SUMMARY OUTPUT

Regression Statistics
Multiple R 0.071155
R Square
0.005063
Adjusted R Square
-0.02112
Standard Error0.02515
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.000122 0.000122 0.193376 0.662612
38 0.024037 0.000633
39 0.024159

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.010351 0.004077 2.539062 0.015331 0.002098 0.018605 0.002098 0.018605
X Variable 1 0.18405 0.418537 0.439746 0.662612 -0.66323 1.031332 -0.66323 1.031332

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.316405
R Square
0.100112
Adjusted R Square
0.076431
Standard Error
0.026782
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.003032 0.003032 4.227486 0.04669
38 0.027256 0.000717
39 0.030289

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.008586 0.004341 1.977817 0.055235
-0.0002 0.017375
-0.0002 0.017375
X Variable 1 0.916371 0.445687 2.056085 0.04669 0.014124 1.818618 0.014124 1.818618

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.073985
R Square
0.005474
Adjusted R Square
-0.0207
Standard Error
0.050309
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.000529 0.000529 0.209148 0.65004
38 0.096179 0.002531
39 0.096708

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept
-0.00064 0.008155 -0.07811 0.938154 -0.01715 0.015872 -0.01715 0.015872
X Variable 1 0.382881 0.837215 0.457327 0.65004 -1.31197 2.077734 -1.31197 2.077734

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.576126
R Square
0.331921
Adjusted R Square
0.31434
Standard Error
0.025401
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.012181 0.012181 18.87953
0.0001
38 0.024517 0.000645
39 0.036698

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.002617 0.004117 0.635504 0.528908 -0.00572 0.010952 -0.00572 0.010952
X Variable 1 1.836656
0.4227 4.345058
0.0001 0.980945 2.692368 0.980945 2.692368

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.53082
R Square
0.28177
Adjusted R Square
0.262869
Standard Error
0.020194
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.00608 0.00608 14.90785 0.000425
38 0.015497 0.000408
39 0.021576

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.001788 0.003273 0.546067 0.588212 -0.00484 0.008414 -0.00484 0.008414
X Variable 1 1.297552 0.33606 3.861068 0.000425 0.617233 1.977871 0.617233 1.977871

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.425014
R Square
0.180636
Adjusted R Square
0.159074
Standard Error
0.022677
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.004308 0.004308 8.377462 0.006262
38 0.019541 0.000514
39 0.023849

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.004985 0.003676 1.356194 0.183042 -0.00246 0.012427 -0.00246 0.012427
X Variable 1 1.092256 0.377371 2.894385 0.006262 0.328309 1.856203 0.328309 1.856203

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.253542
R Square
0.064284
Adjusted R Square
0.03966
Standard Error
0.038367
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.003843 0.003843 2.610602 0.114425
38 0.055937 0.001472
39 0.05978

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.000333 0.006219 0.053572 0.957557 -0.01226 0.012923 -0.01226 0.012923
X Variable 1 1.031615 0.63848 1.615736 0.114425 -0.26092 2.324151 -0.26092 2.324151

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.327476
R Square
0.10724
Adjusted R Square
0.083747
Standard Error
0.028039
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.003589 0.003589 4.564641 0.039139
38 0.029876 0.000786
39 0.033464

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.006772 0.004545 1.489933 0.144496 -0.00243 0.015973 -0.00243 0.015973
X Variable 1 0.996917 0.466612 2.136502 0.039139 0.052311 1.941523 0.052311 1.941523

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.099122
R Square
0.009825
Adjusted R Square
-0.01623
Standard Error
0.020068
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.000152 0.000152 0.377064 0.542837
38 0.015304 0.000403
39 0.015456

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.002534 0.003253 0.778865 0.440883 -0.00405 0.009119 -0.00405 0.009119
X Variable 1 0.205073 0.333965 0.614056 0.542837
-0.471 0.88115
-0.471 0.88115

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.255223
R Square
0.065139
Adjusted R Square
0.040537
Standard Error
0.013479
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.000481 0.000481 2.647742 0.111962
38 0.006904 0.000182
39 0.007385

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept
-0.00555 0.002185 -2.54033 0.015283 -0.00997 -0.00113 -0.00997 -0.00113
X Variable 1 0.364983 0.224303 1.627188 0.111962 -0.08909 0.81906 -0.08909 0.81906

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.312056
R Square
0.097379
Adjusted R Square
0.073626
Standard Error
0.014924
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.000913 0.000913 4.099614 0.049962
38 0.008463 0.000223
39 0.009376

