (UNSP)
United Tractors Tbk. (UNTR)
Unilever Indonesia Tbk.
(UNVR) Tanggal
Tambang Batubara Bukit Asam
Tbk.
Holcim Indonesia
Tbk.
(SMCB) Semen Gresik (Persero)
Tbk.
Timah Tbk.
(TINS)
Telekomunika si Indonesia Tbk. (TLKM)
Truba Alam Manunggal Engineering Tbk. (TRUB) Jasa Marga
Tbk. (JSMR)
Kalbe Farma Tbk.
(KLBF)
Lippo Karawaci Tbk. (LPKR)
PP London Sumatera Tbk.
(LSIP)
Medco Energy Internasional Tbk. (MEDC)
Perusahaan Gas Negara (Persero) Tbk.
(PGAS) Indofood
Sukses Makmur Tbk.
(INDF)
Indika Energy Tbk. (INDY)
Indocement Tunggal Prakasa Tbk.
(INTP)
Indosat Tbk.
(ISAT) Indo Tambangraya
Megah Tbk.
(ITMG)
an 2. Harga Saham LQ45 Tahun 2010 (dalam Rupiah)
1/29/2010 0.048351648 0.092486 -0.034090909 0.036023 0.030927835 -0.02525253 0 0.065934066 -0.005319149 -0.011764706 -0.07518797 0 0.0206186 -0.110294118 -0.08451 0.347150259 -0.098445596 0.113689095 2/25/2010 0.014675052 -0.03175 -0.023529412 0.008345 -0.025 -0.01036269 -0.06535948 0.025773196 -0.042780749 -0.083333333 -0.01626016 -0.040816327 -0.090909 -0.107438017 -0.01538 -0.153846154 -0.08045977 0.085416667 3/31/2010 0.016528926 0.071038 0.156626506 0.155862 0.128205128 0.191099476 0.153846154 0.045226131 0.195530726 -0.051948052 0.082644628 0 0 -0.027777778 0.46875 0.090909091 -0.08125 -0.04990403 4/30/2010 -0.09756098 0.122449 0.020833333 0.125298 -0.009090909 0.142857143 0.084848485 0.115384615 0.08411215 -0.04109589 -0.03816794 -0.014184397 0.0555556 0 0.106383 -0.020833333 0.006802721 0.115151515 5/31/2010 -0.10585586 -0.09091 -0.173469388 -0.08484 0.018348624 -0.03846154 -0.03910615 -0.112068966 -0.077586207 -0.128571429 -0.17460317 0.057553957 -0.147368 -0.219047619 -0.14423 -0.4 -0.121621622 0.221014493 6/30/2010 -0.02518892 -0.005 -0.041975309 0.119351 0.072072072 -0.06 0.081395349 0.048543689 0.121495327 -0.06557377 -0.00961538 0.156462585 -0.071605 -0.06097561 -0.11236 0.021276596 -0.015384615 0.014836795 7/30/2010 0.007751938 0.005025 0.082474227 0.049689 0 0.287234043 0.064516129 -0.009259259 0 -0.122807018 0.029126214 -0.094117647 -0.085106 -0.168831169 -0.13924 -0.076388889 -0.203125 0.023391813 8/31/2010 0.007692308 -0.05 -0.011904762 -0.06114 -0.025210084 0.148760331 -0.06060606 0 -0.016666667 0 0.009433962 0.058441558 -0.034884 -0.03125 -0.14706 -0.157894737 -0.117647059 0.125714286 9/30/2010 0.053435115 0.065789 0.144578313 0.191176 0.155172414 0.057553957 0.075268817 0.08411215 0.220338983 0.08 0.177570093 0.441717791 0.2801205 0.209677419 0.172414 0.375 0.266666667 0.30964467 10/29/2010 0.202898551 0.037037 0.073684211 0.005291 0.044776119 0.06122449 0.14 0.155172414 -0.027777778 0 0.007936508 0.021276596 0.0470588 0.026666667 -0.01471 0.025974026 0.035087719 -0.0755814 11/30/2010 -0.03012048 0.107143 -0.088235294 -0.08947 -0.135714286 0.038461538 -0.07894737 -0.029850746 -0.085714286 0.277777778 -0.07086614 -0.020833333 0.1910112 -0.064935065 -0.07463 0.012658228 0.042372881 -0.14675052 12/30/2010 0.084886128 0.096774 0.053763441 0.05106 0.05785124 -0.04320988 0 -0.123076923 0.015625 -0.057971014 -0.00847458 0 0.1415094 -0.013888889 0.048387 -0.01875 0.008130081 -0.01719902
