Bab V KESIMPULAN DAN SARAN
5.2. Saran
5.2.1 Saran Bagi Investor dan Manajer Investasi
1. Investor dan atau calon investor yang ingin melakukan investasi sebaiknya memilih saham-saham yang termasuk dalam portofolio optimal, hal ini dikarenakan saham yang memiliki portofolio optimal dianggap memiliki
return yang tinggi dengan tingkat risikoyang dapat diminalisasikan.
2. Manajer investasi dapat mempertimbangkan hasil penelitian ini sebagai bahan referensi dalam pembentukan portofolio optimal dengan menggunakan single index model.
3. Manajer investasi dapat menggunakan
single index modeldalam melakukan investasi jangka panjang, karena hasilnya akan lebih efektif.
5.2.1 Saran Bagi Peneliti Selanjutnya
1. Peneliti selanjutnya sebaiknya memilih indeks-indeks lain untuk diteliti dalam proses pembentukan portofolio optimum single index model ini.
2. Peneliti selanjutnya sebaiknya mencoba meneliti dengan menggunakan model portofolio
lainnya, seperti Markowitz atau CAPM. Hasil dari penelitian tersebut dapat menjadi
referensi bagi pembaca dan dapat diaplikasikan dalam kegiatan berinvestasi.
DAFTAR PUSTAKA
Brigham, F. Eugine& Joel, F. Houston. 2004. Manajemen Keuangan. Edisi Kedelapan, Buku II.
Jakarta: Erlangga
Gitman, J.Lawrence. (2003). Principles of Management Finance, 10
thEdition, Boston: Addisonand Wesley, Inc.
Husnan, Suad. 2009. Dasar-dasar Teori Portofolio dan Analisis Sekuritas, Edisi keempat: Unit Penerbit dan Percetakan Sekolah Tinggi Ilmu Manajemen YKPN.
Jones, Charles P. 2007.
Investment: Analysis and Management, 10thedition. New York: JohnWiley and Sons. Inc.
Jogiyanto, H.M. 2003. Teori Portofolio dan Analisis Investasi. Edisi ketiga.Yogyakarta : BPFE.
PutroAdhianto, Hanur. 2010.
Analisis Portofolio Optimum Menggunakan Model Markowitz Pada Saham Sektor Perbankan Tahun 2009.Jakarta, Skripsi, Sekolah Tinggi IlmuEkonomi Indonesia Banking School.
Ramadhan, Adam. 2011.
Analisis Optimasi Portofolio Saham Syariah (Studi Kasus Pada Jakarta Islamic Index Periode 2005-2009). Jakarta, Skripsi Sekolah Tinggi Ilmu EkonomiIndonesia Banking School
Septyarini.2009.
Analisis Portofolio Optimal Berdasarkan Model Indeks Tunggal Pada Saham LQ-45. Jakarta, Skripsi, Fakultas Ekonomi, Universitas GunadarmaSiamat, Dahlan. 2005.
Manajemen Lembaga Keuangan; Kebijakan Moneter dan Perbankan.Edisi kelima. Jakarta: Fakultas Ekonomi Universitas Indonesia.
Sukarno, Mokhamad.
Analisis Pembentukan Portofolio Optimal Saham Menggunakan Metode Single Index di Bursa Efek Jakarta. Semarang. Thesis S2, UniversitasDiponegoro.Sunariyah.2006. Pengantar Pengetahuan Pasar Modal. Yogyakarta: Unit Penerbitdan 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 LQ-45 dan Saham JII).Yogyakarta, Skripsi, Fakultas Ekonomi, Universitas Islam Indonesia Yogyakarta.
www.finance.yahoo.com(Harga Saham LQ 45 Tahun 2006-2010)
http://www.bi.go.id (Daftar suku bunga bank indonesia, periode tahun 2006-2010) www.bps.go.id (Indeks Harga Konsumen tahun 2006-2010)
LQ 2006 2007 2008 2009 2010 45
1 Astra Agro Lestari Tbk Astra Agro Lestari Tbk Astra Agro Lestari Tbk Astra Agro Lestari Tbk Astra Agro Lestari Tbk
2 Adhi Karya Tbk Adhi Karya Tbk AKR Corporindo Tbk Adaro Energy Tbk Adaro Energy Tbk
3 Polychem Indonesia Tbk Aneka Tambang Tbk Aneka Tambang Tbk Aneka Tambang Tbk Aneka Tambang Tbk 4 Aneka Tambang Tbk Astra International Tbk Astra International Tbk Astra International Tbk Astra International Tbk 5
Arpeni Pratama Ocean
Line Tbk Bank Central Asia Tbk Bank Central Asia Tbk Bank Central Asia Tbk Alam Sutera Realty Tbk 6 Astra International Tbk Bank Bukopin Tbk Bank Negara Indonesia Tbk Bank Negara Indonesia Tbk Bank Central Asia Tbk 7 Bank Central Asia Tbk Bank Rakyat Indonesia Tbk Bank Rakyat Indonesia Tbk Bank Rakyat Indonesia Tbk
Bank Negara Indonesia Tbk
8
Bank Rakyat Indonesia Tbk
Bank Danamon Indonesia Tbk
Bank Danamon Indonesia Tbk
Bank Danamon Indonesia Tbk
Bank Rakyat Indonesia Tbk
9
Bank Danamon Indonesia
Tbk Bhakti Investama Tbk Bisi International Tbk Bisi International Tbk
Bank Tabungan Negara Tbk
10 Berlian Laju Tanker Tbk Berlian Laju Tanker Tbk Berlian Laju Tanker Tbk Berlian Laju Tanker Tbk
Bank Danamon Indonesia Tbk
11 Bank Mandiri Tbk Bank Mandiri Tbk Bank Mandiri Tbk Bank Mandiri Tbk
Benakat Potreleum Energy Tbk
12 Bakrie & Brothers Tbk Global Mediacom Tbk Bakrie & Brothers Tbk Bakrie & Brothers Tbk Bank Mandiri Tbk 13 Bank Niaga Tbk Bakrie & Brothers Tbk Bank Niaga Tbk Barito Pacific Timber Tbk Global Mediacom Tbk 14
Bank International
Indonesia Tbk Bank Niaga Tbk
Bank International Indonesia
Tbk Bakrie Telkom Tbk Bakrie & Brothers Tbk 15 Barito Pacific Timber Tbk
Bank International Indonesia
Tbk Bakrie Telkom Tbk Bumi Resource Tbk Barito Pacific Timber Tbk
16 Bakrie Telkom Tbk Barito Pacific Timber Tbk Bumi Resource Tbk Darma Henwa Tbk Bumi Serpong Damai Tbk 17 Bumi Resource Tbk Bakrie Telkom Tbk
Charoen Pokphand Indonesia
Tbk Elnusa Tbk Bakrie Telkom Tbk
18
Citra Marga Nusaphala
Persada Tbk Bumi Resource Tbk Central Proteinaprima Tbk
Bakrieland Development
Tbk Bumi Resource Tbk
19 Ciputra Surya Tbk
Citra Marga Nusaphala
Persada Tbk Ciputra Development Tbk Energi Mega Persada Tbk Darma Henwa Tbk
45
21 Gudang Garam Tbk Ciputra Development Tbk
Bakrieland Development Tbk
International Nickel
Indonesia Tbk Elnusa Tbk
22 Gajah Tunggal Tbk Ciputra Surya Tbk Energi Mega Persada Tbk
Indofood Sukse Makmur Tbk
Bakrieland Development Tbk
23
International Nickel Indonesia Tbk
Bakrieland Development Tbk
International Nickel
Indonesia Tbk Indika Energy Tbk Energi Mega Persada Tbk 24
Indofood Sukse Makmur
Tbk Energi Mega Persada Tbk
Indofood Sukse Makmur Tbk
Indah Kiat Pulp & Paper
Tbk Gudang Garam Tbk
25
Indah Kiat Pulp & Paper Tbk
International Nickel
Indonesia Tbk Indah Kiat Pulp & Paper Tbk
Indocement Tunggal Prakarsa Tbk
International Nickel Indonesia Tbk 26
Indocement Tunggal Prakarsa Tbk
Indofood Sukse Makmur
Tbk Indosat Tbk Indosat Tbk
Indofood Sukse Makmur Tbk
27 Indosat Tbk Indah Kiat Pulp & Paper Tbk
Indo Tambangraya Megah Tbk
Indo Tambangraya Megah
Tbk Indika Energy Tbk
28
Kawasan Industri
Jababeka Tbk Indosat Tbk
Kawasan Industri Jababeka
Tbk Jasa Marga Tbk
Indocement Tunggal Prakarsa Tbk
29 Kalbe Farma Tbk
Kawasan Industri Jababeka
Tbk Lippo Karawaci Tbk Kalbe Farma Tbk Indosat Tbk
30 Lippo Karawaci Tbk Kalbe Farma Tbk PP London Sumatera Tbk Lippo Karawaci Tbk
Indo Tambangraya Megah Tbk
31 PP London Sumatera Tbk PP London Sumatera Tbk
Medco Energi International
Tbk PP London Sumatera Tbk Jasa Marga Tbk
32
Medco Energi International Tbk
Medco Energi International
Tbk Mitra Rajasa Tbk
Medco Energi International
Tbk Kalbe Farma Tbk
33 Matahari Putra Prima Tbk Perusahaan Gas Negara Tbk Media Nusantara Citra Tbk Mitra Rajasa Tbk Lippo Karawaci Tbk 34
Perusahaan Gas Negara
Tbk Bank Pan Indonesia Tbk Perusahaan Gas Negara Tbk Perusahaan Gas Negara Tbk PP London Sumatera Tbk 35 Bank Pan Indonesia Tbk Panin Life Tbk Bank Pan Indonesia Tbk Bank Pan Indonesia Tbk
Medco Energi International Tbk
36 Panin Life Tbk
Tambang Barubara Bukit Asam Tbk
Tambang Barubara Bukit Asam Tbk
Tambang Barubara Bukit Asam Tbk
Perusahaan Gas Negara Tbk
37
Tambang Barubara Bukit
Asam Tbk Holcim Indonesia Tbk Sampoerna Agro Tbk Sampoerna Agro Tbk
Tambang Barubara Bukit Asam Tbk
45 38
Ramayana Lestari Sentosa
Tbk Sumalindo Lestari jaya Tbk Holcim Indonesia Tbk Holcim Indonesia Tbk Holcim Indonesia Tbk
39 Holcim Indonesia Tbk Timah Tbk Semen Gresik Tbk Semen Gresik Tbk Semen Gresik Tbk
40 Summarecon Agung Tbk
Telekomunikasi Indonesia
Tbk Tunas Baru Lampung Tbk Timah Tbk Timah Tbk
41
Pabrik Kertas Tjiwi Kimia
Tbk Total Bangun Persada Tbk Timah Tbk
Telekomunikasi Indonesia Tbk
Telekomunikasi Indonesia Tbk
42