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept
3.69E-05 0.002419 0.015237 0.987923 -0.00486 0.004934 -0.00486 0.004934
X Variable 1 0.502843 0.248348 2.02475 0.049962 8.84E-05 1.005598 8.84E-05 1.005598

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.474286
R Square
0.224948
Adjusted R Square
0.204552
Standard Error
0.026403
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
F
Significance F
1 0.007689 0.007689 11.02894 0.001989
38 0.026491 0.000697
39 0.034179

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.002508 0.00428 0.58599 0.561347 -0.00616 0.011172 -0.00616 0.011172
X Variable 1 1.459187 0.439384 3.320986 0.001989 0.569701 2.348673 0.569701 2.348673

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.446737
R Square
0.199574
Adjusted R Square
0.17851
Standard Error0.02143
Observations
40
ANOVA
df
Regression
Residual
Total

SS
MS
1 0.004351 0.004351
38 0.017451 0.000459
39 0.021802

F
Significance F
9.47472 0.003855

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.006368 0.003474 1.833071 0.074635 -0.00066
0.0134 -0.00066
0.0134
X Variable 1 1.097725 0.356624 3.078103 0.003855 0.375778 1.819673 0.375778 1.819673

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.139405
R Square
0.019434
Adjusted R Square
-0.00637
Standard Error
0.006897
Observations
40
ANOVA
df
Regression
Residual
Total

SS
1 3.58E-05
38 0.001808
39 0.001843

MS
F
Significance F
3.58E-05 0.753119 0.390938
4.76E-05

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept
1.89E-06 0.001118 0.001686 0.998663 -0.00226 0.002265 -0.00226 0.002265
X Variable 1 0.099603 0.114773 0.867824 0.390938 -0.13274 0.33195 -0.13274 0.33195

Upper 95.0%

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.02808
R Square
0.000789
Adjusted R Square
-0.02551
Standard Error
0.005557
Observations
40
ANOVA
df
Regression
Residual
Total

SS
1 9.26E-07
38 0.001173
39 0.001174

MS
F
Significance F
9.26E-07 0.029987 0.863439
3.09E-05

Coefficients
Standard Error t Stat
P-value Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
Intercept
-0.00039 0.000901 -0.43519 0.665885 -0.00222 0.001431 -0.00222 0.001431
X Variable 1 0.016013 0.092468 0.173167 0.863439 -0.17118 0.203205 -0.17118 0.203205

Upper 95.0%

DATA HARGA SAHAM

Periode
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37

Tanggal
2/7/2014
2/10/2014
2/11/2014
2/12/2014
2/13/2014
2/14/2014
2/17/2014
2/18/2014
2/19/2014
2/20/2014
2/21/2014
2/24/2014
2/25/2014
2/26/2014
2/27/2014
2/28/2014
3/3/2014
3/4/2014
3/5/2014
3/6/2014
3/7/2014
3/10/2014
3/11/2014
3/12/2014
3/13/2014
3/14/2014
3/17/2014
3/18/2014
3/19/2014
3/20/2014
3/21/2014
3/24/2014
3/25/2014
3/26/2014
3/27/2014
3/28/2014
3/31/2014
4/1/2014

TINS
1,280
1,290
1,335
1,335
1,345
1,370
1,420
1,490
1,490
1,460
1,465
1,510
1,475
1,495
1,610
1,615
1,650
1,665
1,735
1,755
1,855
1,785
1,805
1,755
1,760
1,720
1,715
1,735
1,790
1,765
1,750
1,845
1,920
1,915
1,925
1,950
1,950
1,935

CSAP
190
188
190
199
197
204
206
200
200
197
197
204
200
202
207
228
227
228
228
225
222
225
225
229
229
232
230
225
226
226
226
226
225
236
238
241
241
253

TMPO
155
152
150
151
155
150
150
149
157
152
155
150
150
146
145
143
143
140
141
144
143
143
140
142
145
144
144
139
149
144
143
165
163
162
162
190
190
162

CTRA
925
925
990
955
970
1,000
1,040
1,025
1,010
985
1,025
1,010
980
940
985
975
970
985
1,010
1,055
1,050
1,030
1,085
1,095
1,080
1,135
1,205
1,185
1,185
1,125
1,120
1,140
1,155
1,155
1,125
1,160
1,160
1,215