1/29/2010 0.014084507 0.089888 -0.01459854 0.185185 -0.012578616 -0.00552486 0.184615385 0.039215686 0.017964072 -0.020408163 -0.03205128 -0.002898551 0.0516129 0.059602649 0.1125 -0.010582011 -0.023809524 0 0.087097 0.022624 2/25/2010 0.055555556 -0.08247 0.014814815 -0.08929 0.006369427 -0.01111111 0.012987013 -0.056603774 0.058823529 0.03125 -0.0397351 -0.093023256 0.0858896 -0.05 -0.03371 -0.112299465 -0.06504065 -0.12068966 0.017804 0.017699 3/31/2010 -0.00657895 0.044944 0.040145985 0.078431 0.204113924 0.005617978 0.198717949 0.2 0.088888889 0.050505051 0.172413793 0.115384615 0.1723164 -0.039473684 0.104651 -0.030120482 -0.017391304 -0.02941176 0.069971 0.056522 4/30/2010 0.033112583 0.322581 0.10877193 0.072727 0.026281209 0.159217877 0.109625668 -0.033333333 -0.010204082 0.134615385 -0.03529412 0.068965517 0.1325301 0.123287671 0.136842 -0.02484472 0.132743363 0.01010101 0.06267 0.139918 5/31/2010 -0.06410256 -0.07317 -0.050632911 -0.12712 -0.078104994 -0.05060241 -0.0939759 -0.267241379 -0.144329897 -0.033898305 -0.04878049 -0.061827957 -0.106383 0.030487805 -0.17593 -0.012738854 -0.2109375 -0.23 -0.05897 0.126354 6/30/2010 0.136986301 0 0.053333333 -0.03883 0.031944444 0.027918782 0.117021277 0.176470588 0 0.035087719 -0.00641026 -0.011461318 0.0357143 0.035502959 -0.03371 -0.006451613 -0.00990099 -0.03896104 0.021798 0.089744 7/30/2010 0.114457831 0.157895 0.069620253 -0.0202 0.009421265 0.320987654 0.166666667 -0.03 0.06626506 0.016949153 0.04516129 -0.031884058 0.091954 0.057142857 0.151163 0.097402597 -0.14 -0.17567568 0.074667 -0.00294 8/31/2010 -0.01621622 -0.0303 0.044378698 -0.09278 0.045333333 0.093457944 -0.05102041 0.030927835 0.056497175 0.025 -0.01234568 0.047904192 -0.031579 -0.059459459 -0.0404 0.023668639 -0.162790698 -0.09836066 -0.08685 -0.05015 9/30/2010 0.197802198 0.039063 0.042492918 0.25 0.06122449 0.094017094 0.096774194 0.12 0.053475936 0.081300813 -0.0375 0.111428571 0.0543478 0.137931034 0.326316 0.063583815 0.125 0.236363636 0.111413 0.046584 10/29/2010 -0.04587156 0.097744 -0.005434783 0.090909 0.086538462 0.171875 0.049019608 0.107142857 0.187817259 0.22556391 0.051948052 0.010282776 -0.041237 -0.01010101 -0.09524 -0.010869565 0.024691358 0.132352941 0.085575 0.035608 11/30/2010 -0.12019231 0.068493 -0.092896175 -0.1 0.085176991 -0.07333333 0.308411215 0.096774194 -0.02991453 -0.17791411 0.061728395 -0.048346056 -0.010753 -0.06122449 -0.07895 -0.126373626 -0.060240964 -0.03896104 0.036036 -0.1404 12/30/2010 0.06557377 0.211538 -0.039156627 0 0.034658512 -0.01438849 -0.07142857 0 0.13215859 0.007462687 0.029069767 0.227272727 -0.021739 0.027173913 0.047619 0 0.012820513 0.054054054 0.034783 0.1
(ADRO) (ANTM) (ASII) Tbk. (BBRI) (BDMN) (BRPT)
-0.21 -0.050632911
0.1 0.036363636 (BUMI)
PP London Sumatera Tbk. (LSIP)
Medco Energy Internasional Tbk. (MEDC)
Perusahaan Gas Negara (Persero)
Tbk.
Indofood Sukses Makmur Tbk. (INDF)
Indika Energy Tbk.
(INDY)
Indocement Tunggal Prakasa Tbk.
(INTP)
Indosat Tbk.
(ISAT) Indo Tambangraya
Megah Tbk.
(ITMG) Tanggal
-0.020547945 0.055944056 0.251655629 0.058201058
Tambang Batubara Bukit Asam Tbk. (PTBA)
Holcim Indonesia
Tbk.
(SMCB)
Semen Gresik (Persero) Tbk.
(SMGR) Timah
Tbk.
(TINS)
Telekomunika si Indonesia
Tbk.
(TLKM)
Truba Alam Manunggal Engineering Tbk.
(TRUB) Jasa Marga
Tbk. (JSMR)
Kalbe Farma Tbk.
(KLBF)
Lippo Karawaci Tbk. (LPKR)
0.140350877 -0.025641026 -0.057894737 0.089385475 Bakrie
Sumatera Plantations Tbk. (UNSP)
United Tractors
Tbk.
(UNTR) Unilever Indonesia Tbk.
(UNVR)
an 3. Return Individual Saham LQ45 Tahun 2010
ASII 1 0.772 0.197 0.740 0.481 0.936 -0.191 0.719 0.466 0.308 0.590 0.677 0.619 0.431 0.218 0.688 0.747 0.355 0.655 0.708 0.404 0.283 0.233 0.522 0.306 0.484 0.155 0.520 0.715 0.605 0.793 0.382 0.739 0.554 0.656 0.481
BBCA 1 -0.018 0.687 0.251 0.806 -0.382 0.611 0.599 0.144 0.493 0.583 0.454 0.351 0.378 0.465 0.611 -0.016 0.364 0.653 0.279 0.114 -0.173 0.341 0.319 0.526 0.137 0.550 0.265 0.456 0.525 0.535 0.418 0.497 0.396 0.587
