Daftar Saham Anggota Portofolio

No Kode Nama Perusahaan

1 BBCA.JK PT Bank Central Asia Tbk

2 BBKP.JK PT Bank Bukopin Tbk
3 BRIS.JK PT Bank BRIsyariah Tbk
4 BBTN.JK PT Bank Tabungan Negara (Persero) Tbk
5 BDMN.JK PT Bank Danamon Indonesia Tbk 
 BBCA.JK BBKP.JK BRIS.JK
Tanggal Realized Realized Realized
CLOSING CLOSING CLOSING
Return (Rt) Return (Rt) Return (Rt)
2-Jan-20 33,450 242 332
3-Jan-20 34,000 1.64% 238 -1.65% 328 -1.20%
6-Jan-20 33,675 -0.96% 230 -3.36% 324 -1.22%
7-Jan-20 33,700 0.07% 234 1.74% 318 -1.85%
8-Jan-20 33,400 -0.89% 260 11.11% 312 -1.89%
9-Jan-20 33,700 0.90% 256 -1.54% 318 1.92%
10-Jan-20 33,625 -0.22% 254 -0.78% 314 -1.26%
13-Jan-20 33,725 0.30% 250 -1.57% 320 1.91%
14-Jan-20 34,350 1.85% 256 2.40% 320 0.00%
15-Jan-20 34,175 -0.51% 250 -2.34% 320 0.00%
16-Jan-20 34,250 0.22% 248 -0.80% 320 0.00%
17-Jan-20 34,375 0.36% 244 -1.61% 318 -0.63%
20-Jan-20 34,175 -0.58% 240 -1.64% 324 1.89%
21-Jan-20 34,150 -0.07% 244 1.67% 320 -1.23%
22-Jan-20 34,200 0.15% 232 -4.92% 316 -1.25%
23-Jan-20 34,200 0.00% 230 -0.86% 310 -1.90%
24-Jan-20 34,050 -0.44% 232 0.87% 312 0.65%
27-Jan-20 34,200 0.44% 228 -1.72% 310 -0.64%
28-Jan-20 33,950 -0.73% 228 0.00% 314 1.29%
29-Jan-20 33,925 -0.07% 236 3.51% 320 1.91%
30-Jan-20 33,700 -0.66% 228 -3.39% 314 -1.88%
31-Jan-20 32,400 -3.86% 224 -1.75% 310 -1.27%
3-Feb-20 32,200 -0.62% 220 -1.79% 306 -1.29%
4-Feb-20 33,000 2.48% 214 -2.73% 310 1.31%
5-Feb-20 33,650 1.97% 208 -2.80% 312 0.65%
6-Feb-20 33,700 0.15% 208 0.00% 316 1.28%
7-Feb-20 33,800 0.30% 210 0.96% 324 2.53%
10-Feb-20 33,925 0.37% 204 -2.86% 316 -2.47%
11-Feb-20 33,900 -0.07% 206 0.98% 316 0.00%
12-Feb-20 34,000 0.29% 206 0.00% 312 -1.27%
13-Feb-20 33,950 -0.15% 202 -1.94% 306 -1.92%
14-Feb-20 33,400 -1.62% 202 0.00% 302 -1.31%
17-Feb-20 33,600 0.60% 202 0.00% 304 0.66%
18-Feb-20 33,475 -0.37% 204 0.99% 304 0.00%
19-Feb-20 33,475 0.00% 216 5.88% 304 0.00%
20-Feb-20 32,975 -1.49% 214 -0.93% 304 0.00%
21-Feb-20 33,075 0.30% 210 -1.87% 300 -1.32%
24-Feb-20 32,625 -1.36% 202 -3.81% 288 -4.00%
25-Feb-20 32,650 0.08% 199 -1.49% 278 -3.47%
26-Feb-20 32,100 -1.68% 192 -3.52% 264 -5.04%
 27-Feb-20 31,450 -2.02% 184 -4.17% 252 -4.55%
28-Feb-20 31,450 0.00% 164 -10.87% 220 -12.70%
2-Mar-20 30,400 -3.34% 162 -1.22% 206 -6.36%
3-Mar-20 31,600 3.95% 164 1.23% 200 -2.91%
4-Mar-20 32,200 1.90% 175 6.71% 204 2.00%
5-Mar-20 32,175 -0.08% 175 0.00% 254 24.51%
6-Mar-20 31,000 -3.65% 166 -5.14% 250 -1.57%
9-Mar-20 28,925 -6.69% 151 -9.04% 214 -14.40%
10-Mar-20 29,625 2.42% 154 1.99% 250 16.82%
11-Mar-20 29,250 -1.27% 142 -7.79% 236 -5.60%
12-Mar-20 27,800 -4.96% 128 -9.86% 214 -9.32%
13-Mar-20 27,800 0.00% 125 -2.34% 212 -0.93%
16-Mar-20 27,800 0.00% 125 0.00% 198 -6.60%
17-Mar-20 25,600 -7.91% 109 -12.80% 185 -6.57%
18-Mar-20 25,000 -2.34% 102 -6.42% 173 -6.49%
19-Mar-20 23,250 -7.00% 95 -6.86% 161 -6.94%
20-Mar-20 23,675 1.83% 91 -4.21% 155 -3.73%
23-Mar-20 22,150 -6.44% 85 -6.59% 145 -6.45%
24-Mar-20 22,500 1.58% 84 -1.18% 135 -6.90%
26-Mar-20 26,400 17.33% 89 5.95% 160 18.52%
27-Mar-20 27,550 4.36% 98 10.11% 198 23.75%
30-Mar-20 27,475 -0.27% 97 -1.02% 188 -5.05%
EXPECTED
RETURN E(Ri) -0.0027 -0.0139 -0.0072
VARIAN 0.0011 0.0018 0.0045
STANDAR DEVIASI 0.0327 0.0428 0.0671
Alpha (αi) -0.0052 -0.0013 0.0001
Beta (βi) 1.0496 1.1105 0.7298
Variance (α2i) 0.0011 0.0018 0.0045
Variance (σei) 0.0011 0.0018 0.0045
Excess Return
to Beta (ERB) 0.5193 0.1060 -1.2927
Ai 0.0000 0.0000 0.0000
Bi 1,032.5022 673.7316 118.1576
Titik Pembatas
(Ci) 0.0000 0.0000 0.0000
Cut-Off Point (C*) 0.0006 0.0006 0.0006
Proporsi dana (Xi) 510.23 63.96 -209.38