Telekomunikasi Indonesia Tbk
Truba Alam Manunggal Engineering Tbk
Telekomunikasi Indonesia Tbk
Truba Alam Manunggal Engineering Tbk
Truba Alam Manunggal Engineering Tbk 43
Bakrie Sumatra
Plantations Tbk Tempo Scan Pacific Tbk
Truba Alam Manunggal Engineering Tbk
Bakrie Sumatra Plantations Tbk
Bakrie Sumatra Plantations Tbk
44 United Tractors Tbk
Bakrie Sumatra Plantations Tbk
Bakrie Sumatra Plantations
Tbk United Tractors Tbk United Tractors Tbk
45 Unilever Indonesia Tbk United Tractors Tbk United Tractors Tbk Unilever Indonesia Tbk Unilever Indonesia Tbk
AALI ANTM ASII BBCA BBRI BDMN BMRI INCO INDF ISAT MEDC PGAS PTBA SMCB TLKM UNSP UNTR Jan-06 5,050 4,275 10,400 3,625 3,400 4,650 1,780 1,455 880 5,800 3,900 1,660 1,960 570 6,300 412 3,825 Feb-06 5,900 4,025 9,800 3,600 3,250 4,275 1,620 1,560 840 5,250 4,125 1,930 2,050 620 6,200 578 3,975 Mar-06 6,150 4,350 11,450 4,175 3,975 4,800 1,740 1,715 890 5,150 4,200 2,000 2,075 640 6,900 667 4,400 Apr-06 6,600 5,750 11,950 4,375 4,625 5,150 1,920 2,000 1,130 5,400 4,800 2,480 3,000 680 7,550 823 5,450 May-06 6,500 4,450 9,800 4,100 3,950 4,600 1,690 1,975 940 5,000 3,975 2,450 3,350 550 7,050 941 5,400 Jun-06 6,500 4,625 9,750 4,100 4,100 3,975 1,720 1,955 880 4,275 3,725 2,250 3,150 560 7,350 872 5,400 Jul-06 8,350 5,200 9,600 4,175 4,275 4,250 1,760 1,995 1,050 4,275 3,800 2,360 3,275 560 7,450 1,049 5,600 Aug-06 9,200 5,400 11,100 4,550 4,350 4,900 2,100 2,200 1,190 4,400 3,600 2,530 3,400 530 7,900 941 5,750 Sep-06 9,100 5,500 12,450 4,825 4,900 5,300 2,325 2,300 1,250 5,150 3,475 2,410 3,375 570 8,450 863 6,050 Oct-06 9,750 6,950 13,400 4,650 4,900 5,950 2,725 2,630 1,330 5,200 3,325 2,280 3,450 580 8,400 345 6,550 Nov-06 10,650 7,550 15,950 5,300 5,350 6,250 2,775 2,750 1,400 5,750 3,250 2,180 3,250 540 9,900 410 6,450 Dec-06 12,600 8,000 15,700 5,200 5,150 6,750 2,900 3,100 1,350 6,750 3,550 2,320 3,525 670 10,100 440 6,550 Jan-07 13,200 7,800 14,850 5,100 5,300 5,900 2,575 3,300 1,690 6,000 3,425 1,880 3,125 650 9,450 410 6,750 Feb-07 12,550 9,100 14,050 4,925 4,750 5,750 2,325 3,880 1,560 5,900 3,650 1,790 3,300 660 8,900 400 6,950 Mar-07 12,600 11,850 13,200 5,100 5,050 6,550 2,500 5,435 1,520 6,250 3,575 1,870 3,450 660 9,850 410 7,400 Apr-07 15,750 15,600 14,400 5,300 5,250 6,450 3,075 6,080 1,640 6,800 3,525 2,100 3,900 720 10,500 405 7,900 May-07 15,100 14,000 16,400 5,250 6,100 7,000 3,250 5,500 1,730 6,750 3,575 2,050 5,250 760 9,550 375 7,550 Jun-07 13,750 12,550 16,900 5,450 5,750 6,900 3,125 5,550 2,025 6,500 3,525 1,890 6,550 950 9,850 350 8,250 Jul-07 15,350 2,700 18,750 6,300 6,300 8,450 3,525 5,720 2,000 7,250 4,275 1,850 6,650 1,010 11,200 390 8,600 Aug-07 14,300 2,250 17,850 6,000 6,250 8,050 3,250 5,390 1,860 7,200 3,900 2,050 5,750 1,030 10,850 405 8,100 Sep-07 16,800 2,775 19,250 6,150 6,600 8,450 3,525 6,350 1,930 7,700 4,150 2,410 6,550 1,140 11,000 415 8,200 Oct-07 22,500 3,350 25,600 7,300 7,750 8,650 3,775 9,020 2,200 8,700 4,675 2,800 9,050 1,400 10,750 420 10,950 Nov-07 25,450 4,675 25,000 7,100 7,800 8,300 3,550 9,425 2,525 8,300 5,400 3,380 12,100 1,650 10,150 590 11,250 Dec-07 28,000 4,475 27,300 7,300 7,400 8,000 3,500 9,625 2,575 8,650 5,150 3,070 12,000 1,750 10,150 680 10,900
20062007
Feb-08 31,600 4,100 27,850 3,575 7,200 7,650 3,275 9,450 2,925 6,850 4,125 2,760 11,450 1,380 9,800 960 13,250 Mar-08 25,850 3,350 24,250 3,250 6,300 6,900 3,150 7,000 2,325 7,100 3,325 2,830 10,050 1,200 9,650 890 12,550 Apr-08 23,700 3,500 20,000 3,000 5,950 5,700 2,875 6,650 2,275 6,050 3,925 2,420 10,600 910 8,850 1,070 12,050 May-08 26,450 3,250 21,000 2,775 5,800 5,700 2,900 6,100 2,800 5,750 5,050 2,800 14,600 1,110 8,100 960 14,450 Jun-08 29,550 3,175 19,250 2,475 5,100 4,700 2,600 6,050 2,400 6,750 4,725 2,600 16,400 1,120 7,300 880 12,150 Jul-08 21,900 2,475 22,550 3,025 6,100 5,550 2,975 4,600 2,275 6,500 4,600 2,440 13,650 1,160 7,700 860 11,400 Aug-08 17,950 1,890 20,800 3,175 5,850 5,400 2,825 3,725 2,250 6,150 4,900 2,550 14,500 1,150 8,000 840 10,350 Sep-08 12,950 1,460 17,100 3,150 5,400 4,900 2,650 3,075 1,960 6,100 3,625 2,175 9,350 850 7,150 970 9,450 Oct-08 6,050 1,040 9,350 2,700 3,450 2,600 1,560 1,690 1,090 5,300 2,100 1,400 5,475 445 5,400 1,010 3,150 Nov-08 8,450 1,020 10,200 2,700 3,400 2,625 1,490 1,970 970 5,100 1,850 1,840 6,900 435 5,850 1,130 3,975 Dec-08 9,800 1,090 10,550 3,250 4,575 3,100 2,025 1,930 930 5,750 1,870 1,860 6,900 630 6,900 1,150 4,400 Jan-09 10,900 1,110 13,000 2,750 4,550 2,275 1,820 2,475 980 5,650 1,700 2,200 7,400 580 6,300 1,440 5,050 Feb-09 12,850 1,200 11,300 2,350 3,725 2,625 1,740 2,175 880 4,200 2,060 1,900 7,200 550 6,300 1,520 5,350 Mar-09 14,100 1,090 14,250 3,100 4,200 3,125 2,175 2,225 940 4,725 2,200 2,150 6,750 550 7,550 1,520 6,750 Apr-09 15,800 1,430 18,000 3,350 5,800 3,125 2,775 3,425 1,280 5,600 2,625 2,600 9,500 700 7,850 1,850 9,000 May-09 17,800 1,980 20,800 3,375 6,250 3,750 2,975 3,600 1,780 5,300 3,300 2,875 11,250 1,000 7,450 1,430 10,150
Jun-09 16,850 2,025 23,800 3,525 6,300 4,825 3,175 4,150 1,890 4,975 3,050 3,150 11,600 1,100 7,500 1,540 9,950 Jul-09 19,300 2,200 29,300 3,775 7,300 4,825 4,175 4,300 2,275 5,450 3,325 3,500 13,600 1,450 8,950 1,990 12,950 Aug-09 21,500 2,275 30,150 4,250 7,600 4,700 4,100 4,225 2,500 5,250 2,925 3,475 13,000 1,260 8,400 2,200 13,500 Sep-09 21,050 2,450 33,350 4,625 7,500 4,950 4,700 4,150 3,025 5,450 2,900 3,650 14,100 1,330 8,650 2,275 15,600 Oct-09 21,650 2,275 31,300 4,575 7,100 4,550 4,675 4,050 3,075 5,150 2,725 3,625 15,200 1,620 8,400 2,525 15,000 Nov-09 22,300 2,200 32,350 4,800 7,400 4,425 4,450 3,450 3,075 4,850 2,500 3,650 16,450 1,500 9,000 2,550 14,950 Dec-09 22,750 2,200 34,700 4,850 7,650 4,550 4,700 3,650 3,550 4,725 2,450 3,900 17,250 1,550 9,450 1,780 15,500
20082009
Feb-10 24,200 2,075 36,250 4,875 7,150 4,975 4,475 3,775 3,800 5,100 2,475 3,625 15,600 1,770 8,300 1,950 17,150 Mar-10 24,600 2,400 41,900 5,500 8,250 5,200 5,350 4,725 3,775 5,500 2,600 4,250 17,400 2,075 8,050 1,880 18,350 Apr-10 22,200 2,450 47,150 5,450 8,950 5,800 5,800 5,000 3,900 5,900 2,950 4,100 18,600 2,350 7,850 1,390 19,500 May-10 19,850 2,025 43,150 5,550 8,600 5,150 5,350 3,950 3,650 5,150 2,850 3,900 17,450 2,100 7,750 1,060 18,350 Jun-10 19,350 1,940 48,300 5,950 9,300 5,400 6,000 3,750 4,150 4,950 2,950 3,875 17,250 2,175 7,700 710 18,750 Jul-10 19,500 2,100 50,700 5,950 9,900 5,350 6,000 4,125 4,625 4,850 3,000 4,050 16,700 2,375 8,450 270 20,150 Aug-10 19,650 2,075 47,600 5,800 9,300 5,350 5,900 4,275 4,550 4,400 3,075 4,000 17,500 2,300 8,650 245 18,400 Sep-10 20,700 2,375 56,700 6,700 10,000 5,800 7,200 4,875 5,450 5,500 3,325 3,850 19,450 2,425 9,200 260 20,450 Oct-10 24,900 2,550 57,000 7,000 11,400 6,700 7,000 4,750 5,200 6,000 4,075 4,050 19,650 2,325 9,100 250 22,200 Nov-10 24,150 2,325 51,900 6,050 10,500 6,500 6,400 4,475 4,575 5,400 3,350 4,300 18,700 2,300 7,950 320 23,000 Dec-10 26,200 2,450 54,550 6,400 10,500 5,700 6,500 4,875 4,875 5,400 3,375 4,425 22,950 2,250 7,950 310 23,800
2010
Dec-11