BBNI 1 0.370 0.238 0.217 -0.080 0.418 -0.246 -0.067 0.037 0.269 -0.010 -0.281 -0.113 0.567 0.052 0.323 0.561 0.086 0.404 0.729 0.309 0.146 0.251 0.213 0.461 0.079 0.507 0.018 0.391 0.427 -0.066 -0.132 0.175 -0.224
BBRI 1 0.610 0.688 -0.248 0.528 0.190 0.095 0.405 0.588 0.394 0.218 -0.123 0.473 0.340 0.387 0.538 0.595 0.528 0.495 0.235 0.516 0.454 0.715 0.462 0.370 0.477 0.383 0.417 0.416 0.541 0.464 0.626 0.447
BDMN 1 0.409 0.125 0.430 0.219 0.174 0.504 0.284 0.537 0.337 0.011 0.269 0.188 0.198 0.534 0.618 0.361 0.429 0.370 0.525 0.373 0.682 0.026 -0.068 0.456 0.255 0.344 0.055 0.615 0.542 0.565 0.034
BMRI 1 -0.070 0.768 0.613 0.342 0.655 0.730 0.581 0.480 0.265 0.676 0.651 0.164 0.591 0.641 0.522 0.158 0.211 0.594 0.215 0.385 0.232 0.555 0.612 0.475 0.726 0.382 0.628 0.539 0.477 0.376
BNBR 1 0.121 0.223 0.735 0.421 0.037 0.395 0.559 -0.295 -0.040 -0.330 0.033 -0.445 0.107 0.367 -0.296 0.555 0.430 -0.024 -0.409 0.160 -0.004 -0.130 -0.198 0.032 -0.407 0.254 0.421 0.182 -0.702
BRPT 1 0.545 0.491 0.777 0.579 0.587 0.513 0.121 0.819 0.638 0.092 0.490 0.582 0.615 0.393 0.187 0.657 0.609 0.413 0.307 0.495 0.498 0.221 0.734 0.431 0.518 0.632 0.514 -0.072
BTEL 1 0.495 0.716 0.192 0.464 0.773 0.609 0.084 0.545 -0.245 0.137 0.495 0.050 -0.071 -0.102 0.287 -0.061 0.183 -0.311 0.274 -0.103 0.475 0.434 0.347 0.416 0.606 0.167 0.163
BUMI 1 0.797 0.364 0.664 0.848 -0.026 0.326 0.142 0.381 -0.194 0.554 0.392 -0.097 0.318 0.456 0.280 -0.035 0.104 0.546 0.042 0.284 0.508 -0.014 0.677 0.822 0.519 -0.236
DEWA 1 0.508 0.645 0.879 0.192 0.500 0.411 0.225 0.252 0.668 0.497 0.128 0.075 0.591 0.470 0.449 0.039 0.597 0.187 0.342 0.580 0.192 0.786 0.921 0.464 0.025
ELSA 1 0.399 0.349 -0.066 0.758 0.134 0.207 0.251 0.500 0.759 -0.087 0.242 0.471 0.327 0.298 0.576 0.574 0.636 0.085 0.489 -0.059 0.547 0.443 0.470 0.255
ELTY 1 0.565 0.066 0.460 0.414 0.272 0.135 0.882 0.385 0.057 0.541 0.678 0.358 0.141 0.110 0.369 0.416 0.417 0.727 0.192 0.686 0.768 0.778 -0.111
ENRG 1 0.209 0.164 0.310 0.132 -0.058 0.548 0.273 -0.128 0.112 0.412 0.169 0.212 -0.125 0.395 -0.028 0.394 0.405 -0.022 0.752 0.865 0.447 0.041
GGRM 1 -0.081 0.457 -0.227 0.305 0.294 -0.517 0.056 -0.443 -0.426 -0.387 0.157 -0.719 0.018 -0.069 0.594 0.376 0.434 0.044 0.057 -0.142 0.402
INCO 1 0.443 0.303 0.506 0.461 0.693 0.308 0.248 0.539 0.608 0.289 0.516 0.587 0.764 0.075 0.717 0.246 0.439 0.376 0.482 -0.011
INDF 1 0.115 0.598 0.442 -0.083 0.387 -0.070 0.224 0.219 0.316 -0.270 0.293 0.396 0.628 0.708 0.590 0.414 0.336 0.387 0.359
INDY 1 0.300 0.367 0.120 0.444 0.233 0.093 0.270 0.270 0.137 0.504 0.337 0.506 0.436 0.221 0.569 0.337 0.505 0.254
INTP 1 0.298 0.127 0.678 0.014 0.194 0.182 0.602 -0.079 0.154 0.652 0.446 0.540 0.495 0.339 0.077 0.193 0.368
ISAT 1 0.283 0.242 0.283 0.447 0.372 0.468 0.022 0.452 0.399 0.628 0.770 0.387 0.735 0.787 0.792 0.230
ITMG 1 0.016 0.470 0.807 0.544 0.184 0.840 0.423 0.474 -0.326 0.240 -0.133 0.369 0.429 0.373 -0.261
JSMR 1 0.057 0.049 0.391 0.570 0.040 0.021 0.282 0.382 0.401 0.687 0.122 0.079 0.323 0.058
KLBF 1 0.570 -0.025 -0.297 0.457 -0.187 0.530 0.005 0.320 -0.206 0.265 0.149 0.587 -0.482
LPKR 1 0.536 0.174 0.556 0.334 0.417 -0.115 0.346 -0.002 0.506 0.597 0.494 -0.289
LSIP 1 0.561 0.438 0.471 0.214 -0.155 0.255 0.200 0.365 0.539 0.440 -0.100
MEDC 1 -0.022 0.267 0.209 0.330 0.225 0.365 0.492 0.461 0.326 0.519
PGAS 1 0.283 0.335 -0.447 0.012 -0.083 -0.002 0.055 0.273 -0.254
PTBA 1 0.155 0.280 0.486 0.342 0.515 0.578 0.239 0.334
SMCB 1 0.216 0.649 0.019 0.455 0.114 0.551 0.106
SMGR 1 0.672 0.570 0.554 0.391 0.485 0.577
TINS 1 0.521 0.607 0.525 0.673 0.131
TLKM 1 0.006 0.145 0.160 0.276
TRUB 1 0.848 0.719 0.311
UNSP 1 0.646 0.074
UNTR 1 0.069
