Date Adj Close Return

2017-01-01 5294.103027 -1.72%

2017-02-01 5386.691895 -3.26%
2017-03-01 5568.105957 -2.06%
2017-04-01 5685.297852 -0.92%
2017-05-01 5738.154785 -1.57%
2017-06-01 5829.708008 -0.19%
2017-07-01 5840.938965 -0.39%
2017-08-01 5864.059082 -0.62%
2017-09-01 5900.854004 -1.75%
2017-10-01 6005.78418 0.90%
2017-11-01 5952.138184 -6.35%
2017-12-01 6355.653809 -3.78%
2018-01-01 6605.630859 0.13%
2018-02-01 6597.217773 6.60%
2018-03-01 6188.986816 3.24%
2018-04-01 5994.595215 0.18%
2018-05-01 5983.586914 3.18%
2018-06-01 5799.236816 -2.31%
2018-07-01 5936.442871 -1.36%
2018-08-01 6018.459961 0.70%
2018-09-01 5976.553223 2.48%
2018-10-01 5831.649902 -3.71%
2018-11-01 6056.124023 -2.23%
2018-12-01 6194.498047 -5.18%
2019-01-01 6532.969238 1.39%
2019-02-01 6443.348145 -0.39%
2019-03-01 6468.754883 0.21%
2019-04-01 6455.352051 3.97%
2019-05-01 6209.117188 -2.35%
2019-06-01 6358.628906 -0.50%
2019-07-01 6390.504883 0.98%
2019-08-01 6328.470215 2.58%
2019-09-01 6169.102051 -0.95%
2019-10-01 6228.316895 3.60%
2019-11-01 6011.830078 -4.57%
2019-12-01 6299.539063 6.05%
2020-01-01 5940.047852 8.94%
2020-02-01 5452.704102 20.13%
2020-03-01 4538.930176 -3.76%
2020-04-01 4716.402832 -0.78%
2020-05-01 4753.611816 -3.09%
2020-06-01 4905.39209 -4.74%
2020-07-01 5149.626953 -1.70%
2020-08-01 5238.486816 7.57%
2020-09-01 4870.039063 -5.03%
2020-10-01 5128.225098 -8.63%
2020-11-01 5612.415039 -6.13%
2020-12-01 5979.073242 1.99%
2021-01-01 5862.352051 -6.08%
2021-02-01 6241.795898 4.28%
2021-03-01 5985.521973 -0.17%
2021-04-01 5995.616211 0.81%
2021-05-01 5947.462891 -0.64%
2021-06-01 5985.48877 -1.39%
2021-07-01 6070.039063 -1.30%
2021-08-01 6150.298828 -2.17%
2021-09-01 6286.942871 -4.62%
2021-10-01 6591.346191 0.88%
2021-11-01 6533.932129 -0.72%
2021-12-01 6581.481934
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date Adj Close Monthly Return Arithmathic Return Geo Mean Variance

12/1/2021 7,250 -10% -0.0088096078231 90% 39% 0.98430132 -0.01569868 0.01371367

11/1/2021 8,000 -14% 86%
10/1/2021 9,100 10% 110%
9/1/2021 8,200 -13% 87%
8/1/2021 9,250 17% 117%
7/1/2021 7,700 -23% 77%
6/1/2021 9,500 -2% 98%
5/1/2021 9,700 -6% 94%
4/1/2021 10,253 0% 100%
3/1/2021 10,235 2% 102%
2/1/2021 10,014 -4% 96%
1/1/2021 10,407 -17% 83%
12/1/2020 12,198 6% 106%
11/1/2020 11,487 18% 118%
10/1/2020 9,400 4% 104%
9/1/2020 9,008 -15% 85%
8/1/2020 10,358 13% 113%
7/1/2020 9,057 -4% 96%
 6/1/2020 9,409 -2% 98%
5/1/2020 9,580 19% 119%
4/1/2020 7,772 4% 104%
3/1/2020 7,454 -37% 63%
2/1/2020 10,240 -14% 86%
1/1/2020 11,682 0% 100%
12/1/2019 11,731 5% 105%
11/1/2019 11,193 -10% 90%
10/1/2019 12,366 9% 109%
9/1/2019 11,291 -15% 85%
8/1/2019 12,953 3% 103%
7/1/2019 12,586 12% 112%
6/1/2019 11,112 0% 100%
5/1/2019 11,088 -17% 83%
4/1/2019 12,960 -2% 98%
3/1/2019 13,230 8% 108%
2/1/2019 12,144 0% 100%
1/1/2019 12,168 9% 109%
12/1/2018 11,040 -5% 95%
11/1/2018 11,544 25% 125%
10/1/2018 8,640 -10% 90%
9/1/2018 9,528 5% 105%
8/1/2018 9,072 20% 120%
7/1/2018 7,296 6% 106%
6/1/2018 6,840 -16% 84%
5/1/2018 7,942 -15% 85%
4/1/2018 9,124 -7% 93%
3/1/2018 9,786 -7% 93%
2/1/2018 10,518 0% 100%
1/1/2018 10,542 11% 111%
12/1/2017 9,360 5% 105%
11/1/2017 8,887 -16% 84%
10/1/2017 10,306 7% 107%
9/1/2017 9,573 -3% 97%
8/1/2017 9,904 5% 105%
7/1/2017 9,407 -1% 99%
6/1/2017 9,455 5% 105%
5/1/2017 8,935 10% 110%
4/1/2017 8,066 -2% 98%
3/1/2017 8,266 -6% 94%
2/1/2017 8,798 6% 106%
1/1/2017 8,249 100%