CTRP

CTRS
720
735
750
760
745
750
770
760
750
745
755
750
725
725
750
745
735
745
765
810
825
820
855
850
825
850
875
850
895
860
855
870
865
865
850
830
830
860

1,870
2,000
1,960
2,000
2,000
2,045
2,060
2,075
2,040
1,930
2,015
2,050
2,020
1,955
2,000
2,010
2,010
2,035
2,120
2,180
2,155
2,150
2,195
2,150
2,230
2,260
2,330
2,320
2,340
2,215
2,300
2,350
2,360
2,340
2,340
2,400
2,400
2,445

CTTH
66
66
68
68
68
68
67
66
66
66
66
65
65
65
65
65
65
65
75
75
80
72
72
73
73
72
80
75
75
72
72
72
71
71
71
73
73
73

38
39
40

4/2/2014
4/3/2014
4/4/2014
proporsi

1,910
1,945
1,940

275
289
285

161
155
149

1,175
1,160
1,180

850
850
855

2,435
2,435
2,475

74
73
71

5%

5%

5%

5%

5%

10%

5%

data yang dipakai adalah data harga saham pada periode 10 februari 2014 s/d 4 april 2014 (40 hari)
perusahaannya adalah sebagai berikut :
1 TINS
Timah (Persero) Tbk
2 CSAP
Catur Sentosa Adiprana Tbk
3 TMPO
Tempo Inti Media Tbk
4 CTRA
Ciputra Development Tbk
5 CTRP
Ciputra Property Tbk
6 CTRS
Ciputra Surya Tbk
7 CTTH
Citatah Tbk
8 DART
Duta Anggada Realty Tbk
9 TRIM
Trimegah Securities Tbk
10 ULTJ
Ultra Jaya Milk Industri Tbk
11 TSPC
Tempo Scan Pasific Tbk
12 DGIK
Nusa Konstruksi Enjiniring Tbk
13 DILD
Intiland Development Tbk
14 TRIS
Trisula International Tbk
15 HMSP
HM Sampoerna Tbk

DATA HARGA SAHAM

DART

TRIM
474
474
474
475
484
500
510
520
500
510
545
565
565
580
575
580
570
570
580
615
615
610
615
620
630
630
690
645
675
650
650
650
660
660
655
655
655
690

ULTJ
68
67
66
66
66
66
63
66
66
65
70
73
73
74
73
74
74
74
74
73
73
73
74
73
74
75
75
75
76
75
75
77
76
76
76
77
77
76

4,830
4,800
4,790
4,745
4,665
4,675
4,705
4,605
4,580
4,510
4,475
4,485
4,475
4,450
4,465
4,495
4,500
4,410
4,425
4,400
4,290
4,260
4,240
4,160
4,345
4,300
4,250
4,195
4,205
4,200
4,225
4,200
4,175
4,050
3,925
3,930
3,930
4,050

TSPC
2,950
2,990
3,010
3,055
3,050
3,065
3,040
3,055
3,065
3,100
3,100
3,130
3,200
3,295
3,310
3,340
3,360
3,345
3,370
3,385
3,400
3,375
3,360
3,400
3,365
3,400
3,350
3,170
3,170
3,050
3,100
3,110
3,075
3,100
3,100
3,170
3,170
3,160

DGIK

DILD
138
135
135
135
137
142
159
154
165
163
166
164
161
155
160
162
156
160
161
163
168
170
174
170
170
174
172
168
170
166
174
175
173
171
170
167
167
169

TRIS
332
335
346
345
346
347
353
352
355
352
355
352
349
350
352
355
348
349
378
393
400
416
416
420
424
432
465
456
463
450
440
439
428
432
441
453
453
461

HMSP
388
380
379
379
377
378
380
380
380
379
379
378
378
377
378
376
374
375
378
378
378
377
375
374
375
375
376
372
374
378
382
386
390
394
397
400
400
401

71,000
71,000
71,000
69,200
69,750
69,250
69,250
69,000
68,900
68,900
68,700
68,700
68,500
68,900
68,500
68,500
68,500
68,600
69,000
69,500
69,200
69,000
68,800
69,000
69,500
69,600
69,300
69,000
69,075
69,000
69,000
69,000
68,800
69,000
68,950
69,000
69,000
69,100