UNVR 1
an 4. Tabel Korelasi Saham LQ45
0.00% 0.00% 0.00% 11.87% 0.47% 0.00% 0.00% 0.00% 0.00% 87.66% 0.00% 0.00% 0.00% 0.00% 100% 10.09% 8.25%
0.00% 0.00% 0.00% 18.29% 6.11% 0.00% 0.00% 0.00% 0.00% 75.60% 0.00% 0.00% 0.00% 0.00% 100% 8.59% 8.00%
0.00% 0.00% 0.00% 24.71% 11.75% 0.00% 0.00% 0.00% 0.00% 63.53% 0.00% 0.00% 0.00% 0.00% 100% 7.28% 7.75%
0.00% 0.00% 0.00% 31.14% 17.39% 0.00% 0.00% 0.00% 0.00% 51.47% 0.00% 0.00% 0.00% 0.00% 100% 6.28% 7.50%
0.00% 0.00% 0.00% 33.60% 18.45% 0.00% 0.00% 0.00% 0.00% 44.22% 3.73% 0.00% 0.00% 0.00% 100% 5.68% 7.25%
0.00% 0.00% 0.00% 33.08% 16.07% 0.00% 0.00% 0.00% 0.00% 40.59% 10.25% 0.00% 0.00% 0.00% 100% 5.17% 7.00%
0.00% 0.00% 0.00% 32.42% 13.62% 0.00% 0.00% 0.00% 0.00% 37.10% 16.48% 0.00% 0.00% 0.38% 100% 4.72% 6.75%
0.00% 0.00% 0.00% 29.73% 10.34% 0.00% 0.00% 0.00% 0.00% 35.37% 18.87% 0.00% 0.00% 5.69% 100% 4.33% 6.50%
0.00% 0.68% 0.00% 26.89% 6.92% 0.00% 0.00% 0.00% 0.00% 33.48% 20.93% 0.00% 0.00% 11.10% 100% 3.98% 6.25%
0.00% 1.58% 0.00% 24.00% 3.44% 0.00% 0.00% 0.00% 0.00% 31.53% 22.89% 0.00% 0.00% 16.55% 100% 3.68% 6.00%
0.00% 2.21% 0.00% 21.37% 0.39% 0.00% 0.00% 1.30% 0.00% 29.23% 24.14% 0.00% 0.00% 21.36% 100% 3.45% 5.75%
0.00% 1.42% 0.00% 20.44% 0.00% 0.00% 0.00% 4.92% 0.00% 25.90% 23.02% 1.92% 0.00% 22.38% 100% 3.28% 5.50%
0.00% 0.70% 0.49% 20.87% 0.00% 0.00% 0.00% 1.49% 0.00% 24.68% 22.71% 7.55% 0.00% 21.52% 100% 3.14% 5.25%
0.00% 0.79% 2.07% 20.44% 0.00% 0.00% 0.00% 0.00% 0.00% 22.93% 21.88% 10.09% 0.00% 21.80% 100% 3.01% 5.00%
0.00% 0.90% 3.73% 19.88% 0.00% 0.00% 0.00% 0.00% 0.00% 20.83% 20.58% 11.90% 0.00% 22.18% 100% 2.88% 4.75%
0.00% 1.00% 5.38% 19.32% 0.00% 0.00% 0.00% 0.00% 0.00% 18.73% 19.29% 13.70% 0.00% 22.56% 100% 2.76% 4.50%
0.00% 1.11% 7.04% 18.76% 0.00% 0.00% 0.00% 0.00% 0.00% 16.64% 18.00% 15.51% 0.00% 22.94% 100% 2.65% 4.25%
0.00% 1.21% 8.70% 18.20% 0.00% 0.00% 0.00% 0.00% 0.00% 14.54% 16.71% 17.32% 0.00% 23.32% 100% 2.55% 4.00%
0.00% 0.00% 10.07% 17.88% 0.00% 0.00% 0.00% 0.00% 1.39% 12.60% 14.87% 20.15% 0.00% 23.03% 100% 2.46% 3.75%
0.00% 0.00% 11.79% 17.21% 0.00% 0.00% 0.00% 0.00% 2.16% 10.41% 13.05% 22.09% 0.00% 23.30% 100% 2.38% 3.50%
1.28% 0.00% 13.22% 16.49% 0.00% 0.00% 0.00% 0.00% 2.93% 8.46% 10.22% 23.80% 0.00% 23.60% 100% 2.31% 3.25%
3.14% 0.00% 14.50% 15.76% 0.00% 0.00% 0.00% 0.00% 3.71% 6.61% 6.91% 25.48% 0.00% 23.89% 100% 2.26% 3.00%
5.35% 0.00% 15.38% 14.95% 0.00% 1.33% 0.00% 0.00% 3.99% 5.10% 3.55% 26.61% 0.00% 23.75% 100% 2.21% 2.75%
8.06% 0.00% 15.68% 14.00% 0.00% 4.60% 0.00% 0.00% 3.51% 4.07% 0.15% 26.90% 0.00% 23.03% 100% 2.17% 2.50%
7.94% 0.00% 16.73% 13.12% 0.00% 7.76% 0.00% 0.00% 2.65% 2.44% 0.00% 27.08% 0.00% 22.28% 100% 2.13% 2.25%
7.74% 0.00% 17.86% 12.17% 0.00% 10.96% 0.00% 0.00% 1.77% 0.80% 0.00% 27.05% 0.00% 21.66% 100% 2.11% 2.00%
7.85% 0.00% 18.49% 10.98% 0.00% 14.35% 0.00% 0.00% 0.14% 0.00% 0.00% 26.21% 1.09% 20.90% 100% 2.10% 1.75%
6.83% 0.00% 19.77% 8.66% 0.00% 14.36% 0.00% 0.00% 0.00% 0.00% 0.00% 23.56% 5.36% 21.45% 100% 2.11% 1.50%
5.71% 0.00% 21.09% 6.31% 0.00% 14.10% 0.00% 0.00% 0.00% 0.00% 0.00% 20.96% 9.80% 22.03% 100% 2.13% 1.25%
4.59% 0.00% 22.42% 3.95% 0.00% 13.84% 0.00% 0.00% 0.00% 0.00% 0.00% 18.35% 14.23% 22.62% 100% 2.18% 1.00%
3.46% 0.00% 23.74% 1.60% 0.00% 13.58% 0.00% 0.00% 0.00% 0.00% 0.00% 15.74% 18.67% 23.21% 100% 2.26% 0.75%
2.11% 0.00% 24.96% 0.00% 0.00% 12.65% 0.00% 0.00% 0.00% 0.00% 0.00% 13.85% 23.63% 22.81% 100% 2.35% 0.50%
1.22% 0.00% 25.43% 0.00% 0.00% 11.53% 0.00% 0.00% 0.00% 0.00% 0.00% 13.67% 26.54% 21.60% 100% 2.40% 0.38%
0.26% 0.00% 25.95% 0.00% 0.00% 10.32% 0.00% 0.00% 0.00% 0.00% 0.00% 13.48% 29.69% 20.30% 100% 2.48% 0.25%