1 Jan-06 0.030612 0.195804 0.019608 0.066176 0.123967 -0.02105 0.085366 0.106464 -0.03297 0.045045 0.155556 0.202899 0.088889 0.2 0.067797 0.012285 0.040816 2 Feb-06 0.168317 -0.05848 -0.05769 -0.0069 -0.04412 -0.08065 -0.08989 0.072165 -0.04545 -0.09483 0.057692 0.162651 0.045918 0.087719 -0.01587 0.402913 0.039216 3 Mar-06 0.042373 0.080745 0.168367 0.159722 0.223077 0.122807 0.074074 0.099359 0.059524 -0.01905 0.018182 0.036269 0.012195 0.032258 0.112903 0.153979 0.106918 4 Apr-06 0.073171 0.321839 0.043668 0.047904 0.163522 0.072917 0.103448 0.166181 0.269663 0.048544 0.142857 0.24 0.445783 0.0625 0.094203 0.233883 0.238636 5 May-06 -0.01515 -0.22609 -0.17992 -0.06286 -0.14595 -0.1068 -0.11979 -0.0125 -0.16814 -0.07407 -0.17188 -0.0121 0.116667 -0.19118 -0.06623 0.143378 -0.00917 6 Jun-06 0 0.039326 -0.0051 0 0.037975 -0.13587 0.017751 -0.01013 -0.06383 -0.145 -0.06289 -0.08163 -0.0597 0.018182 0.042553 -0.07333 0 7 Jul-06 0.284615 0.124324 -0.01538 0.018293 0.042683 0.069182 0.023256 0.02046 0.193182 0 0.020134 0.048889 0.039683 0 0.013605 0.202982 0.037037 8 Aug-06 0.101796 0.038462 0.15625 0.08982 0.017544 0.152941 0.193182 0.102757 0.133333 0.02924 -0.05263 0.072034 0.038168 -0.05357 0.060403 -0.10296 0.026786 9 Sep-06 -0.01087 0.018519 0.121622 0.06044 0.126437 0.081633 0.107143 0.045455 0.05042 0.170455 -0.03472 -0.04743 -0.00735 0.075472 0.06962 -0.08289 0.052174 10 Oct-06 0.071429 0.263636 0.076305 -0.03627 0 0.122642 0.172043 0.143478 0.064 0.009709 -0.04317 -0.05394 0.022222 0.017544 -0.00592 -0.60023 0.082645 11 Nov-06 0.092308 0.086331 0.190299 0.139785 0.091837 0.05042 0.018349 0.045627 0.052632 0.105769 -0.02256 -0.04386 -0.05797 -0.06897 0.178571 0.188406 -0.01527 12 Dec-06 0.183099 0.059603 -0.01567 -0.01887 -0.03738 0.08 0.045045 0.127273 -0.03571 0.173913 0.092308 0.06422 0.084615 0.240741 0.020202 0.073171 0.015504 13 Jan-07 0.047619 -0.025 -0.05414 -0.01923 0.029126 -0.12593 -0.11207 0.064516 0.251852 -0.11111 -0.03521 -0.18966 -0.11348 -0.02985 -0.06436 -0.06818 0.030534 14 Feb-07 -0.04924 0.166667 -0.05387 -0.03431 -0.10377 -0.02542 -0.09709 0.175758 -0.07692 -0.01667 0.065693 -0.04787 0.056 0.015385 -0.0582 -0.02439 0.02963 15 Mar-07 0.003984 0.302198 -0.0605 0.035533 0.063158 0.13913 0.075269 0.400773 -0.02564 0.059322 -0.02055 0.044693 0.045455 0 0.106742 0.025 0.064748 16 Apr-07 0.25 0.316456 0.090909 0.039216 0.039604 -0.01527 0.23 0.118675 0.078947 0.088 -0.01399 0.122995 0.130435 0.090909 0.06599 -0.0122 0.067568 17 May-07 -0.04127 -0.10256 0.138889 -0.00943 0.161905 0.085271 0.056911 -0.09539 0.054878 -0.00735 0.014184 -0.02381 0.346154 0.055556 -0.09048 -0.07407 -0.0443 18 Jun-07 -0.0894 -0.10357 0.030488 0.038095 -0.05738 -0.01429 -0.03846 0.009091 0.17052 -0.03704 -0.01399 -0.07805 0.247619 0.25 0.031414 -0.06667 0.092715 19 Jul-07 0.116364 -0.78486 0.109467 0.155963 0.095652 0.224638 0.128 0.030631 -0.01235 0.115385 0.212766 -0.02116 0.015267 0.063158 0.137056 0.114286 0.042424 20 Aug-07 -0.0684 -0.16667 -0.048 -0.04762 -0.00794 -0.04734 -0.07801 -0.05769 -0.07 -0.0069 -0.08772 0.108108 -0.13534 0.019802 -0.03125 0.038462 -0.05814 21 Sep-07 0.174825 0.233333 0.078431 0.025 0.056 0.049689 0.084615 0.178108 0.037634 0.069444 0.064103 0.17561 0.13913 0.106796 0.013825 0.024691 0.012346 22 Oct-07 0.339286 0.207207 0.32987 0.186992 0.174242 0.023669 0.070922 0.420472 0.139896 0.12987 0.126506 0.161826 0.381679 0.22807 -0.02273 0.012048 0.335366 23 Nov-07 0.131111 0.395522 -0.02344 -0.0274 0.006452 -0.04046 -0.0596 0.0449 0.147727 -0.04598 0.15508 0.207143 0.337017 0.178571 -0.05581 0.404762 0.027397 24 Dec-07 0.100196 -0.04278 0.092 0.028169 -0.05128 -0.03614 -0.01408 0.02122 0.019802 0.042169 -0.0463 -0.09172 -0.00826 0.060606 0 0.152542 -0.03111
20062007
26 Feb-08 0.046358 0.146853 0.022018 0.007042 0.028571 0.0625 -0.01504 0.188679 0.035398 -0.03521 0.018519 0.029851 0.004386 -0.11538 0.059459 0.142857 -0.00376 27 Mar-08 -0.18196 -0.18293 -0.12926 -0.09091 -0.125 -0.09804 -0.03817 -0.25926 -0.20513 0.036496 -0.19394 0.025362 -0.12227 -0.13043 -0.01531 -0.07292 -0.05283 28 Apr-08 -0.08317 0.044776 -0.17526 -0.07692 -0.05556 -0.17391 -0.0873 -0.05 -0.02151 -0.14789 0.180451 -0.14488 0.054726 -0.24167 -0.0829 0.202247 -0.03984 29 May-08 0.116034 -0.07143 0.05 -0.075 -0.02521 0 0.008696 -0.08271 0.230769 -0.04959 0.286624 0.157025 0.377358 0.21978 -0.08475 -0.1028 0.19917 30 Jun-08 0.117202 -0.02308 -0.08333 -0.10811 -0.12069 -0.17544 -0.10345 -0.0082 -0.14286 0.173913 -0.06436 -0.07143 0.123288 0.009009 -0.09877 -0.08333 -0.15917 31 Jul-08 -0.25888 -0.22047 0.171429 0.222222 0.196078 0.180851 0.144231 -0.23967 -0.05208 -0.03704 -0.02646 -0.06154 -0.16768 0.035714 0.054795 -0.02273 -0.06173 32 Aug-08 -0.18037 -0.23636 -0.07761 0.049587 -0.04098 -0.02703 -0.05042 -0.19022 -0.01099 -0.05385 0.065217 0.045082 0.062271 -0.00862 0.038961 -0.02326 -0.09211 33 Sep-08 -0.27855 -0.22751 -0.17788 -0.00787 -0.07692 -0.09259 -0.06195 -0.1745 -0.12889 -0.00813 -0.2602 -0.14706 -0.35517 -0.26087 -0.10625 0.154762 -0.08696 34 Oct-08 -0.53282 -0.28767 -0.45322 -0.14286 -0.36111 -0.46939 -0.41132 -0.45041 -0.44388 -0.13115 -0.42069 -0.35632 -0.41444 -0.47647 -0.24476 0.041237 -0.66667 35 Nov-08 0.396694 -0.01923 0.090909 0 -0.01449 0.009615 -0.04487 0.16568 -0.11009 -0.03774 -0.11905 0.314286 0.260274 -0.02247 0.083333 0.118812 0.261905 36 Dec-08 0.159763 0.068627 0.034314 0.203704 0.345588 0.180952 0.35906 -0.0203 -0.04124 0.127451 0.010811 0.01087 0 0.448276 0.179487 0.017699 0.106918 37 Jan-09 0.112245 0.018349 0.232227 -0.15385 -0.00546 -0.26613 -0.10123 0.282383 0.053763 -0.01739 -0.09091 0.182796 0.072464 -0.07937 -0.08696 0.252174 0.147727 38 Feb-09 0.178899 0.081081 -0.13077 -0.14545 -0.18132 0.153846 -0.04396 -0.12121 -0.10204 -0.25664 0.211765 -0.13636 -0.02703 -0.05172 0 0.055556 0.059406 39 Mar-09 0.097276 -0.09167 0.261062 0.319149 0.127517 0.190476 0.25 0.022989 0.068182 0.125 0.067961 0.131579 -0.0625 0 0.198413 0 0.261682 40 Apr-09 0.120567 0.311927 0.263158 0.080645 0.380952 0 0.275862 0.539326 0.361702 0.185185 0.193182 0.209302 0.407407 0.272727 0.039735 0.217105 0.333333 41 May-09 0.126582 0.384615 0.155556 0.007463 0.077586 0.2 0.072072 0.051095 0.390625 -0.05357 0.257143 0.105769 0.184211 0.428571 -0.05096 -0.22703 0.127778 42 Jun-09 -0.05337 0.022727 0.144231 0.044444 0.008 0.286667 0.067227 0.152778 0.061798 -0.06132 -0.07576 0.095652 0.031111 0.1 0.006711 0.076923 -0.0197 43 Jul-09 0.145401 0.08642 0.231092 0.070922 0.15873 0 0.314961 0.036145 0.203704 0.095477 0.090164 0.111111 0.172414 0.318182 0.193333 0.292208 0.301508 44 Aug-09 0.11399 0.034091 0.02901 0.125828 0.041096 -0.02591 -0.01796 -0.01744 0.098901 -0.0367 -0.1203 -0.00714 -0.04412 -0.13103 -0.06145 0.105528 0.042471 45 Sep-09 -0.02093 0.076923 0.106136 0.088235 -0.01316 0.053191 0.146341 -0.01775 0.21 0.038095 -0.00855 0.05036 0.084615 0.055556 0.029762 0.034091 0.155556 46 Oct-09 0.028504 -0.07143 -0.06147 -0.01081 -0.05333 -0.08081 -0.00532 -0.0241 0.016529 -0.05505 -0.06034 -0.00685 0.078014 0.218045 -0.0289 0.10989 -0.03846 47 Nov-09 0.030023 -0.03297 0.033546 0.04918 0.042254 -0.02747 -0.04813 -0.14815 0 -0.05825 -0.08257 0.006897 0.082237 -0.07407 0.071429 0.009901 -0.00333 48 Dec-09 0.020179 0 0.072643 0.010417 0.033784 0.028249 0.05618 0.057971 0.154472 -0.02577 -0.02 0.068493 0.048632 0.033333 0.05 -0.30196 0.036789
20082009
50 Feb-10 0.014675 -0.02353 0.008345 -0.025 -0.06536 0.025773 -0.04278 0.055944 0.055556 -0.08929 0.03125 -0.03974 -0.09302 0.08589 -0.1123 0.21118 0.017804 51 Mar-10 0.016529 0.156627 0.155862 0.128205 0.153846 0.045226 0.195531 0.251656 -0.00658 0.078431 0.050505 0.172414 0.115385 0.172316 -0.03012 -0.0359 0.069971 52 Apr-10 -0.09756 0.020833 0.125298 -0.00909 0.084848 0.115385 0.084112 0.058201 0.033113 0.072727 0.134615 -0.03529 0.068966 0.13253 -0.02484 -0.26064 0.06267 53 May-10 -0.10586 -0.17347 -0.08484 0.018349 -0.03911 -0.11207 -0.07759 -0.21 -0.0641 -0.12712 -0.0339 -0.04878 -0.06183 -0.10638 -0.01274 -0.23741 -0.05897 54 Jun-10 -0.02519 -0.04198 0.119351 0.072072 0.081395 0.048544 0.121495 -0.05063 0.136986 -0.03883 0.035088 -0.00641 -0.01146 0.035714 -0.00645 -0.33019 0.021798 55 Jul-10 0.007752 0.082474 0.049689 0 0.064516 -0.00926 0 0.1 0.114458 -0.0202 0.016949 0.045161 -0.03188 0.091954 0.097403 -0.61972 0.074667 56 Aug-10 0.007692 -0.0119 -0.06114 -0.02521 -0.06061 0 -0.01667 0.036364 -0.01622 -0.09278 0.025 -0.01235 0.047904 -0.03158 0.023669 -0.09259 -0.08685 57 Sep-10 0.053435 0.144578 0.191176 0.155172 0.075269 0.084112 0.220339 0.140351 0.197802 0.25 0.081301 -0.0375 0.111429 0.054348 0.063584 0.061224 0.111413 58 Oct-10 0.202899 0.073684 0.005291 0.044776 0.14 0.155172 -0.02778 -0.02564 -0.04587 0.090909 0.225564 0.051948 0.010283 -0.04124 -0.01087 -0.03846 0.085575 59 Nov-10 -0.03012 -0.08824 -0.08947 -0.13571 -0.07895 -0.02985 -0.08571 -0.05789 -0.12019 -0.1 -0.17791 0.061728 -0.04835 -0.01075 -0.12637 0.28 0.036036 60 Dec-10 0.084886 0.053763 0.05106 0.057851 0 -0.12308 0.015625 0.089385 0.065574 0 0.007463 0.02907 0.227273 -0.02174 0 -0.03125 0.034783 2.41249 1.10924 2.2458 1.09392 1.67408 0.70125 1.87314 2.10395 2.28184 0.27506 0.52011 1.59013 3.34279 2.31088 0.51018 1.12088 2.67032 ΣRi