BETA 71%
Standard Devitiaion

12%
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date Adj Close Monthly Return Arithmathic Return Geo Mean Variance

12/1/2021 3,890 -4% 0.005632860687091 96% 98% 0.99966497 -0.00033503 0.0115019

11/1/2021 4,070 -3% 97%
10/1/2021 4,200 8% 108%
9/1/2021 3,880 -2% 98%
8/1/2021 3,960 1% 101%
7/1/2021 3,940 12% 112%
6/1/2021 3,520 -11% 89%
5/1/2021 3,950 -5% 95%
4/1/2021 4,150 3% 103%
3/1/2021 4,040 -3% 97%
2/1/2021 4,170 -3% 97%
1/1/2021 4,320 -7% 93%
12/1/2020 4,630 11% 111%
11/1/2020 4,190 18% 118%
10/1/2020 3,560 -1% 99%
9/1/2020 3,610 -8% 92%
8/1/2020 3,910 -1% 99%
7/1/2020 3,930 -10% 90%
6/1/2020 4,383 24% 124%
 5/1/2020 3,536 13% 113%
4/1/2020 3,138 24% 124%
3/1/2020 2,530 -46% 54%
2/1/2020 4,662 2% 102%
1/1/2020 4,583 -11% 89%
12/1/2019 5,155 5% 105%
11/1/2019 4,921 -9% 91%
10/1/2019 5,429 -4% 96%
9/1/2019 5,679 2% 102%
8/1/2019 5,579 -7% 93%
7/1/2019 5,977 5% 105%
6/1/2019 5,703 1% 101%
5/1/2019 5,631 -7% 93%
4/1/2019 6,026 2% 102%
3/1/2019 5,903 14% 114%
2/1/2019 5,162 6% 106%
1/1/2019 4,860 15% 115%
12/1/2018 4,228 4% 104%
11/1/2018 4,080 0% 100%
10/1/2018 4,100 -7% 93%
9/1/2018 4,416 -1% 99%
8/1/2018 4,475 -3% 97%
7/1/2018 4,633 12% 112%
6/1/2018 4,129 -6% 94%
5/1/2018 4,396 3% 103%
4/1/2018 4,260 -5% 95%
3/1/2018 4,465 -14% 86%
2/1/2018 5,216 -6% 94%
1/1/2018 5,557 -11% 89%
12/1/2017 6,240 0% 100%
11/1/2017 6,215 -2% 98%
10/1/2017 6,337 16% 116%
9/1/2017 5,460 -4% 96%
8/1/2017 5,679 0% 100%
7/1/2017 5,703 9% 109%
6/1/2017 5,216 2% 102%
5/1/2017 5,118 13% 113%
4/1/2017 4,524 2% 102%
3/1/2017 4,429 -3% 97%
2/1/2017 4,582 13% 113%
1/1/2017 4,045 100%

BETA 62%
Standard Devitiaion Beta

11%
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date Adj Close Monthly Return Arithmathic Return Geo Mean Variance

12/1/2021 11,750 5% 0.01271609941553 105% 137% 1.00531864 0.00531864 0.0174632

11/1/2021 11,200 2% 102%
10/1/2021 11,000 4% 104%
9/1/2021 10,600 -10% 90%
8/1/2021 11,750 9% 109%
7/1/2021 10,750 -11% 89%
6/1/2021 12,075 1% 101%
5/1/2021 12,000 -8% 92%
4/1/2021 13,100 -9% 91%
3/1/2021 14,400 20% 120%
2/1/2021 12,000 0% 100%
1/1/2021 12,000 5% 105%
12/1/2020 11,400 -17% 83%
11/1/2020 13,700 -16% 84%
10/1/2020 16,300 -3% 97%
9/1/2020 16,800 -6% 94%
8/1/2020 17,800 3% 103%
7/1/2020 17,200 -6% 94%
 6/1/2020 18,300 49% 149%
5/1/2020 12,250 -2% 98%
4/1/2020 12,500 -7% 93%
3/1/2020 13,500 0% 100%
2/1/2020 13,500 -11% 89%
1/1/2020 15,225 0% 100%
12/1/2019 15,225 -2% 98%
11/1/2019 15,475 61% 161%
10/1/2019 9,625 9% 109%
9/1/2019 8,800 10% 110%
8/1/2019 8,000 -20% 80%
7/1/2019 10,000 0% 100%
6/1/2019 10,000 0% 100%
5/1/2019 10,000 3% 103%
4/1/2019 9,700 10% 110%
3/1/2019 8,800 17% 117%
2/1/2019 7,550 -10% 90%
1/1/2019 8,400 -3% 97%
12/1/2018 8,650 -5% 95%
11/1/2018 9,100 -8% 92%
10/1/2018 9,900 1% 101%
9/1/2018 9,850 4% 104%
8/1/2018 9,500 -2% 98%
7/1/2018 9,700 -1% 99%
6/1/2018 9,799 0% 100%
5/1/2018 9,799 0% 100%
4/1/2018 9,799 14% 114%
3/1/2018 8,599 -13% 87%
2/1/2018 9,898 0% 100%
1/1/2018 9,898 2% 102%
12/1/2017 9,699 -2% 98%
11/1/2017 9,849 -1% 99%
10/1/2017 9,973 0% 100%
9/1/2017 9,973 3% 103%
8/1/2017 9,699 1% 101%
7/1/2017 9,574 19% 119%
6/1/2017 8,023 15% 115%
5/1/2017 6,998 -13% 87%
4/1/2017 8,023 -3% 97%
3/1/2017 8,297 0% 100%
2/1/2017 8,297 -3% 97%
1/1/2017 8,547 100%