IHSG
4,466.665
4,450.748
4,470.190
4,496.286
4,491.660
4,508.044
4,555.368
4,556.191
4,592.651
4,598.221
4,646.153
4,623.574
4,577.291
4,532.720
4,568.940
4,620.216
4,584.205
4,601.284
4,659.172
4,687.857
4,685.890
4,677.246
4,704.214
4,684.385
4,726.167
4,878.643
4,876.188
4,805.612
4,821.457
4,698.973
4,700.215
4,720.420
4,703.091
4,728.240
4,723.057
4,768.277
4,768.277
4,873.934

670
665
665

76
76
76

4,045
3,995
3,975

3,060
3,075
3,070

169
169
170

471
479
465

401
395
391

69,500
69,500
69,950

5%

5%

15%

10%

5%

5%

5%

10%

4,870.205
4,891.320
4,857.944

RETURN SAHAM
Periode
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37

Tanggal
2/10/2014
2/11/2014
2/12/2014
2/13/2014
2/14/2014
2/17/2014
2/18/2014
2/19/2014
2/20/2014
2/21/2014
2/24/2014
2/25/2014
2/26/2014
2/27/2014
2/28/2014
3/3/2014
3/4/2014
3/5/2014
3/6/2014
3/7/2014
3/10/2014
3/11/2014
3/12/2014
3/13/2014
3/14/2014
3/17/2014
3/18/2014
3/19/2014
3/20/2014
3/21/2014
3/24/2014
3/25/2014
3/26/2014
3/27/2014
3/28/2014
3/31/2014
4/1/2014

TINS
0.008
0.035
0.000
0.007
0.019
0.036
0.049
0.000
-0.020
0.003
0.031
-0.023
0.014
0.077
0.003
0.022
0.009
0.042
0.012
0.057
-0.038
0.011
-0.028
0.003
-0.023
-0.003
0.012
0.032
-0.014
-0.008
0.054
0.041
-0.003
0.005
0.013
0.000
-0.008

CSAP
-0.011
0.011
0.047
-0.010
0.036
0.010
-0.029
0.000
-0.015
0.000
0.036
-0.020
0.010
0.025
0.101
-0.004
0.004
0.000
-0.013
-0.013
0.014
0.000
0.018
0.000
0.013
-0.009
-0.022
0.004
0.000
0.000
0.000
-0.004
0.049
0.008
0.013
0.000
0.050

TMPO
-0.019
-0.013
0.007
0.026
-0.032
0.000
-0.007
0.054
-0.032
0.020
-0.032
0.000
-0.027
-0.007
-0.014
0.000
-0.021
0.007
0.021
-0.007
0.000
-0.021
0.014
0.021
-0.007
0.000
-0.035
0.072
-0.034
-0.007
0.154
-0.012
-0.006
0.000
0.173
0.000
-0.147

CTRA
0.000
0.070
-0.035
0.016
0.031
0.040
-0.014
-0.015
-0.025
0.041
-0.015
-0.030
-0.041
0.048
-0.010
-0.005
0.015
0.025
0.045
-0.005
-0.019
0.053
0.009
-0.014
0.051
0.062
-0.017
0.000
-0.051
-0.004
0.018
0.013
0.000
-0.026
0.031
0.000
0.047

CTRP
0.021
0.020
0.013
-0.020
0.007
0.027
-0.013
-0.013
-0.007
0.013
-0.007
-0.033
0.000
0.034
-0.007
-0.013
0.014
0.027
0.059
0.019
-0.006
0.043
-0.006
-0.029
0.030
0.029
-0.029
0.053
-0.039
-0.006
0.018
-0.006
0.000
-0.017
-0.024
0.000
0.036

CTRS
0.070
-0.020
0.020
0.000
0.023
0.007
0.007
-0.017
-0.054
0.044
0.017
-0.015
-0.032
0.023
0.005
0.000
0.012
0.042
0.028
-0.011
-0.002
0.021
-0.021
0.037
0.013
0.031
-0.004
0.009
-0.053
0.038
0.022
0.004
-0.008
0.000
0.026
0.000
0.019

CTTH
0.000
0.030
0.000
0.000
0.000
-0.015
-0.015
0.000
0.000
0.000
-0.015
0.000
0.000
0.000
0.000
0.000
0.000
0.154
0.000
0.067
-0.100
0.000
0.014
0.000
-0.014
0.111
-0.063
0.000
-0.040
0.000
0.000
-0.014
0.000
0.000
0.028
0.000
0.000