2010
(Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 (Rij-E(Ri))2 1 Jan-06 9.2082E-05 0.03144125 0.00031763 0.00229868 0.00922859 0.00107192 0.00293187 0.00509769 0.00504066 0.00163707 0.02157581 0.03111568 0.00110063 0.02607749 0.00351574 4.0912E-05 1.3609E-05 2 Feb-06 0.01641182 0.00592391 0.00904825 0.00063144 0.00518674 0.00852533 0.01466684 0.00137635 0.00696977 0.00988272 0.00240334 0.01853639 9.5938E-05 0.00242109 0.00059419 0.14763373 2.7981E-05 3 Mar-06 4.6859E-06 0.00387605 0.01714459 0.02001949 0.0380935 0.01234754 0.00183655 0.00413362 0.00046196 0.00055847 9.0504E-05 9.5399E-05 0.00189382 3.9146E-05 0.01089942 0.01830554 0.00389536 4 Apr-06 0.00108653 0.09202225 3.8914E-05 0.00088044 0.01839296 0.00374901 0.00521706 0.01719114 0.05365353 0.00193243 0.0180066 0.04558132 0.15215459 0.00057529 0.00734448 0.04631181 0.03768683 5 May-06 0.0030647 0.05981661 0.04723942 0.00657544 0.03022289 0.01403838 0.02280425 0.0022625 0.04250698 0.00618714 0.03259595 0.00148988 0.00371533 0.05275805 0.00558429 0.01554924 0.00288151 6 Jun-06 0.0016167 0.00043424 0.00180897 0.0003324 0.00010147 0.0217731 0.00018138 0.00204235 0.01037554 0.02237546 0.00512106 0.01169314 0.01332054 0.00041343 0.00115942 0.00846538 0.00198073 7 Jul-06 0.05973487 0.01120146 0.00278938 3.6873E-09 0.00021849 0.00330566 6.3414E-05 0.00021332 0.0240719 2.1016E-05 0.00013146 0.00050116 0.00025698 0.00148339 2.6036E-05 0.03396663 5.5777E-05 8 Aug-06 0.00379311 0.00039897 0.0141182 0.0051249 0.00010728 0.01995259 0.02623193 0.00458209 0.00908261 0.00060789 0.0037577 0.00207314 0.00030783 0.00847986 0.00269358 0.01479543 0.00031399 9 Sep-06 0.00260894 9.6935E-10 0.00708823 0.00178148 0.00970923 0.00489232 0.00576442 0.00010793 0.0001535 0.02751294 0.00188275 0.00546609 0.00397733 0.00136582 0.00373533 0.01031683 5.8806E-05 10 Oct-06 0.00097471 0.06009802 0.00151128 0.0029704 0.00077849 0.01231078 0.01983138 0.01175327 0.00067441 2.626E-05 0.00268676 0.00647125 0.00112164 0.00043978 0.00020794 0.38305333 0.0014546 11 Nov-06 0.00271436 0.00460275 0.02336879 0.01477513 0.00408773 0.00150022 0.00016565 0.00011155 0.00021319 0.01023839 0.00097499 0.00495079 0.01292409 0.01155201 0.02892329 0.02880641 0.00357276 12 Dec-06 0.02041767 0.00169047 0.00282003 0.0013764 0.00426207 0.00466659 0.00019116 0.00850212 0.00543831 0.02867223 0.00699552 0.00142265 0.00083534 0.04089536 0.00013687 0.0029691 0.00084109 13 Jan-07 5.4921E-05 0.00189115 0.00838509 0.00140346 1.5002E-06 0.01893747 0.02053146 0.00086732 0.04571953 0.01338543 0.00192543 0.046724 0.02862469 0.00467384 0.00530849 0.0075452 0.00019519 14 Feb-07 0.00800141 0.0219571 0.00833606 0.00276105 0.01733829 0.00137725 0.01646255 0.01979419 0.01321435 0.0004516 0.00325184 0.00553157 8.228E-08 0.000535 0.00444942 0.00185516 0.00022129 15 Mar-07 0.00131219 0.0804916 0.00958993 0.00029933 0.00124302 0.01624169 0.00194038 0.13374193 0.00405408 0.00299622 0.0008536 0.0003309 0.00010524 0.00148339 0.00965083 3.9926E-05 0.00040977 16 Apr-07 0.0440126 0.08878511 0.00286001 0.00044032 0.00013695 0.00072656 0.03951385 0.00699055 0.00167418 0.00695818 0.00051323 0.0093108 0.00558332 0.00274517 0.00330474 0.00095335 0.00053186 17 May-07 0.00663867 0.01465346 0.01029391 0.0007654 0.01795691 0.00541457 0.00066005 0.01701994 0.00028384 0.0001425 3.0425E-05 0.00253127 0.08435579 0.00029039 0.00979687 0.00860355 0.00788708 18 Jun-07 0.01679931 0.01489835 4.8194E-05 0.00039455 0.00727241 0.00067461 0.00485539 0.00067469 0.0175535 0.00173233 0.00051323 0.0109309 0.03682787 0.04472602 0.0005249 0.00728427 0.00232419 19 Jul-07 0.00579965 0.64536792 0.0051894 0.01896992 0.00459017 0.04534776 0.00936655 1.967E-05 0.00253777 0.01227671 0.04165578 0.00227207 0.00163588 0.00060729 0.01652585 0.00914021 4.3313E-06 20 Aug-07 0.01179659 0.03428202 0.00729828 0.00433636 0.00128435 0.00348393 0.01193191 0.00860406 0.01167061 0.00013181 0.0092906 0.00665953 0.03650068 0.00035017 0.0015803 0.00039126 0.01053599 21 Sep-07 0.01812173 0.04615878 0.00168111 4.5806E-05 0.00078953 0.00144414 0.00285117 0.02046097 1.5697E-07 0.00420684 0.00307294 0.02223307 0.00695844 0.00466235 2.8323E-05 3.6121E-05 0.00103425 22 Oct-07 0.08944736 0.03561517 0.08552124 0.02847991 0.0214157 0.00014355 0.00157632 0.14853831 0.01037663 0.01569654 0.01388569 0.01831246 0.10625399 0.03593126 0.00097533 4.3998E-05 0.08459979 23 Nov-07 0.00826334 0.14215539 0.00370485 0.00208203 0.00046009 0.00271962 0.00824859 9.6717E-05 0.01203336 0.00255645 0.0214364 0.03263106 0.07913161 0.01961588 0.00413666 0.14905825 0.00029269 24 Dec-07 0.00359859 0.00375378 0.00297789 9.8745E-05 0.00627001 0.00228791 0.00205242 0.0001917 0.00033228 0.00141259 0.00302113 0.01397553 0.00409314 0.00048803 7.23E-05 0.01791879 0.00571786
20062007
25
26 Feb-08 3.7815E-05 0.01647777 0.00023752 0.00012521 4.4898E-07 0.00258191 0.00213968 0.0235971 6.9294E-06 0.00158369 9.7023E-05 1.1213E-05 0.00263448 0.02368501 0.00259657 0.01541965 0.00232949 27 Mar-08 0.04935961 0.04056769 0.02778686 0.01191177 0.02337883 0.01203996 0.00481456 0.08662722 0.05912621 0.00101838 0.04104995 1.2993E-06 0.03167827 0.02854394 0.00056687 0.00839018 0.00947422 28 Apr-08 0.01522271 0.0006911 0.04523607 0.00905448 0.00696506 0.03444758 0.01404715 0.00723618 0.00354453 0.02324759 0.02950928 0.02937059 9.7375E-07 0.07850162 0.00835478 0.03369645 0.00711426 29 May-08 0.00574952 0.00808488 0.00015801 0.0086922 0.00282083 0.0001366 0.0005073 0.01387037 0.03714818 0.0029345 0.07725938 0.01703615 0.10345572 0.03285717 0.00869532 0.01475861 0.02392117 30 Jun-08 0.00592809 0.00172759 0.01458378 0.01596181 0.02207929 0.03501619 0.0181353 0.00187164 0.03272038 0.02867223 0.00533264 0.00959043 0.00456632 0.00087059 0.0115065 0.01040698 0.04148349 31 Jul-08 0.08945569 0.0571018 0.01795562 0.04161203 0.02828352 0.0286163 0.01277164 0.07547942 0.00812052 0.00173233 0.00123366 0.00775115 0.04990581 7.8425E-06 0.00214291 0.00171467 0.01128562 32 Aug-08 0.04865267 0.06494904 0.01323312 0.00098312 0.00474514 0.00149882 0.00666497 0.0507525 0.00240292 0.00341412 0.00319778 0.00034521 4.3006E-05 0.00222175 0.0009277 0.00175872 0.01866248 33 Sep-08 0.10160776 0.0605163 0.04636038 0.00068152 0.01098817 0.01087435 0.0086799 0.0439164 0.02786212 0.00016166 0.07229246 0.03012342 0.16882695 0.08963096 0.01316824 0.01851794 0.01728224 34 Oct-08 0.32835963 0.0937331 0.24073385 0.0259497 0.15133071 0.23143344 0.19584151 0.23568332 0.23223547 0.01842313 0.18434841 0.14655423 0.22104258 0.26520989 0.06413971 0.00050877 0.50576573 35 Nov-08 0.12708228 0.00142266 0.00286001 0.0003324 0.00179726 4.2938E-06 0.00578982 0.0170602 0.02194023 0.00179099 0.0163114 0.08281937 0.04184513 0.00371937 0.00559959 0.01002614 0.04726248 36 Dec-08 0.01429343 0.00251403 9.7111E-06 0.03439977 0.10092494 0.02865059 0.10747993 0.00306587 