an 5. Hasil Perhitungan Program Solver
2/25/2010 0.014675 1.347E-08 -0.03175 0.004456 -0.02353 0.0013512 0.008345 0.0011475 -0.025 0.0026039 -0.01036 0.00530781 -0.06536 0.0090277 0.025773 1.307E-05 -0.04278 0.005558 -0.08333 0.0043859 -0.01626 8.199E-05 -0.04082 0.0077337 -0.09091 0.0135511 -0.10744 0.0036116 -0.01538 0.0004286 -0.15385 0.0248432 -0.08046 0.0025557 0.085417 0.0006484 0.055944 0.00064239 3/31/2010 0.016529 3.02E-06 0.071038 0.0012982 0.156627 0.0205627 0.155862 0.0129145 0.128205 0.0104401 0.191099 0.01653988 0.153846 0.0154235 0.045226 0.0005322 0.195531 0.0268171 -0.05195 0.0012139 0.082645 0.008073 0 0.0022208 0 0.0006503 -0.02778 0.0003827 0.46875 0.2147689 0.090909 0.007593 -0.08125 0.0026362 -0.0499 0.0120684 0.251656 0.04886618 4/30/2010 -0.09756 0.012623 0.122449 0.0076461 0.020833 5.782E-05 0.125298 0.006902 -0.00909 0.0012334 0.142857 0.00645855 0.084848 0.0030464 0.115385 0.0086913 0.084112 0.0027395 -0.0411 0.0005755 -0.03817 0.0009587 -0.01418 0.0037589 0.055556 0.0009033 0 0.0022412 0.106383 0.0102141 -0.02083 0.0006054 0.006803 0.0013475 0.115152 0.003047 0.058201 0.00076189 5/31/2010 -0.10586 0.0145557 -0.09091 0.0158549 -0.17347 0.0348565 -0.08484 0.0161432 0.018349 5.898E-05 -0.03846 0.01019162 -0.03911 0.004728 -0.11207 0.0180168 -0.07759 0.0119591 -0.12857 0.0124243 -0.1746 0.028022 0.057554 0.0001088 -0.14737 0.0298835 -0.21905 0.0294831 -0.14423 0.0223649 -0.4 0.1630312 -0.12162 0.0084117 0.221014 0.0259411 -0.21 0.05788772 6/30/2010 -0.02519 0.0015984 -0.005 0.0016006 -0.04198 0.0030476 0.119351 0.0059492 0.072072 0.00212 -0.06 0.0150043 0.081395 0.0026771 0.048544 0.0006962 0.121495 0.0080504 -0.06557 0.002349 -0.00962 5.808E-06 0.156463 0.0119547 -0.0716 0.0094294 -0.06098 0.0001859 -0.11236 0.0138481 0.021277 0.0003064 -0.01538 0.0002109 0.014837 0.0020354 -0.05063 0.00659857 7/30/2010 0.007752 4.955E-05 0.005025 0.0008989 0.082474 0.0047948 0.049689 5.579E-05 0 0.0006775 0.287234 0.05050897 0.064516 0.0012153 -0.00926 0.000987 0 0.0010094 -0.12281 0.0111724 0.029126 0.00132 -0.09412 0.0199495 -0.08511 0.0122338 -0.16883 0.0147598 -0.13924 0.0208973 -0.07639 0.0064256 -0.20313 0.0300048 0.023392 0.0013366 0.1 0.00481654 8/31/2010 0.007692 5.039E-05 -0.05 0.0072262 -0.0119 0.0006317 -0.06114 0.0106842 -0.02521 0.0026254 0.14876 0.00744222 -0.06061 0.008147 0 0.000491 -0.01667 0.0023463 0 0.0002927 0.009434 0.0002769 0.058442 0.0001281 -0.03488 0.0036462 -0.03125 0.0002589 -0.14706 0.0232188 -0.15789 0.0261359 -0.11765 0.0076985 0.125714 0.0043247 0.036364 3.3235E-05 9/30/2010 0.053435 0.0014934 0.065789 0.0009475 0.144578 0.0172525 0.191176 0.022188 0.155172 0.0166782 0.057554 2.4385E-05 0.075269 0.0020807 0.084112 0.0038384 0.220339 0.0355577 0.08 0.0094298 0.17757 0.034142 0.441718 0.1557034 0.28012 0.0648315 0.209677 0.0660586 0.172414 0.0279209 0.375 0.1378108 0.266667 0.0879554 0.309645 0.0623464 0.140351 0.01204555 10/29/2010 0.202899 0.0353844 0.037037 4.12E-06 0.073684 0.0036548 0.005291 0.0013638 0.044776 0.0003515 0.061224 1.6067E-06 0.14 0.0121761 0.155172 0.017693 -0.02778 0.0035461 0 0.0002927 0.007937 0.0002293 0.021277 0.0006681 0.047059 0.0004648 0.026667 0.0054772 -0.01471 0.000401 0.025974 0.000493 0.035088 0.0042242 -0.07558 0.0183693 -0.02564 0.0031629 11/30/2010 -0.03012 0.0020171 0.107143 0.0052036 -0.08824 0.0102951 -0.08947 0.0173433 -0.13571 0.0261606 0.038462 0.00057746 -0.07895 0.0117944 -0.02985 0.0027049 -0.08571 0.0138029 0.277778 0.0869572 -0.07087 0.0040527 -0.02083 0.0046183 0.191011 0.0273939 -0.06494 0.0003095 -0.07463 0.0063912 0.012658 7.898E-05 0.042373 0.0052243 -0.14675 0.0427259 -0.05789 0.00783108 12/30/2010 0.084886 0.0049133 0.096774 0.0038152 0.053763 0.001643 0.05106 7.814E-05 0.057851 0.0010127 -0.04321 0.01117289 0 0.0008794 -0.12308 0.021093 0.015625 0.0002607 -0.05797 0.0016698 -0.00847 1.611E-06 0 0.0022208 0.141509 0.0134582 -0.01389 0.0011191 0.048387 0.0018549 -0.01875 0.0005072 0.00813 0.0014468 -0.0172 0.0059523 0.089385 0.00345589
Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 Rij (Rij-E(Ri))2 1/29/2010 0.014085 0.0002657 0.089888 0.0003752 -0.0146 0.0008315 0.185185 0.0281455 -0.01258 0.002946 -0.00552 0.00427313 0.184615 0.0098005 0.039216 5.285E-05 0.017964 0.0004762 -0.02041 0.002673 -0.03205 0.0019715 -0.0029 0.0009332 0.051613 0.0002966 0.059603 0.0014974 0.1125 0.0059913 -0.01058 3.56E-06 -0.02381 8.272E-05 0 0.0006216 0.087097 0.00241057 0.022624 0.0002009 2/25/2010 0.055556 0.0006336 -0.08247 0.0234061 0.014815 3.344E-07 -0.08929 0.0113859 0.006369 0.0012481 -0.01111 0.00503468 0.012987 0.0052752 -0.0566 0.0078411 0.058824 0.0003624 0.03125 1.836E-09 -0.03974 0.0027129 -0.09302 0.014562 0.08589 0.0026523 -0.05 0.0050276 -0.03371 0.0047341 -0.1123 0.0099662 -0.06504 0.0010327 -0.12069 0.0091695 0.017804 0.00040784 0.017699 0.0003647 3/31/2010 -0.00658 0.0013663 0.044944 0.000654 0.040146 0.0006713 0.078431 0.0037225 0.204114 0.0263789 0.005618 0.0029405 0.198718 0.0127916 0.2 0.0282421 0.088889 0.002411 0.050505 0.0003691 0.172414 0.0256203 0.115385 0.0076974 0.172316 0.0190238 -0.03947 0.0036457 0.104651 0.0048378 -0.03012 0.0003116 -0.01739 0.0002407 -0.02941 2.007E-05 0.069971 0.00102219 0.056522 0.0003891 4/30/2010 0.033113 7.444E-06 0.322581 0.0635364 0.108772 0.0089369 0.072727 0.003059 0.026281 0.0002377 0.159218 0.0098751 0.109626 0.0005764 -0.03333 0.0042614 -0.0102 0.0024991 0.134615 0.0106755 -0.03529 0.00227 0.068966 0.001707 0.13253 0.0096316 0.123288 0.010482 0.136842 0.0103521 -0.02484 0.0001532 0.132743 0.0274393 0.010101 0.0012273 0.06267 0.00060866 0.139918 0.0106339 5/31/2010 -0.0641 0.0089278 -0.07317 0.020646 -0.05063 0.0042081 -0.12712 0.0208911 -0.0781 0.0143528 -0.0506 0.01219849 -0.09398 0.0322539 -0.26724 0.0895131 -0.14433 0.033899 -0.0339 0.0042499 -0.04878 0.003737 -0.06183 0.0080063 -0.10638 0.0198169 0.030488 9.181E-05 -0.17593 0.0445305 -0.01274 7.294E-08 -0.21094 0.0316957 -0.23 0.0420527 -0.05897 0.00940387 0.126354 0.0080204 6/30/2010 0.136986 0.011364 0 0.0049726 0.053333 0.0015286 -0.03883 0.0031645 0.031944 9.514E-05 0.027919 0.00101924 0.117021 0.0009862 0.176471 0.0208873 0 0.001583 0.035088 1.44E-05 -0.00641 0.000352 -0.01146 0.0015297 0.035714 1.755E-06 0.035503 0.0002131 -0.03371 0.0047341 -0.00645 3.621E-05 -0.0099 0.0005292 -0.03896 0.0001968 0.021798 0.00026247 0.089744 0.0028034 7/30/2010 0.114458 0.0070684 0.157895 0.007635 0.06962 0.0030674 -0.0202 0.0014153 0.009421 0.0010418 0.320988 0.06819583 0.166667 0.0065689 -0.03 0.0038373 0.066265 0.0007011 0.016949 0.0002057 0.045161 0.0010766 -0.03188 0.0035443 0.091954 0.0033137 0.057143 0.0013131 0.151163 0.0134714 0.097403 0.0120717 -0.14 0.0114694 -0.17568 0.0227236 0.074667 0.0013445 -0.00294 0.0015791 8/31/2010 -0.01622 0.0021716 -0.0303 0.0101646 0.044379 0.0009085 -0.09278 0.0121446 0.045333 1.321E-05 0.093458 0.00112987 -0.05102 0.01867 0.030928 1.037E-06 0.056497 0.0002792 0.025 3.96E-05 -0.01235 0.0006099 0.047904 0.0004102 -0.03158 0.0043518 -0.05946 0.0064586 -0.0404 0.0057004 0.023669 0.0013059 -0.16279 0.0168704 -0.09836 0.0053917 -0.08685 0.01558698 -0.05015 0.0075593 9/30/2010 0.197802 0.0280288 