38
39
40

4/2/2014
4/3/2014
4/4/2014

-0.013
0.018
-0.003

0.087
0.051
-0.014

-0.006
-0.037
-0.039

-0.033
-0.013
0.017

-0.012
0.000
0.006

-0.004
0.000
0.016

0.014
-0.014
-0.027

RETURN SAHAM
DART
0.000
0.000
0.002
0.019
0.033
0.020
0.020
-0.038
0.020
0.069
0.037
0.000
0.027
-0.009
0.009
-0.017
0.000
0.018
0.060
0.000
-0.008
0.008
0.008
0.016
0.000
0.095
-0.065
0.047
-0.037
0.000
0.000
0.015
0.000
-0.008
0.000
0.000
0.053

TRIM
-0.015
-0.015
0.000
0.000
0.000
-0.045
0.048
0.000
-0.015
0.077
0.043
0.000
0.014
-0.014
0.014
0.000
0.000
0.000
-0.014
0.000
0.000
0.014
-0.014
0.014
0.014
0.000
0.000
0.013
-0.013
0.000
0.027
-0.013
0.000
0.000
0.013
0.000
-0.013

ULTJ
-0.006
-0.002
-0.009
-0.017
0.002
0.006
-0.021
-0.005
-0.015
-0.008
0.002
-0.002
-0.006
0.003
0.007
0.001
-0.020
0.003
-0.006
-0.025
-0.007
-0.005
-0.019
0.044
-0.010
-0.012
-0.013
0.002
-0.001
0.006
-0.006
-0.006
-0.030
-0.031
0.001
0.000
0.031

TSPC
0.014
0.007
0.015
-0.002
0.005
-0.008
0.005
0.003
0.011
0.000
0.010
0.022
0.030
0.005
0.009
0.006
-0.004
0.007
0.004
0.004
-0.007
-0.004
0.012
-0.010
0.010
-0.015
-0.054
0.000
-0.038
0.016
0.003
-0.011
0.008
0.000
0.023
0.000
-0.003

DGIK
-0.022
0.000
0.000
0.015
0.036
0.120
-0.031
0.071
-0.012
0.018
-0.012
-0.018
-0.037
0.032
0.013
-0.037
0.026
0.006
0.012
0.031
0.012
0.024
-0.023
0.000
0.024
-0.011
-0.023
0.012
-0.024
0.048
0.006
-0.011
-0.012
-0.006
-0.018
0.000
0.012

DILD
0.009
0.033
-0.003
0.003
0.003
0.017
-0.003
0.009
-0.008
0.009
-0.008
-0.009
0.003
0.006
0.009
-0.020
0.003
0.083
0.040
0.018
0.040
0.000
0.010
0.010
0.019
0.076
-0.019
0.015
-0.028
-0.022
-0.002
-0.025
0.009
0.021
0.027
0.000
0.018

TRIS
-0.021
-0.003
0.000
-0.005
0.003
0.005
0.000
0.000
-0.003
0.000
-0.003
0.000
-0.003
0.003
-0.005
-0.005
0.003
0.008
0.000
0.000
-0.003
-0.005
-0.003
0.003
0.000
0.003
-0.011
0.005
0.011
0.011
0.010
0.010
0.010
0.008
0.008
0.000
0.003

HMSP
0.000
0.000
-0.025
0.008
-0.007
0.000
-0.004
-0.001
0.000
-0.003
0.000
-0.003
0.006
-0.006
0.000
0.000
0.001
0.006
0.007
-0.004
-0.003
-0.003
0.003
0.007
0.001
-0.004
-0.004
0.001
-0.001
0.000
0.000
-0.003
0.003
-0.001
0.001
0.000
0.001

IHSG
-0.004
0.004
0.006
-0.001
0.004
0.010
0.000
0.008
0.001
0.010
-0.005
-0.010
-0.010
0.008
0.011
-0.008
0.004
0.013
0.006
0.000
-0.002
0.006
-0.004
0.009
0.032
-0.001
-0.014
0.003
-0.025
0.000
0.004
-0.004
0.005
-0.001
0.010
0.000
0.022