0.00628337 0.01509622 4.5896E-06 0.00024438 0.00310396 0.16790418 0.02923561 9.6464E-07 0.00389536 37 Jan-09 0.00518929 1.9254E-08 0.03794607 0.02961088 0.00111328 0.07718205 0.01754397 0.06116602 0.00024752 0.00048293 0.00991569 0.02442767 0.00028058 0.01389565 0.00911251 0.05451881 0.01065475 38 Feb-09 0.01923516 0.00391797 0.02829098 0.02679327 0.04377303 0.02020907 0.0056513 0.02442278 0.01962 0.06823665 0.04124808 0.02652527 0.00684594 0.00814305 7.23E-05 0.00135971 0.00022203 39 Mar-09 0.00325676 0.01213391 0.05001125 0.09055103 0.00992323 0.03196538 0.04786509 0.00014586 0.0009091 0.01449994 0.00351562 0.01104113 0.01397435 0.00148339 0.03606572 0.00034899 0.04716577 40 Apr-09 0.0064576 0.08610658 0.05095309 0.00389541 0.12464501 0.0001366 0.05985019 0.25427823 0.10476325 0.03261668 0.03404517 0.0334159 0.12368885 0.05485551 0.00097545 0.03937208 0.08342157 41 May-09 0.00746048 0.13404971 0.01395365 0.00011598 0.00246858 0.03546158 0.00166897 0.00025693 0.12432281 0.00338209 0.06173952 0.00628327 0.01651157 0.15214422 0.0035353 0.06037257 0.00693429 42 Jun-09 0.00875703 1.7977E-05 0.01140641 0.00068709 0.00039606 0.07561352 0.00129656 0.01385612 0.00056488 0.00434348 0.00712776 0.00478172 0.00060526 0.00378044 3.2096E-06 0.00339211 0.0041229 43 Jul-09 0.01106544 0.00461481 0.03750515 0.00277624 0.01711617 0.0001366 0.08050927 1.1638E-06 0.02744758 0.00826155 0.00664151 0.00715867 0.01361904 0.07821367 0.03416228 0.07481676 0.06605009 44 Aug-09 0.0054437 0.00024347 7.0892E-05 0.01157687 0.0001741 0.00141333 0.00241898 0.00275705 0.00370522 0.00170417 0.01663306 0.00113199 0.00996619 0.02874694 0.00489377 0.00754229 4.1387E-06 45 Sep-09 0.00373791 0.00341473 0.00472051 0.00490047 0.00168586 0.00172258 0.01325316 0.00278966 0.02957347 0.00112298 0.00029637 0.00056918 0.00083534 0.00029039 0.00045194 0.00023746 0.01233213 46 Oct-09 0.000137 0.00808488 0.00978106 0.00084348 0.00659908 0.00855544 0.00133504 0.00350016 0.00046232 0.00355576 0.00476284 0.00111232 0.00049734 0.03223115 0.00139911 0.00831905 0.00688352 47 Nov-09 0.00010374 0.00264756 1.5083E-05 0.0009578 0.00020598 0.00153351 0.00629601 0.03356734 0.00144633 0.00394845 0.00832424 0.00038438 0.00070351 0.01267624 0.00395964 7.7093E-05 0.00228855 48 Dec-09 0.00040115 0.00034178 0.00123995 6.1079E-05 3.4603E-05 0.00027427 0.00062304 0.00052465 0.01355849 0.00092158 0.00082188 0.00176324 5.014E-05 2.6847E-05 0.00172201 0.10281133 5.9538E-05
20082009
50 Feb-10 0.00065194 0.00176541 0.00084594 0.001869 0.00869759 0.00019841 0.00547598 0.0004359 0.00030712 0.00881158 0.00050992 0.00438738 0.02212252 0.00224437 0.01459322 0.03705581 0.00071296 51 Mar-10 0.00056071 0.01908242 0.01402616 0.0120941 0.01586209 0.00112484 0.02699832 0.04691117 0.00199001 0.00545339 0.0017503 0.0212902 0.00356068 0.01790288 0.00149177 0.00297884 0.00064849 52 Apr-10 0.01898034 5.5035E-06 0.00772085 0.00074654 0.00324297 0.01075308 0.00279768 0.00053524 2.4187E-05 0.00464347 0.01586262 0.00381878 0.00017563 0.00883889 0.00111207 0.07801942 0.00032996 53 May-10 0.02133471 0.0368474 0.01494888 1.3611E-08 0.00449001 0.01531567 0.01183859 0.06005723 0.01043118 0.01734566 0.00181193 0.00566748 0.01381591 0.02099535 0.00045121 0.06558278 0.01070806 54 Jun-10 0.00427678 0.00365574 0.00671107 0.00289876 0.00286161 0.00135838 0.0081498 0.00734426 0.00979223 0.00188523 0.00069798 0.00108323 0.00451241 7.8425E-06 0.00022364 0.12171025 0.00051561 55 Jul-10 0.00105341 0.00409432 0.00015029 0.0003324 0.00134064 0.00043877 0.00097463 0.00421646 0.00584112 0.00061436 6.857E-05 0.00034816 0.00767327 0.00285576 0.00790315 0.40755403 0.0009097 56 Aug-10 0.00105728 0.00092368 0.00971683 0.00188721 0.00783357 0.0001366 0.00229304 1.6845E-06 0.00294272 0.00948049 0.00026672 0.00150916 6.098E-05 0.00491312 0.00023 0.01238187 0.01725389 57 Sep-10 0.00017495 0.01589892 0.02363798 0.01875269 0.00224367 0.00524532 0.03576634 0.01108496 0.02552696 0.06022887 0.00527546 0.00409628 0.00310421 0.00025069 0.0030339 0.00180993 0.00447663 58 Oct-10 0.02646815 0.00304669 0.00103291 0.00070459 0.0125661 0.02058791 0.00348063 0.00368531 0.00703957 0.00745197 0.04704363 0.00064749 0.00206392 0.00636036 0.00037529 0.0032653 0.00168668 59 Nov-10 0.00494612 0.01138973 0.01610454 0.02369945 0.01141665 0.00172543 0.01367341 0.00864165 0.02503449 0.01093787 0.03481306 0.00124089 0.01082832 0.00242728 0.01819169 0.06828748 7.173E-05 60 Dec-10 0.00199612 0.0012444 0.00018577 0.00156969 0.00077849 0.01816146 0.00024318 0.00295063 0.00075863 2.1016E-05 1.4539E-06 6.5925E-06 0.02943269 0.00363053 7.23E-05 0.00249313 9.4533E-05
σi2 0.0214644 0.037335 0.0173704 0.0133387 0.0142276 0.0158797 0.0161811 0.0264996 0.0191501 0.0102714 0.0166056 0.0138031 0.0255664 0.0243133 0.0071516 0.0380093 0.0197498 1.16523819 0.93689908 0.95468303 1.56347691 1.12985381 0.60601417 0.97972795 0.81438028 1.50841723 1.43448227
2010
0.42194664 2.24255035 2.15382009 1.02485334 0.78698246 0.83942615
1.26639957
Σ
Lampiran 5 Perhitungan Return Pasar
IHSG Rm
Dec-05 1,162.64
2006
1 Jan-06 1,232.32 0.059932567 2 Feb-06 1,230.66 -0.001347053 3 Mar-06 1,322.97 0.075008532 4 Apr-06 1,464.41 0.106910965 5 May-06 1,330.00 -0.091784405 6 Jun-06 1,310.26 -0.014842105 7 Jul-06 1,351.65 0.03158915 8 Aug-06 1,431.26 0.058898383 9 Sep-06 1,534.61 0.072209102 10 Oct-06 1,582.63 0.031291338 11 Nov-06 1,718.96 0.086141423 12 Dec-06 1,805.52 0.050356029
2007
13 Jan-07 1,757.26 -0.026729142 14 Feb-07 1,740.91 -0.009304258 15 Mar-07 1,830.92 0.051702845 16 Apr-07 1,999.17 0.091893693 17 May-07 2,084.32 0.042592676 18 Jun-07 2,139.28 0.026368312 19 Jul-07 2,348.67 0.097878726 20 Aug-07 2,194.34 -0.065709529 21 Sep-07 2,359.21 0.075134209 22 Oct-07 2,643.49 0.120497963 23 Nov-07 2,688.33 0.016962425 24 Dec-07 2,745.83 0.021388743
2008
25 Jan-08 2,627.25 -0.043185485 26 Feb-08 2,721.94 0.036041488 27 Mar-08 2,447.30 -0.100898624 28 Apr-08 2,304.52 -0.058341846 29 May-08 2,444.36 0.060680749 30 Jun-08 2,349.10 -0.038971346 31 Jul-08 2,304.51 -0.018981738 32 Aug-08 2,165.94 -0.060129919 33 Sep-08 1,832.51 -0.153942399 34 Oct-08 1,256.70 -0.314219295 35 Nov-08 1,241.54 -0.01206334 36 Dec-08 1,355.41 0.091716739
2009
37 Jan-09 1,332.67 -0.016777211 38 Feb-09 1,285.48 -0.035410117 39 Mar-09 1,434.07 0.115591063 40 Apr-09 1,722.77 0.201315138 41 May-09 1,916.83 0.112644172 42 Jun-09 2,026.78 0.057360329 43 Jul-09 2,323.24 0.146271426 44 Aug-09 2,341.54 0.00787693 45 Sep-09 2,467.59 0.053832093 46 Oct-09 2,367.70 -0.040480793 47 Nov-09 2,415.84 0.020331968 48 Dec-09 2,534.36 0.04905954
2010
49 Jan-10 2,610.80 0.030161461 50 Feb-10 2,549.03 -0.023659415 51 Mar-10 2,777.30 0.089551712 52 Apr-10 2,971.25 0.069834011 53 May-10 2,796.96 -0.058658814 54 Jun-10 2,913.68 0.041731022 55 Jul-10 3,069.28 0.053403256 56 Aug-10 3,081.88 0.004105197 57 Sep-10 3,501.30 0.136092255 58 Oct-10 3,635.32 0.038277211 59 Nov-10 3,531.21 -0.028638469 60 Dec-10 3,703.51 0.048793473
Σ (Rm) 1.367353016
Lampiran 6 Perhitungan Risiko Pasar
(Rm-(E(Rm)) (Rm-(E(Rm))2
2006
1 Jan-06 0.03714335 0.001379628 2 Feb-06 -0.02413627 0.00058256 3 Mar-06 0.052219315 0.002726857 4 Apr-06 0.084121749 0.007076469 5 May-06 -0.11457362 0.013127115 6 Jun-06 -0.03763132 0.001416116 7 Jul-06 0.008799933 7.74E-05 8 Aug-06 0.036109167 0.001303872 9 Sep-06 0.049419886 0.002442325 10 Oct-06 0.008502121 7.23E-05 11 Nov-06 0.063352206 0.004013502 12 Dec-06 0.027566812 0.000759929
2007
13 Jan-07 -0.04951836 0.002452068 14 Feb-07 -0.03209347 0.001029991 15 Mar-07 0.028913628 0.000835998 16 Apr-07 0.069104476 0.004775429 17 May-07 0.019803459 0.000392177 18 Jun-07 0.003579095 1.28E-05 19 Jul-07 0.075089509 0.005638434 20 Aug-07 -0.08849875 0.007832028 21 Sep-07 0.052344992 0.002739998 22 Oct-07 0.097708746 0.009546999 23 Nov-07 -0.00582679 3.40E-05 24 Dec-07 -0.00140047 1.96E-06