0.039063 0.0009894 0.042493 0.0007984 0.25 0.0540939 0.061224 0.0003813 0.094017 0.00116778 0.096774 0.0001245 0.12 0.0077535 0.053476 0.0001874 0.081301 0.0025008 -0.0375 0.0024851 0.111429 0.0070189 0.054348 0.0003983 0.137931 0.0136949 0.326316 0.0848086 0.063584 0.005784 0.125 0.0249339 0.236364 0.0682756 0.111413 0.00538959 0.046584 9.578E-05 10/29/2010 -0.04587 0.005815 0.097744 0.0007414 -0.00543 0.000387 0.090909 0.0054008 0.086538 0.0020106 0.171875 0.01255087 0.04902 0.0013394 0.107143 0.0056546 0.187817 0.021913 0.225564 0.0377412 0.051948 0.001568 0.010283 0.0003016 -0.04124 0.0057194 -0.0101 0.0009614 -0.09524 0.0169871 -0.01087 2.557E-06 0.024691 0.0033173 0.132353 0.0247387 0.085575 0.00226342 0.035608 1.413E-06 11/30/2010 -0.12019 0.0226733 0.068493 4.094E-06 -0.0929 0.0114774 -0.1 0.0137872 0.085177 0.0018904 -0.07333 0.01773629 0.308411 0.0496369 0.096774 0.0042027 -0.02991 0.0048583 -0.17791 0.0437676 0.061728 0.0024382 -0.04835 0.0057754 -0.01075 0.0020378 -0.06122 0.0067454 -0.07895 0.013006 -0.12637 0.0129743 -0.06024 0.0007473 -0.03896 0.0001968 0.036036 3.854E-06 -0.1404 0.0313991 12/30/2010 0.065574 0.0012383 0.211538 0.0198872 -0.03916 0.0028508 0 0.0003034 0.034659 4.956E-05 -0.01439 0.00551051 -0.07143 0.0246636 0 0.0010206 0.132159 0.0085325 0.007463 0.0005679 0.02907 0.0002795 0.227273 0.0398493 -0.02174 0.0031504 0.027174 3.929E-05 0.047619 0.0001568 0 0.0001555 0.012821 0.0020908 0.054054 0.0062389 0.034783 1.0346E-05 0.1 0.0039946
ITMG JSMR
INDF INDY INTP ISAT UNTR UNVR
Tanggal KLBF LPKR LSIP MEDC PGAS PTBA SMCB SMGR TINS TLKM TRUB UNSP
an 6. Risiko Individual Saham LQ45 Tahun 2010
No. Kode Efek σi β σm σei 1 AALI 0.00671 0.231467 0.002928 0.006033 2 ADRO 0.00475 0.450998 0.002928 0.00343 3 ANTM 0.009126 2.423105 0.002928 0.002032 4 ASII 0.008619 2.43955 0.002928 0.001477 5 BBCA 0.005817 1.069337 0.002928 0.002686 6 BBNI 0.011903 0.563868 0.002928 0.010252 7 BBRI 0.006552 1.257113 0.002928 0.002872 8 BDMN 0.00697 0.599879 0.002928 0.005214 9 BMRI 0.010275 2.727763 0.002928 0.002289 10 BTEL 0.019208 1.61851 0.002928 0.014469 11 BUMI 0.016043 1.448044 0.002928 0.011803 12 ELSA 0.031852 4.487416 0.002928 0.018715 13 GGRM 0.016517 0.162223 0.002928 0.016042 14 INCO 0.01352 2.62941 0.002928 0.005822 15 INDF 0.008142 1.248047 0.002928 0.004488 16 INDY 0.01391 1.047164 0.002928 0.010844 17 INTP 0.003242 0.390017 0.002928 0.002101 18 ISAT 0.014319 3.19437 0.002928 0.004967 19 ITMG 0.004604 0.399829 0.002928 0.003434 20 JSMR 0.012876 0.876585 0.002928 0.010309 21 KLBF 0.01479 0.319238 0.002928 0.013855 22 LPKR 0.015752 1.911108 0.002928 0.010156 23 LSIP 0.007064 0.57651 0.002928 0.005376 24 MEDC 0.009346 0.846998 0.002928 0.006866 25 PGAS 0.004102 0.086777 0.002928 0.003848 26 PTBA 0.008303 1.23919 0.002928 0.004675 27 SMCB 0.006399 0.755814 0.002928 0.004187 28 SMGR 0.004561 0.538707 0.002928 0.002984 29 TINS 0.019028 4.889714 0.002928 0.004713 30 UNTR 0.003519 0.588914 0.002928 0.001795 31 UNVR 0.006095 0.160808 0.002928 0.005624
No Kode E(Ri) β Rf ERB 1 KLBF 0.085618 0.565011 0.00524 0.14226 2 GGRM 0.059952 0.402769 0.00524 0.135841 3 UNVR 0.036797 0.401009 0.00524 0.078695 4 BBNI 0.062492 0.750912 0.00524 0.076244 5 INDY 0.070516 1.023311 0.00524 0.06379 6 JSMR 0.059844 0.936261 0.00524 0.058322 7 ITMG 0.041698 0.632321 0.00524 0.057658 8 LSIP 0.039787 0.759283 0.00524 0.0455 9 ADRO 0.035007 0.671564 0.00524 0.044326 10 UNTR 0.037999 0.767407 0.00524 0.042689 11 SMCB 0.03439 0.869376 0.00524 0.03353 12 BTEL 0.047125 1.272207 0.00524 0.032923 13 MEDC 0.031293 0.920325 0.00524 0.028309 14 PGAS 0.01235 