-0.029
-0.007
0.000

0.000
0.000
0.000

-0.001
-0.012
-0.005

-0.032
0.005
-0.002

0.000
0.000
0.006

0.022
0.017
-0.029

0.000
-0.015
-0.010

0.006
0.000
0.006

-0.001
0.004
-0.007

TINS

CSAP

TMPO

CTRA

CTRP

CTRS

CTTH

ER average
ER SIMM

x (average ihsg)
y= +x

0.0107464 0.0105533

ER x proporsi
ER portofolio
standar deviasi
SD x proporsi
SD portofolio

0.0005373 0.0005277
0.0031753
0.0248889 0.0278681
0.0012444 0.0013934
0.0218974

0.0000092 0.0003280 0.0002286 0.0007330 0.0001274

0.0103514 0.0085863

-0.0006370 0.0026166 0.0017875 0.0049852 0.0003332

0.0103514
0.1840496
0.0021465
0.0107464

0.0085863
0.9163710
0.0021465
0.0105533

0.0001849 0.0065590 0.0045728 0.0073297 0.0025476

-0.0006370
0.3828812
0.0021465
0.0001849

0.0026166
1.8366564
0.0021465
0.0065590

0.0017875
1.2975522
0.0021465
0.0045728

0.0049852
1.0922561
0.0021465
0.0073297

0.0003332
1.0316152
0.0021465
0.0025476

0.0497966 0.0306753 0.0235210 0.0247287 0.0391513

0.0024898 0.0015338 0.0011761 0.0024729 0.0019576

6
alpha ()
7
koefisien beta ()
beta x proprosi
beta portofolio

0.1840496 0.9163710
0.3828812 1.8366564 1.2975522 1.0922561 1.0316152
0.0092025 0.045819 0.019144062 0.091833 0.064878 0.109226 0.051581
0.6912402
8

koefisien korelasi

0.0711553

0.316405 0.073984963

0.576126

0.53082

0.425014

0.253542

9
Tingkat keuntungan yang diharapkan tiap saham
Rf (%)
6.90%
0.069
Rm-Rf
-0.0668535
Rf + b (Rm-Rf)
0.0566956 0.007737 0.043403058 -0.053787 -0.017746 -0.004021

3.29E-05

10
Indeks Sharpe
(Ri - Rf)/SD

-2.340541 -2.097263

-1.38192398 -2.035543 -2.739134 -2.493878 -1.697325

Indeks Treynor
(Ri - Rf)/

-0.3165102 -0.063781 -0.179729611 -0.033997 -0.049653 -0.056461 -0.064416

Indeks Jensen
(Ri-Rf) - ( *(Rm-Rf)

-0.0459492

Indeks Sharpe
Indeks Treynor
Indeks Jensen

terendah
tertinggi
-12.640334 -1.381924
-4.3314621 -0.690584
0.0025146 0.060346

0.002816 -0.043218153

0.060346

0.022319

0.011351

0.002515

DART

TRIM

ULTJ

TSPC

DGIK

DILD

TRIS

HMSP

IHSG

0.0089118 0.0029739 -0.0047669 0.0011162 0.0056402 0.0087240 0.0002157 -0.0003576 0.0021465

0.0067719
0.9969168
0.0021465
0.0089118

0.0025337
0.2050731
0.0021465
0.0029739

-0.0055503
0.3649830
0.0021465
-0.0047669

0.0000369
0.5028430
0.0021465
0.0011162

0.0025080
1.4591872
0.0021465
0.0056402

0.0063677
1.0977254
0.0021465
0.0087240

0.0000019
0.0996031
0.0021465
0.0002157

-0.0003920
0.0160125
0.0021465
-0.0003576

0.0004456 0.0001487 -0.0007150 0.0001116 0.0002820 0.0004362 0.0000108 -0.0000358

0.0292927 0.0199075 0.0137604 0.0155053 0.0296039 0.0236440 0.0068750 0.0054870
0.0014646 0.0009954 0.0020641 0.0015505 0.0014802 0.0011822 0.0003438 0.0005487

0.0067719 0.0025337 -0.0055503 0.0000369 0.0025080 0.0063677 0.0000019 -0.0003920

0.9969168 0.2050731 0.3649830 0.5028430 1.4591872 1.0977254 0.0996031 0.0160125

0.049846 0.010254 0.0547474 0.050284 0.072959 0.054886
0.00498 0.0016013

0.327476

0.099122 0.2552229

0.002353

0.05529 0.0445996

0.312056

0.474286

0.446737

0.139405 0.0280804

0.035383 -0.028552 -0.004387

0.062341 0.0679295

-2.051303 -3.316652 -5.3607971 -4.378114 -2.140251 -2.549318 -10.00497 -12.640334

-0.060274 -0.321964 -0.2021104

-0.135 -0.043421

0.006559 -0.052316 -0.0493665 -0.034267

0.034192

-0.05491 -0.690584 -4.3314621

0.013111 -0.062126 -0.0682871