2008
25 Jan-08 -0.0659747 0.004352661 26 Feb-08 0.013252271 0.000175623 27 Mar-08 -0.12368784 0.015298682 28 Apr-08 -0.08113106 0.006582249 29 May-08 0.037891532 0.001435768 30 Jun-08 -0.06176056 0.003814367 31 Jul-08 -0.04177095 0.001744813 32 Aug-08 -0.08291914 0.006875583 33 Sep-08 -0.17673162 0.031234064 34 Oct-08 -0.33700851 0.113574737 35 Nov-08 -0.03485256 0.001214701 36 Dec-08 0.068927522 0.004751003
2009
37 Jan-09 -0.03956643 0.001565502 38 Feb-09 -0.05819933 0.003387162 39 Mar-09 0.092801846 0.008612183 40 Apr-09 0.178525921 0.031871505 41 May-09 0.089854955 0.008073913 42 Jun-09 0.034571112 0.001195162 43 Jul-09 0.123482209 0.015247856 44 Aug-09 -0.01491229 0.000222376 45 Sep-09 0.031042876 0.00096366 46 Oct-09 -0.06327001 0.004003094 47 Nov-09 -0.00245725 6.04E-06 48 Dec-09 0.026270323 0.00069013
2010
49 Jan-10 0.007372244 5.44E-05 50 Feb-10 -0.04644863 0.002157475 51 Mar-10 0.066762495 0.004457231 52 Apr-10 0.047044795 0.002213213 53 May-10 -0.08144803 0.006633782 54 Jun-10 0.018941805 0.000358792 55 Jul-10 0.030614039 0.000937219 56 Aug-10 -0.01868402 0.000349093 57 Sep-10 0.113303038 0.012837579 58 Oct-10 0.015487994 0.000239878 59 Nov-10 -0.05142769 0.002644807 60 Dec-10 0.026004256 0.000676221
Σ 0.370722414
σm2 return market 0.006283431
(Rm-(E(Rm))2
1 Jan-06 0.001379628 -0.000356 0.0065861 -0.000662 0.0017808 0.003568 -0.001216 0.002011 0.002652 -0.002637 0.001503 0.005456 0.006552 0.001232 0.005998 0.002202 -0.000238 -0.000137 2 Feb-06 0.00058256 -0.003092 0.0018577 0.002296 0.0006065 0.001738 0.002229 0.002923 -0.000895 0.002015 0.002399 -0.001183 -0.003286 0.000236 -0.001188 0.000588 -0.009274 0.000128 3 Mar-06 0.002726857 0.000113 0.0032511 0.006837 0.0073885 0.010192 0.005803 0.002238 0.003357 0.001122 -0.001234 0.000497 0.00051 -0.002272 -0.000327 0.005452 0.007065 0.003259 4 Apr-06 0.007076469 0.002773 0.0255185 0.000525 0.0024961 0.011409 0.005151 0.006076 0.01103 0.019485 0.003698 0.011288 0.0179598 0.032813 0.002018 0.007209 0.018103 0.016331 5 May-06 0.013127115 0.006343 0.0280218 0.024902 0.0092907 0.019918 0.013575 0.017302 0.00545 0.023622 0.009012 0.020686 0.0044224 -0.006984 0.026317 0.008562 -0.014287 0.00615 6 Jun-06 0.001416116 0.001513 -0.000784 0.001601 0.0006861 -0.000379 0.005553 0.000507 0.001701 0.003833 0.005629 0.002693 0.0040693 0.004343 0.000765 -0.001281 0.003462 0.001675 7 Jul-06 7.74388E-05 0.002151 0.0009314 -0.000465 5.344E-07 0.00013 0.000506 -7.01E-05 -0.000129 0.001365 -4.03E-05 0.000101 0.000197 -0.000141 -0.000339 4.49E-05 0.001622 -6.57E-05 8 Aug-06 0.001303872 0.002224 0.0007213 0.00429 0.002585 -0.000374 0.005101 0.005848 0.002444 0.003441 0.00089 -0.002213 0.0016441 -0.000634 -0.003325 0.001874 -0.004392 -0.00064 9 Sep-06 0.002442325 -0.002524 1.539E-06 0.004161 0.0020859 0.00487 0.003457 0.003752 0.000513 0.000612 0.008197 -0.002144 -0.003654 -0.003117 0.001826 0.00302 -0.00502 0.000379 10 Oct-06 7.22861E-05 0.000265 0.0020843 0.000331 -0.000463 -0.000237 0.000943 0.001197 0.000922 0.000221 4.36E-05 -0.000441 -0.000684 -0.000285 -0.000178 -0.000123 -0.005262 0.000324 11 Nov-06 0.004013502 0.003301 0.004298 0.009685 0.0077006 0.00405 0.002454 -0.000815 0.000669 0.000925 0.00641 -0.001978 -0.004458 -0.007202 -0.006809 0.010774 0.010752 -0.003787 12 Dec-06 0.000759929 0.003939 0.0011334 -0.001464 -0.001023 -0.0018 0.001883 0.000381 0.002542 -0.002033 0.004668 0.002306 0.0010398 0.000797 0.005575 0.000323 0.001502 -0.000799 13 Jan-07 0.002452068 -0.000367 0.0021534 0.004534 0.0018551 -6.07E-05 0.006814 0.007095 -0.001458 -0.010588 0.005729 0.002173 0.0107038 0.008378 0.003385 0.003608 0.004301 0.000692 14 Feb-07 0.001029991 0.002871 -0.004756 0.00293 0.0016864 0.004226 0.001191 0.004118 -0.004515 0.003689 0.000682 -0.00183 0.0023869 -9.21E-06 0.000742 0.002141 0.001382 0.000477 15 Mar-07 0.000835998 -0.001047 0.0082031 -0.002831 0.0005002 0.001019 0.003685 0.001274 0.010574 -0.001841 0.001583 -0.000845 0.000526 -0.000297 -0.001114 0.00284 0.000183 0.000585 16 Apr-07 0.004775429 0.014498 0.0205909 0.003696 0.0014501 0.000809 -0.001863 0.013737 0.005778 0.002828 0.005764 -0.001566 0.0066681 0.005164 0.003621 0.003973 -0.002134 0.001594 17 May-07 0.000392177 -0.001614 -0.002397 0.002009 -0.000548 0.002654 0.001457 0.000509 -0.002584 0.000334 -0.000236 0.000109 -0.000996 0.005752 0.000337 -0.00196 -0.001837 -0.001759 18 Jun-07 1.28099E-05 -0.000464 -0.000437 -2.48E-05 7.109E-05 -0.000305 -9.3E-05 -0.000249 -9.3E-05 0.000474 -0.000149 -8.11E-05 -0.000374 0.000687 0.000757 8.2E-05 -0.000305 0.000173 19 Jul-07 0.005638434 0.005718 -0.060323 0.005409 0.0103422 0.005087 0.01599 0.007267 -0.000333 -0.003783 0.00832 0.015326 -0.003579 -0.003037 0.00185 0.009653 0.007179 -0.000156 20 Aug-07 0.007832028 0.009612 0.0163859 0.00756 0.0058277 0.003172 0.005224 0.009667 0.008209 0.009561 0.001016 0.00853 -0.007222 0.016908 0.001656 0.003518 -0.001751 0.009084 21 Sep-07 0.002739998 0.007047 0.0112461 0.002146 0.0003543 0.001471 0.001989 0.002795 0.007488 -2.07E-05 0.003395 0.002902 0.007805 0.004366 0.003574 0.000279 0.000315 -0.001683 22 Oct-07 0.009546999 0.029222 0.0184396 0.028574 0.0164893 0.014299 0.001171 0.003879 0.037658 0.009953 0.012242 0.011514 0.0132223 0.03185 0.018521 -0.003051 -0.000648 0.02842 23 Nov-07 3.39515E-05 -0.00053 -0.002197 0.000355 0.0002659 0.000125 0.000304 0.000529 -5.73E-05 -0.000639 0.000295 -0.000853 -0.001053 -0.001639 -0.000816 0.000375 -0.00225 9.97E-05 24 Dec-07 1.96133E-06 -8.4E-05 8.58E-05 -7.64E-05 -1.39E-05 0.000111 6.7E-05 6.34E-05 1.94E-05 2.55E-05 -5.26E-05 7.7E-05 0.0001656 8.96E-05 -3.09E-05 1.19E-05 -0.000187 0.000106
TLKM UNSP UNTR INDF ISAT MEDC PGAS PTBA SMCB
INCO
20062007
AALI ANTM ASII BBCA BBRI BDMN BMRI
26 Feb-08 0.000175623 8.15E-05 0.0017011 -0.000204 -0.000148 8.88E-06 0.000673 -0.000613 0.002036 -3.49E-05 -0.000527 0.000131 4.438E-05 -0.00068 -0.00204 0.000675 0.001646 -0.00064 27 Mar-08 0.015298682 0.02748 0.0249125 0.020618 0.0134994 0.018912 0.013572 0.008582 0.036404 0.030076 -0.003947 0.02506 0.000141 0.022014 0.020897 0.002945 0.01133 0.012039 28 Apr-08 0.006582249 0.01001 -0.002133 0.017256 0.00772 0.006771 0.015058 0.009616 0.006901 0.00483 0.01237 -0.013937 0.0139041 8.01E-05 0.022731 0.007416 -0.014893 0.006843 29 May-08 0.001435768 0.002873 -0.003407 0.000476 -0.003533 -0.002012 -0.000443 -0.000853 -0.004463 0.007303 -0.002053 0.010532 0.0049457 0.012188 0.006868 -0.003533 -0.004603 0.00586 30 Jun-08 0.003814367 -0.004755 0.002567 0.007458 0.0078028 0.009177 0.011557 0.008317 0.002672 0.011172 -0.010458 0.00451 0.0060483 -0.004173 0.001822 0.006625 0.0063 0.012579 31 Jul-08 0.001744813 0.012493 0.0099816 -0.005597 -0.008521 -0.007025 -0.007066 -0.004721 0.011476 0.003764 0.001739 0.001467 0.0036775 0.009331 0.000117 -0.001934 0.00173 0.004437 32 Aug-08 0.006875583 0.01829 0.021132 0.009539 -0.0026 0.005712 0.00321 0.006769 0.01868 0.004065 0.004845 -0.004689 -0.001541 -0.000544 0.003908 -0.002526 0.003477 0.011328 33 Sep-08 0.031234064 0.056335 0.0434761 0.038053 0.0046138 0.018526 0.01843 0.016465 0.037036 0.0295 0.002247 0.047518 0.0306737 0.072616 0.052911 0.02028 -0.02405 0.023233 34 Oct-08 0.113574737 0.193115 0.1031781 0.165352 0.0542884 0.131101 0.162126 0.14914 0.163608 0.162407 0.045743 0.144697 0.129015 0.158445 0.173554 0.08535 -0.007602 0.239671 35 Nov-08 0.001214701 -0.012424 0.0013146 -0.001864 0.0006354 0.001478 7.22E-05 0.002652 -0.004552 0.005162 0.001475 0.004451 -0.01003 -0.007129 0.002126 -0.002608 -0.00349 -0.007577 36 Dec-08 0.004751003 0.008241 0.003456 -0.000215 0.0127841 0.021897 0.011667 