Expected
return
portofolio
E(Rp) -1.3802 -0.8921 1.5024
Risiko atau
standar deviasi
portofolio (σp) 16.6665 2.7363 -14.0584
Beta portofolio (βp) 535.5388
 BBTN.JK BDMN.JK
RETURN
Realized Realized IHSG SBI
CLOSING CLOSING MARKET (Rm)
Return (Rt) Return (Rt)
2,130.00 3,960.00 6283.58 736.32%
2,150.00 0.94% 3,930.00 -0.76% 6323.47 -0.0104 736.32%
2,130.00 -0.93% 3,860.00 -1.78% 6257.40 0.0035 736.32%
2,120.00 -0.47% 3,870.00 0.26% 6279.35 -0.0085 736.32%
2,070.00 -2.36% 3,810.00 -1.55% 6225.69 0.0078 736.32%
2,110.00 1.93% 3,810.00 0.00% 6274.49 0.0001 736.32%
2,160.00 2.37% 3,850.00 1.05% 6274.94 0.0034 736.32%
2,150.00 -0.46% 3,860.00 0.26% 6296.57 0.0046 736.32%
2,160.00 0.47% 4,070.00 5.44% 6325.41 -0.0066 736.32%
2,140.00 -0.93% 3,970.00 -2.46% 6283.37 0.0004 736.32%
2,130.00 -0.47% 3,980.00 0.25% 6286.05 0.0009 736.32%
2,150.00 0.94% 3,950.00 -0.75% 6291.66 -0.0074 736.32%
2,100.00 -2.33% 3,880.00 -1.77% 6245.04 -0.0011 736.32%
2,080.00 -0.95% 3,870.00 -0.26% 6238.15 -0.0008 736.32%
2,050.00 -1.44% 3,860.00 -0.26% 6233.45 0.0025 736.32%
2,030.00 -0.98% 3,840.00 -0.52% 6249.21 -0.0008 736.32%
2,070.00 1.97% 3,830.00 -0.26% 6244.11 -0.0178 736.32%
1,990.00 -3.86% 3,770.00 -1.57% 6133.21 -0.0036 736.32%
1,955.00 -1.76% 3,720.00 -1.33% 6111.18 0.0003 736.32%
1,930.00 -1.28% 3,680.00 -1.08% 6113.04 -0.0091 736.32%
1,930.00 0.00% 3,600.00 -2.17% 6057.60 -0.0194 736.32%
1,870.00 -3.11% 3,480.00 -3.33% 5940.05 -0.0094 736.32%
1,810.00 -3.21% 3,470.00 -0.29% 5884.17 0.0065 736.32%
1,840.00 1.66% 3,430.00 -1.15% 5922.34 0.0095 736.32%
1,805.00 -1.90% 3,460.00 0.87% 5978.51 0.0014 736.32%
1,850.00 2.49% 3,590.00 3.76% 5987.15 0.0021 736.32%
1,845.00 -0.27% 3,580.00 -0.28% 5999.61 -0.0079 736.32%
1,835.00 -0.54% 3,420.00 -4.47% 5952.08 0.0004 736.32%
1,800.00 -1.91% 3,420.00 0.00% 5954.40 -0.0069 736.32%
1,780.00 -1.11% 3,380.00 -1.17% 5913.08 -0.0070 736.32%
1,750.00 -1.69% 3,380.00 0.00% 5871.95 -0.0009 736.32%
1,765.00 0.86% 3,400.00 0.59% 5866.94 0.0001 736.32%
1,795.00 1.70% 3,460.00 1.76% 5867.52 0.0033 736.32%
1,895.00 5.57% 3,550.00 2.60% 5886.96 0.0071 736.32%
1,895.00 0.00% 3,590.00 1.13% 5928.79 0.0023 736.32%
1,920.00 1.32% 3,740.00 4.18% 5942.49 -0.0101 736.32%
1,870.00 -2.60% 3,660.00 -2.14% 5882.25 -0.0128 736.32%
1,820.00 -2.67% 3,480.00 -4.92% 5807.05 -0.0034 736.32%
1,820.00 0.00% 3,430.00 -1.44% 5787.14 -0.0170 736.32%
1,795.00 -1.37% 3,380.00 -1.46% 5688.92 -0.0269 736.32%
1,750.00 -2.51% 3,300.00 -2.37% 5535.69 -0.0150 736.32%
1,700.00 -2.86% 3,170.00 -3.94% 5452.70 -0.0168 736.32%
1,650.00 -2.94% 3,170.00 0.00% 5361.25 0.0294 736.32%
1,690.00 2.42% 3,260.00 2.84% 5518.63 0.0238 736.32%
1,750.00 3.55% 3,260.00 0.00% 5650.14 -0.0021 736.32%
1,720.00 -1.71% 3,170.00 -2.76% 5638.13 -0.0248 736.32%
1,660.00 -3.49% 3,120.00 -1.58% 5498.54 -0.0658 736.32%
1,450.00 -12.65% 2,800.00 -10.26% 5136.81 0.0164 736.32%
1,500.00 3.45% 2,780.00 -0.71% 5220.83 -0.0128 736.32%
1,490.00 -0.67% 2,570.00 -7.55% 5154.10 -0.0501 736.32%
1,305.00 -12.42% 2,320.00 -9.73% 4895.75 0.0024 736.32%
1,335.00 2.30% 2,320.00 0.00% 4907.57 -0.0442 736.32%
1,245.00 -6.74% 2,320.00 0.00% 4690.66 -0.0499 736.32%
1,160.00 -6.83% 2,010.00 -13.36% 4456.75 -0.0283 736.32%
1,080.00 -6.90% 1,870.00 -6.97% 4330.67 -0.0520 736.32%
1,005.00 -6.94% 1,740.00 -6.95% 4105.42 0.0218 736.32%
945.00 -5.97% 1,760.00 1.15% 4194.94 -0.0490 736.32%
880.00 -6.88% 1,710.00 -2.84% 3989.52 -0.0130 736.32%
820.00 -6.82% 1,675.00 -2.05% 3937.63 0.1019 736.32%
820.00 0.00% 1,950.00 16.42% 4338.90 0.0476 736.32%
890.00 8.54% 2,060.00 5.64% 4545.57 -0.0288 736.32%
830.00 -6.74% 1,945.00 -5.58% 4414.50 -1.0000 736.32%