0.294579 0.00524 0.024139 15 ASII 0.04222 1.561906 0.00524 0.023677 16 INDF 0.030384 1.11716 0.00524 0.022508 17 BDMN 0.022158 0.774519 0.00524 0.021843 18 BBRI 0.029655 1.121211 0.00524 0.021776 19 SMGR 0.020906 0.733967 0.00524 0.021345 20 PTBA 0.02765 1.113189 0.00524 0.020132 21 BBCA 0.026028 1.034088 0.00524 0.020103 22 AALI 0.014791 0.48111 0.00524 0.019853 23 LPKR 0.031946 1.382428 0.00524 0.019319 24 BUMI 0.0255 1.203347 0.00524 0.016837 25 BMRI 0.031771 1.651594 0.00524 0.016064 26 INCO 0.030599 1.621546 0.00524 0.015639 27 INTP 0.014237 0.624513 0.00524 0.014406 28 TINS 0.035097 2.21127 0.00524 0.013502 29 ISAT 0.017419 1.78728 0.00524 0.006815 30 ANTM 0.01323 1.556633 0.00524 0.005133 31 ELSA 0.005318 2.118352 0.00524 3.72E-05
3 UNVR 0.078695 0.036797 0.00524 0.401009 0.005624 2.250171 28.59363 6.901694 61.74737 0.017112 4 BBNI 0.076244 0.062492 0.00524 0.750912 0.010252 4.193562 55.00192 11.09526 116.7493 0.024209 5 INDY 0.06379 0.070516 0.00524 1.023311 0.010844 6.159721 96.56266 17.25498 213.3119 0.031097 6 JSMR 0.058322 0.059844 0.00524 0.936261 0.010309 4.959047 85.02853 22.21402 298.3405 0.034714 7 ITMG 0.057658 0.041698 0.00524 0.632321 0.003434 6.714172 116.4473 28.9282 414.7878 0.038247 8 LSIP 0.0455 0.039787 0.00524 0.759283 0.005376 4.879299 107.2377 33.80749 522.0255 0.039147 9 ADRO 0.044326 0.035007 0.00524 0.671564 0.00343 5.828099 131.4832 39.63559 653.5087 0.039832 10 UNTR 0.042689 0.037999 0.00524 0.767407 0.001795 14.00298 328.0255 53.63857 981.5342 0.04054 11 SMCB 0.03353 0.03439 0.00524 0.869376 0.004187 6.053022 180.527 59.6916 1162.061 0.039698 12 BTEL 0.032923 0.047125 0.00524 1.272207 0.014469 3.682758 111.8581 63.37435 1273.919 0.039229 13 MEDC 0.028309 0.031293 0.00524 0.920325 0.006866 3.492127 123.3585 66.86648 1397.278 0.038455 14 PGAS 0.024139 0.01235 0.00524 0.294579 0.003848 0.54438 22.55206 67.41086 1419.83 0.038271 15 ASII 0.023677 0.04222 0.00524 1.561906 0.001477 39.11512 1652.057 106.526 3071.886 0.031208 16 INDF 0.022508 0.030384 0.00524 1.11716 0.004488 6.259141 278.0892 112.7851 3349.976 0.030552 17 BDMN 0.021843 0.022158 0.00524 0.774519 0.005214 2.513079 115.051 115.2982 3465.027 0.030289 18 BBRI 0.021776 0.029655 0.00524 1.121211 0.002872 9.532002 437.7371 124.8302 3902.764 0.029411 19 SMGR 0.021345 0.020906 0.00524 0.733967 0.002984 3.853674 180.5451 128.6839 4083.309 0.029082 20 PTBA 0.020132 0.02765 0.00524 1.113189 0.004675 5.33592 265.0531 134.0198 4348.362 0.028576 21 BBCA 0.020103 0.026028 0.00524 1.034088 0.002686 8.002678 398.0774 142.0225 4746.439 0.027913 22 AALI 0.019853 0.014791 0.00524 0.48111 0.006033 0.761733 38.36843 142.7842 4784.808 0.027853 23 LPKR 0.019319 0.031946 0.00524 1.382428 0.010156 3.635095 188.1663 146.4193 4972.974 0.027551 24 BUMI 0.016837 0.0255 0.00524 1.203347 0.011803 2.065563 122.6812 148.4849 5095.655 0.027309 25 BMRI 0.016064 0.031771 0.00524 1.651594 0.002289 19.14536 1191.788 167.6302 6287.444 0.025287 26 INCO 0.015639 0.030599 0.00524 1.621546 0.005822 7.06334 451.6537 174.6936 6739.097 0.024672 27 INTP 0.014406 0.014237 0.00524 0.624513 0.002101 2.674911 185.6752 177.3685 6924.772 0.02441 28 TINS 0.013502 0.035097 0.00524 2.21127 0.004713 14.00943 1037.565 191.3779 7962.337 0.023047 29 ISAT 0.006815 0.017419 0.00524 1.78728 0.004967 4.382227 643.0737 195.7601 8605.411 0.02188 30 ANTM 0.005133 0.01323 0.00524 1.556633 0.002032 6.120778 1192.467 201.8809 9797.878 0.01991 31 ELSA 3.72E-05 0.005318 0.00524 2.118352 0.018715 0.008912 239.7794 201.8898 10037.66 0.019451
201.8898 10037.66
Σ Nilai
Tertinggi 0.04054
an 9. Perhitungan Nilai Ci