0.022597 -0.003817 -0.005464 0.008469 0.000148 -0.001078 -0.00384 0.028244 0.011786 -6.77E-05 0.004302 37 Jan-09 0.001565502 -0.00285 0.0005% -0.007707 0.0068085 0.00132 0.010992 0.005241 -0.009785 -0.000622 0.000869 0.00394 -0.006184 -0.000663 0.004664 0.003777 -0.009238 -0.004084 38 Feb-09 0.003387162 -0.008072 -0.3643% 0.009789 0.0095264 0.012176 -0.008274 0.004375 0.009095 0.008152 0.015203 -0.01182 0.0094787 0.004815 0.005252 0.000495 -0.002146 -0.000867 39 Mar-09 0.008612183 0.005296 -1.0222% 0.020753 0.0279257 0.009244 0.016592 0.020303 -0.001121 0.002798 0.011175 0.005502 0.0097513 -0.01097 -0.003574 0.017624 -0.001734 0.020154 40 Apr-09 0.031871505 0.014346 5.2387% 0.040298 0.0111424 0.063029 -0.002087 0.043675 0.090023 0.057784 0.032242 0.03294 0.0326346 0.062787 0.041813 0.005576 0.035424 0.051563 41 May-09 0.008073913 0.007761 3.2898% 0.010614 -0.000968 0.004464 0.016921 0.003671 0.00144 0.031682 -0.005226 0.022327 0.0071225 0.011546 0.035049 -0.005343 -0.022078 0.007482 42 Jun-09 0.001195162 -0.003235 0.0147% 0.003692 0.0009062 -0.000688 0.009506 0.001245 0.004069 0.000822 -0.002278 -0.002919 0.0023906 -0.000851 0.002126 -6.19E-05 0.002013 -0.00222 43 Jul-09 0.015247856 0.012989 0.8388% 0.023914 0.0065063 0.016155 -0.001443 0.035037 0.000133 0.020458 0.011224 0.010063 0.0104477 0.01441 0.034534 0.022823 0.033776 0.031735 44 Aug-09 0.000222376 -0.0011 -0.0233% 0.000126 -0.001605 -0.000197 0.000561 0.000733 0.000783 -0.000908 0.000616 0.001923 0.0005017 0.001489 0.002528 0.001043 -0.001295 3.03E-05 45 Sep-09 0.00096366 -0.001898 0.1814% 0.002133 0.0021731 -0.001275 0.001288 0.003574 -0.00164 0.005338 0.00104 -0.000534 0.0007406 0.000897 0.000529 0.00066 0.000478 0.003447 46 Oct-09 0.004003094 0.000741 0.5689% 0.006257 0.0018375 0.00514 0.005852 0.002312 0.003743 0.00136 0.003773 0.004366 0.0021101 -0.001411 -0.011359 0.002367 -0.005771 0.005249 47 Nov-09 6.03807E-06 2.5E-05 0.0126% 9.54E-06 -7.6E-05 -3.53E-05 9.62E-05 0.000195 0.00045 9.35E-05 0.000154 0.000224 4.818E-05 -6.52E-05 0.000277 -0.000155 2.16E-05 0.000118 48 Dec-09 0.00069013 -0.000526 -0.0486% 0.000925 -0.000205 0.000155 0.000435 0.000656 0.000602 0.003059 -0.000798 -0.000753 0.0011031 -0.000186 -0.000136 0.00109 -0.008423 -0.000203
20092008
50 Feb-10 0.002157475 0.001186 0.1952% 0.001351 0.0020081 0.004332 -0.000654 0.003437 -0.00097 -0.000814 0.00436 -0.001049 0.0030766 0.006909 -0.0022 0.005611 -0.008941 0.00124 51 Mar-10 0.004457231 -0.001581 0.9223% 0.007907 0.0073421 0.008408 0.002239 0.01097 0.01446 -0.002978 0.00493 0.002793 0.0097414 0.003984 0.008933 -0.002579 -0.003644 0.0017 52 Apr-10 0.002213213 -0.006481 0.0110% 0.004134 -0.001285 0.002679 0.004878 0.002488 0.001088 -0.000231 0.003206 0.005925 -0.002907 0.000623 0.004423 -0.001569 -0.013141 0.000855 53 May-10 0.006633782 0.011897 1.5635% 0.009958 -9.5E-06 0.005458 0.01008 0.008862 0.01996 0.008319 0.010727 0.003467 0.0061316 0.009573 0.011802 0.00173 0.020858 0.008428 54 Jun-10 0.000358792 -0.001239 -0.1145% 0.001552 0.0010198 0.001013 0.000698 0.00171 -0.001623 0.001874 -0.000822 0.0005 -0.000623 -0.001272 -5.3E-05 -0.000283 -0.006608 -0.00043 55 Jul-10 0.000937219 -0.000994 0.1959% 0.000375 -0.000558 0.001121 -0.000641 -0.000956 0.001988 0.00234 -0.000759 0.000254 0.0005712 -0.002682 0.001636 0.002722 -0.019544 0.000923 56 Aug-10 0.000349093 0.000608 0.0568% 0.001842 0.0008117 0.001654 0.000218 0.000895 -2.42E-05 0.001014 0.001819 -0.000305 0.0007258 0.000146 0.00131 -0.000283 0.002079 0.002454 57 Sep-10 0.012837579 0.001499 1.4286% 0.01742 0.0155158 0.005367 0.008206 0.021428 0.011929 0.018103 0.027806 0.008229 -0.007252 0.006313 0.001794 0.006241 0.00482 0.007581 58 Oct-10 0.000239878 0.00252 0.0855% -0.000498 0.0004111 0.001736 0.002222 -0.000914 -0.00094 -0.001299 0.001337 0.003359 0.0003941 -0.000704 -0.001235 -0.0003 -0.000885 0.000636 59 Nov-10 0.002644807 0.003617 0.5489% 0.006526 0.0079171 0.005495 0.002136 0.006014 0.004781 0.008137 0.005379 0.009596 -0.001812 0.005352 0.002534 0.006936 -0.013439 0.000436 60 Dec-10 0.000676221 0.001162 0.0917% 0.000354 0.0010303 -0.000726 -0.003504 -0.000406 0.001413 0.000716 -0.000119 -3.14E-05 6.677E-05 0.004461 -0.001567 -0.000221 -0.001298 -0.000253 0.426448 0.4376148 0.521495 0.2913203 0.441464 0.394318 0.48962 0.520164 0.475868 0.27898 0.402858 0.3163246 0.466351 0.522834 0.258761 -0.055788 0.497225 1.150316 1.1804378 1.406699 0.7858179 1.190821 1.063646 1.32072 1.403108 1.283624 0.752531 1.086683 0.8532655 1.257953 1.410311 0.697991 -0.150484 1.341234 0.03049 0.0085145 0.025546 0.011593 0.017841 0.002701 0.020061 0.023212 0.027186 -0.001773 -0.000512 0.0192934 0.045085 0.0266 0.002606 0.019953 0.033174
alpha
2010
Total beta
Lampiran 8 Perhitungan Return Bebas Risiko
SBI
2006
1 31-Jan 12.75%
2 28-Feb 12.75%
3 31-Mar 12.75%
4 29-Apr 12.75%
5 31-May 12.50%
6 30-Jun 12.50%
7 29-Jul 12.25%
8 31-Ags 11.75%
9 30-Sep 11.25%
10 31-Oct 10.75%
11 30-Nov 10.25%
12 29-Dec 9.75%
2007
13 30-Jan 9.50%
14 28-Feb 9.25%
15 29-Mar 9.00%
16 28-Apr 9.00%
17 31-May 8.75%
18 30-Jun 8.50%
19 31-Jul 8.25%
20 31-Ags 8.25%
21 29-Sep 8.25%
22 30-Oct 8.25%
23 30-Nov 8.25%
24 29-Des 8.00%
2008
25 31-Jan 8.00%
26 28-Feb 7.93%
27 30-Mar 7.96%
28 30-Apr 7.99%
29 31-May 8.31%
30 29-Jun 8.73%
31 31-Jul 9.23%
32 31-Ags 9.28%
33 28-Sep 9.71%
34 31-Oct 10.98%
35 30-Nov 11.24%
36 28-Des 10.83%
2009
37 31-Jan 9.50%
38 29-Feb 8.74%
39 31-Mar 8.21%
40 30-Apr 7.59%
41 30-May 7.25%
42 30-Jun 6.95%
43 31-Jul 6.71%
44 29-Ags 6.58%
45 29-Sep 6.48%
46 31-Oct 6.49%
47 28-Nov 6.47%
48 30-Dec 6.46%
2010
49 30-Jan 6.27%
50 27-Feb 6.20%
51 31-Mar 6.30%
52 30-Apr 6.26%
53 29-May 6.26%
54 30-Jun 6.26%
55 31-Jul 6.26%
56 31-Ags 6.26%
57 30-Sep 6.26%
58 30-Oct 6.26%
59 30-Nov 6.26%
60 30-Dec 6.26%
Σ 517.98%
E(Rf) 0.08633 Rf 0.001439
no kode
1 AALI 0.021464 1.323227 0.006283 0.021464
2 ANTM 0.036505 1.393433 0.006283 0.02775
3 ASII 0.01737 1.978802 0.006283 0.004937
4 BBCA 0.013339 0.61751 0.006283 0.009459
5 BBRI 0.014228 1.418055 0.006283 0.005317
6 BDMN 0.01588 1.131343 0.006283 0.008771
7 BMRI 0.016181 1.744301 0.006283 0.005221
8 INCO 0.0265 1.968712 0.006283 0.014129
9 INDF 0.01915 1.64769 0.006283 0.01915
10 ISAT 0.010271 0.566303 0.006283 0.006713
11 MEDC 0.016606 1.18088 0.006283 0.009186
12 PGAS 0.013803 0.728062 0.006283 0.013803
13 PTBA 0.025566 1.582446 0.006283 0.025566
14 SMCB 0.024313 1.988976 0.006283 0.011816
15 TLKM 0.007152 0.487192 0.006283 0.00409
16 UNSP 0.038009 0.022645 0.006283 0.037867
17 UNTR 0.01975 1.798908 0.006283 0.01975
No Kode E(Ri) β Rf ERB 1 PTBA 0.055713 1.257953 0.001439 0.043145 2 AALI 0.040208 1.150316 0.001439 0.033703 3 UNTR 0.044505 1.341234 0.001439 0.03211 4 PGAS 0.026502 0.853265 0.001439 0.029373 5 INDF 0.038031 1.283624 0.001439 0.028507 6 SMCB 0.038515 1.410311 0.001439 0.026289 7 ASII 0.03743 1.406699 0.001439 0.025586 8 INCO 0.035066 1.403108 0.001439 0.023966 9 BMRI 0.031219 1.32072 0.001439 0.022548 10 BBRI 0.027901 1.190821 0.001439 0.022222 11 BBCA 0.018232 0.785818 0.001439 0.02137 12 ANTM 0.018487 1.180438 0.001439 0.014443 13 TLKM 0.008503 0.697991 0.001439 0.010121 14 BDMN 0.011688 1.063646 0.001439 0.009635 15 MEDC 0.008668 1.086683 0.001439 0.006653 16 ISAT 0.004584 0.752531 0.001439 0.00418 17 UNSP 0.018681 -0.15048 0.001439 -0.11458