-0.0146 -0.0108
0.0014 0.0017
0.0371 0.0408
0.0008 -0.0006
1.4389 1.2927
0.0014 0.0017
0.0014 0.0017

-0.1731 0.1906
0.0000 0.0000
1,505.7807 1,003.5289

0.0000 0.0000
0.0006 0.0006
-181.80 147.45

2.6580 -1.5855
-6.7411 6.0168
Risk Free (Rf)
SBI
Rm-Rf

0.00% -1.04%
0.00% 0.35%
0.00% -0.85%
0.00% 0.78%
0.00% 0.01%
0.00% 0.34%
0.00% 0.46%
0.00% -0.66%
0.00% 0.04%
0.00% 0.09%
0.00% -0.74%
0.00% -0.11%
0.00% -0.08%
0.00% 0.25%
0.00% -0.08%
0.00% -1.78%
0.00% -0.36%
0.00% 0.03%
0.00% -0.91%
0.00% -1.94%
0.00% -0.94%
0.00% 0.65%
0.00% 0.95%
0.00% 0.14%
0.00% 0.21%
0.00% -0.79%
0.00% 0.04%
0.00% -0.69%
0.00% -0.70%
0.00% -0.09%
0.00% 0.01%
0.00% 0.33%
0.00% 0.71%
0.00% 0.23%
0.00% -1.01%
0.00% -1.28%
0.00% -0.34%
0.00% -1.70% 0.0000
0.00% -2.69% 0.0000
0.00% -1.50%
0.00% -1.68%
0.00% 2.94%
0.00% 2.38%
0.00% -0.21%
0.00% -2.48%
0.00% -6.58%
0.00% 1.64%
0.00% -1.28%
0.00% -5.01%
0.00% 0.24%
0.00% -4.42%
0.00% -4.99%
0.00% -2.83%
0.00% -5.20%
0.00% 2.18%
0.00% -4.90%
0.00% -1.30%
0.00% 10.19%
0.00% 4.76%
0.00% -2.88%
0.00% -100.00%