No Kode ERB E(Ri) Rf βi σei2 A B Σ A Σ B Ci 1 PTBA 0.043145 0.055713 0.001439 1.257953 0.025566 2.670481 61.89557 2.670481 61.89557 0.012081 2 AALI 0.033703 0.040208 0.001439 1.150316 0.021464 2.077721 61.64754 4.748201 123.5431 0.016796 3 UNTR 0.03211 0.044505 0.001439 1.341234 0.01975 2.924706 91.08487 7.672907 214.628 0.020528 4 PGAS 0.029373 0.026502 0.001439 0.853265 0.013803 1.549344 52.74643 9.222251 267.3744 0.021622 5 INDF 0.028507 0.038031 0.001439 1.283624 0.01915 2.452737 86.04097 11.67499 353.4154 0.022778 6 SMCB 0.026289 0.038515 0.001439 1.410311 0.011816 4.425359 168.3339 16.10035 521.7493 0.023646 7 ASII 0.025586 0.03743 0.001439 1.406699 0.004937 10.25552 400.8329 26.35587 922.5821 0.024365 8 INCO 0.023966 0.035066 0.001439 1.403108 0.014129 3.339307 139.335 29.69518 1061.917 0.024319 9 BMRI 0.022548 0.031219 0.001439 1.32072 0.005221 7.533482 334.1013 37.22866 1396.018 0.023939 10 BBRI 0.022222 0.027901 0.001439 1.190821 0.005317 5.926329 266.6863 43.15499 1662.705 0.023687 11 BBCA 0.02137 0.018232 0.001439 0.785818 0.009459 1.395167 65.28548 44.55016 1727.99 0.023607 12 ANTM 0.014443 0.018487 0.001439 1.180438 0.02775 0.725219 50.21403 45.27538 1778.204 0.02337 13 TLKM 0.010121 0.008503 0.001439 0.697991 0.00409 1.205429 119.1062 46.4808 1897.31 0.022602 14 BDMN 0.009635 0.011688 0.001439 1.063646 0.008771 1.242856 128.9879 47.72366 2026.298 0.021837 15 MEDC 0.006653 0.008668 0.001439 1.086683 0.009186 0.855291 128.5581 48.57895 2154.856 0.020993 16 ISAT 0.00418 0.004584 0.001439 0.752531 0.006713 0.352602 84.35796 48.93155 2239.214 0.020402 17 UNSP -0.11458 0.018681 0.001439 -0.15048 0.037867 -0.06852 0.598025 48.86303 2239.812 0.020368
Lampiran 12 Perhitungan Xi dan Wi
β σei ERB Ci Xi Wi
PTBA 1.257953 0.025566 0.043145 0.024365 0.92406 0.294159
AALI 1.150316 0.021464 0.033703 0.024365 0.500477 0.159318
UNTR 1.341234 0.01975 0.03211 0.024365 0.525982 0.167437
PGAS 0.853265 0.013803 0.029373 0.024365 0.309636 0.098567
INDF 1.410311 0.01915 0.028507 0.024365 0.305044 0.097106
SMCB 1.406699 0.011816 0.026289 0.024365 0.229135 0.072941
ASII 1.403108 0.004937 0.025586 0.024365 0.34703 0.110471
Σ 3.141365 100%
0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 99.88% 0% 0% 0% 0.12% 1 15.98% 5.57% 34.85%
0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 84.71% 0% 0% 0% 15.29% 1 15.55% 5.40% 34.74%
0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 75.79% 0% 0% 0% 24.21% 1 15.28% 5.30% 34.69%
0% 0% 4.08% 0% 0% 0% 0% 0% 0% 0% 0% 0% 69.44% 0% 0% 0% 26.48% 1 15.05% 5.20% 34.55%
0% 0% 10.02% 0% 0% 0% 0% 0% 0% 0% 0% 0% 64.27% 0% 0% 0% 25.71% 1 14.80% 5.10% 34.46%
0% 0% 12.47% 0% 0% 0% 0% 0% 0% 0% 0% 0% 60.76% 0% 0% 0% 24.09% 1 14.54% 5.00% 34.40%
0% 0% 12.79% 0% 0% 0% 0% 0% 0% 0% 0% 0% 58.14% 0% 0% 0% 22.02% 1 14.28% 4.90% 34.31%
0% 0% 13.11% 0% 0% 0% 0% 0% 0% 0% 0% 0% 55.52% 0% 0% 0% 19.96% 1 14.00% 4.80% 34.28%
0% 0% 13.43% 0% 0% 0% 0% 0% 0% 0% 0% 0% 52.90% 0% 0% 0% 17.90% 1 13.69% 4.70% 34.34%
0% 0% 13.19% 0% 0% 0% 0% 0% 0% 0% 0% 0% 50.51% 0% 0% 0% 16.52% 1 13.39% 4.60% 34.36%
0% 0% 12.36% 0% 0% 0% 0% 0% 0% 0% 0% 0% 50.28% 0% 0% 0% 15.88% 1 13.08% 4.50% 34.41%
17.02% 0% 12.18% 0% 0% 0% 0% 0% 7.12% 0% 0% 12.37% 50.16% 0% 0% 0% 13.34% 1 12.76% 4.41% 34.56%
16.77% 0% 11.86% 0% 0% 0% 0% 0% 7.79% 0% 0% 11.78% 43.86% 0% 0% 0% 13.15% 1 12.38% 4.30% 34.73%
16.14% 0% 11.49% 0% 0% 0% 0% 0% 8.91% 0% 0% 11.39% 41.56% 0% 0% 0% 12.88% 1 12.08% 4.20% 34.76%
15.93% 0% 11.05% 0% 0% 0% 0% 0% 9.71% 0% 0% 9.86% 29.42% 7.29% 0% 0% 16.74% 1 11.69% 4.09% 34.97%
15.00% 0% 0% 13.82% 0% 0% 0% 0% 11.17% 0% 0% 9.85% 29.10% 6.58% 0% 0% 11.08% 1 11.46% 4.00% 34.91%
14.46% 0% 0% 15.92% 0% 0% 0% 0% 12.11% 0% 0% 9.85% 28.95% 5.73% 0% 0% 10.13% 1 11.19% 3.90% 34.86%
13.94% 0% 0% 18.04% 0% 0% 0% 0% 12.43% 0% 0% 9.23% 28.39% 4.78% 0% 0% 9.16% 1 10.94% 3.80% 34.75%
12.37% 0% 0% 20.14% 0% 0% 0% 0% 12.85% 0% 0% 8.92% 28.01% 3.50% 0% 0% 8.22% 1 10.64% 3.70% 34.77%
10.83% 0% 0% 22.24% 0% 0% 0% 0% 13.26% 0% 0% 8.37% 27.82% 3.10% 0% 0% 7.27% 1 10.33% 3.60% 34.85%
8.29% 0% 0% 24.34% 0% 0% 0% 0% 13.67% 0% 0% 7.70% 25.53% 2.78% 0% 0% 6.30% 1 10.03% 3.50% 34.88%
8.51% 0% 0% 25.39% 0% 0% 0% 0% 14.08% 0% 0% 7.46% 23.81% 2.15% 1.22% 0% 5.15% 1 9.76% 3.40% 34.85%
8.15% 0% 0% 24.72% 0% 0% 0% 0% 14.43% 0% 0% 6.58% 22.99% 0% 4.61% 0% 4.39% 1 9.48% 3.30% 34.79%
7.88% 0% 0% 23.98% 0% 0% 0% 0% 14.65% 0% 0% 5.68% 22.22% 0% 8.07% 0% 3.45% 1 9.17% 3.20% 34.89%
7.59% 0% 0% 23.22% 0% 0% 0% 0% 14.80% 0% 0% 5.18% 21.47% 0% 11.54% 0% 2.50% 1 8.93% 3.10% 34.72%
7.28% 0% 0% 22.48% 0% 0% 0% 0% 14.62% 0% 0% 4.93% 20.71% 0% 14.98% 0% 1.57% 1 8.61% 3.00% 34.86%
6.99% 0% 0% 21.73% 0% 0% 0% 0% 14.49% 0% 0% 4.45% 19.95% 0% 18.43% 0% 0.63% 1 8.38% 2.90% 34.60%
6.61% 0% 0% 21.04% 0% 0% 0% 0% 14.38% 0.41% 0% 3.37% 19.13% 0% 21.45% 0% 0% 1 8.10% 2.80% 34.59%
6.08% 0% 0% 20.04% 0% 0% 0% 0% 14.17% 1.97% 0% 2.27% 18.35% 0% 23.67% 0% 0% 1 7.88% 2.70% 34.27%
4.67% 0% 0% 17.45% 0% 0% 0% 0% 13.73% 5.24% 0% 0% 16.41% 0% 27.43% 0% 0% 1 7.54% 2.50% 33.17%
3.84% 0% 0% 15.90% 0% 0% 0% 0% 13.33% 6.83% 0% 0% 15.14% 0% 28.99% 0% 0% 1 7.42% 2.40% 32.33%
2.99% 0% 0% 14.37% 0% 0% 0% 0% 12.87% 8.44% 0% 0% 13.82% 0% 30.43% 0% 0% 1 7.32% 2.30% 31.43%
2.10% 0% 0% 12.84% 0% 0% 0% 0% 12.26% 9.94% 0% 0% 12.61% 0% 32.02% 0% 0% 1 7.22% 2.20% 30.48%
1.20% 0% 0% 11.20% 0% 0% 0% 0% 11.69% 11.45% 0% 0% 11.44% 0% 33.30% 14.00% 0% 1 7.13% 2.10% 29.46%
0.28% 0% 0% 9.56% 0% 0% 0% 0% 11.09% 12.96% 0% 0% 10.26% 0% 34.60% 14.06% 0% 1 7.05% 2.00% 28.39%
0% 0% 0% 8.00% 0% 0% 0% 0% 10.51% 14.63% 0% 0% 8.84% 0% 35.71% 14.05% 0% 1 6.97% 1.90% 27.25%
0% 0.37% 0% 6.60% 0% 0% 0% 0% 9.51% 16.05% 0% 0% 7.23% 0% 36.85% 14.05% 0% 1 6.91% 1.80% 26.05%
0% 0.77% 0% 5.32% 0% 0% 0% 0% 7.31% 17.31% 0.48% 0% 5.71% 0% 37.81% 14.04% 0% 1 6.86% 1.70% 24.79%
0% 1.02% 0% 4.22% 0% 0% 0% 0% 4.93% 18.34% 1.92% 0% 4.15% 0% 38.46% 14.00% 0% 1 6.81% 1.60% 23.49%
0% 1.26% 0% 3.12% 0% 0% 0% 0% 2.44% 19.38% 3.34% 0% 2.60% 0% 39.07% 13.96% 0% 1 6.77% 1.50% 22.15%
0% 1.51% 0% 2.01% 0% 0% 0% 0% 0% 20.39% 4.76% 0% 1.06% 0% 39.75% 13.93% 0% 1 6.74% 1.40% 20.77%
0% 1.81% 0% 0.74% 0% 0% 0% 0% 0% 21.50% 6.17% 0% 0% 0% 40.81% 13.89% 0% 1 6.71% 1.30% 19.36%
0% 2.23% 0% 0% 0% 0% 0% 0% 0% 22.69% 7.72% 0% 0% 0% 42.22% 13.84% 0% 1 6.70% 1.20% 17.91%
0% 2.73% 0% 0% 0% 0% 0% 0% 0% 23.74% 9.34% 0% 0% 0% 43.32% 13.81% 0% 1 6.70% 1.10% 16.41%
0% 3.19% 0% 0% 0% 0% 0% 0% 0% 24.90% 10.95% 0% 0% 0% 44.27% 13.75% 0% 1 6.72% 1.00% 14.88%
0% 2.43% 0% 0% 0% 0% 0% 0% 0% 27.29% 12.77% 0% 0% 0% 44.71% 12.80% 0% 1 6.76% 0.90% 13.31%
0% 0% 0% 0% 0% 0% 0% 0% 0% 36.18% 13.35% 0% 0% 0% 41.71% 8.77% 0% 1 6.95% 0.80% 11.51%
0% 0% 0% 0% 0% 0% 0% 0% 0% 47.17% 12.34% 0% 0% 0% 37.30% 3.19% 0% 1 7.42% 0.70% 9.44%
0% 0% 0% 0% 0% 0% 0% 0% 0% 64.28% 9.58% 0% 0% 0% 26.15% 0% 0% 1 8.18% 0.60% 7.34%
0% 0% 0% 0% 0% 0% 0% 0% 0% 89.58% 4.47% 0% 0% 0% 5.95% 0% 0% 1 9.47% 0.50% 5.28%
0% 0% 0% 0% 0% 0% 0% 0% 0% 99.62% 0.38% 0% 0% 0% 0% 0% 0% 1 10.11% 0.46% 4.55%
Data Pribadi :
Nama : Almira harmayati
Tempat,Tanggal Lahir : Jakarta, 18 Maret 1989
Alamat : Jl. Masjid Baiturrahim Gg. Mushola No.16A Pondok Karya- Pondok Aren, Tangerang
Jenis Kelamin : Perempuan
E-mail : [email protected]
Riwayat Pendidikan Formal
Sekolah Dasar SD Gunung 03 Pagi, Jakarta 1995 - 2001 SMP SMP Negeri 11, Jakarta 2001 - 2004
SMA SMA Negeri 82, Jakarta 2004 - 2007
Perguruan Tinggi STIE Indonesia Banking School 2007 - Sekarang (IPK : 3, 16 ; skala 4)
Pengalaman Organisasi dan Pelatihan
Organisasi
Tahun Nama Organisasi Tempat Jabatan
2009 Tugas Komunikasi Bisnis, Film “Menggapai
Mimpi” Jakarta Ketua Sie.
Dokumentasi 2008 - 2009 Senat Mahasiswa Indonesia Banking School Jakarta Pelaksana Divisi
Penalaran 2009 Senat Mahasiswa Event - Miss IBS Jakarta Sie. Publikasi 2009 Senat Mahasiswa Event - Program Orientasi
Mahasiswa 2009 Jakarta Ketua Pelaksana
2009 Senat Mahasiswa Event - Indonesia Banking
Solution Jakarta Sie. Publikasi
2009 Senat Mahasiswa Event - Pesta Internal
Mahasiswa Jakarta Sie. Acara
Pelatihan
Tahun Pelatihan Status Trainer
2011 Trade Financing Certified E-Depro
2010 Credit Analysis - UKM Certified E-Depro
2009 Basic Treasury Certified MatAir