BETA -13%
Standard Devitiaion Beta

13%
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date SMGR Variance Standard Deviation JSMR

12/1/2021 -0.1034483 0.01348253 0.1161143 -0.0442260
11/1/2021 -0.1375000 -0.0309524
10/1/2021 0.0989011 0.0824742
9/1/2021 -0.1280488 -0.0202020
8/1/2021 0.1675676 0.0050761
7/1/2021 -0.2337662 0.1193182
6/1/2021 -0.0210526 -0.1088608
5/1/2021 -0.0570103 -0.0481928
4/1/2021 0.0017556 0.0272277
3/1/2021 0.0215926 -0.0311751
2/1/2021 -0.0392451 -0.0347222
1/1/2021 -0.1720957 -0.0669546
12/1/2020 0.0582882 0.1050119
11/1/2020 0.1816836 0.1769663
10/1/2020 0.0417021 -0.0138504
9/1/2020 -0.1498668 -0.0767263
8/1/2020 0.1256034 -0.0050891
7/1/2020 -0.0388650 -0.1033539
6/1/2020 -0.0181741 0.2395362
5/1/2020 0.1887265 0.1268324
4/1/2020 0.0409161 0.2403162
3/1/2020 -0.3737591 -0.4573145
2/1/2020 -0.1408203 0.0172376
1/1/2020 -0.0041945 -0.1109602
12/1/2019 0.0458614 0.0475513
11/1/2019 -0.1047976 -0.0935716
10/1/2019 0.0869319 -0.0440218
9/1/2019 -0.1471969 0.0179244
8/1/2019 0.0283332 -0.0665886
7/1/2019 0.1171143 0.0480449
6/1/2019 0.0021598 0.0127864
5/1/2019 -0.1688312 -0.0655493
 4/1/2019 -0.0208333 0.0208369
3/1/2019 0.0820862 0.1435490
2/1/2019 -0.0019763 0.0621399
1/1/2019 0.0927022 0.1494797
12/1/2018 -0.0456522 0.0362745
11/1/2018 0.2515593 -0.0048780
10/1/2018 -0.1027778 -0.0715580
9/1/2018 0.0478589 -0.0131844
8/1/2018 0.1957672 -0.0341032
7/1/2018 0.0625000 0.1220635
6/1/2018 -0.1611111 -0.0607370
5/1/2018 -0.1488290 0.0319249
4/1/2018 -0.0725559 -0.0459127
3/1/2018 -0.0748007 -0.1439801
2/1/2018 -0.0022818 -0.0613640
1/1/2018 0.1121229 -0.1094551
12/1/2017 0.0505342 0.0040225
11/1/2017 -0.1596714 -0.0192520
10/1/2017 0.0711236 0.1606227
9/1/2017 -0.0345764 -0.0385631
8/1/2017 0.0501817 -0.0042083
7/1/2017 -0.0051026 0.0933666
6/1/2017 0.0549974 0.0191481
5/1/2017 0.0972580 0.1312997
4/1/2017 -0.0247954 0.0214495
3/1/2017 -0.0643600 -0.0333915
2/1/2017 0.0624005 0.1327565
1/1/2017 0.0000000 0.0000000
Variance Standard Deviation Covariance Correlation
0.0115019 0.1072469 0.00599948 0.481773856
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date SMGR Variance Sd SMMA Variance

12/1/2021 -0.1034483 0.01348253 0.116114295 0.0491071 0.0171699
11/1/2021 -0.1375000 0.0181818
10/1/2021 0.0989011 0.0377358
9/1/2021 -0.1280488 -0.0978723
8/1/2021 0.1675676 0.0930233
7/1/2021 -0.2337662 -0.1097308
6/1/2021 -0.0210526 0.0062500
5/1/2021 -0.0570103 -0.0839695
4/1/2021 0.0017556 -0.0902778
3/1/2021 0.0215926 0.2000000
2/1/2021 -0.0392451 0.0000000
1/1/2021 -0.1720957 0.0526316
12/1/2020 0.0582882 -0.1678832
11/1/2020 0.1816836 -0.1595092
10/1/2020 0.0417021 -0.0297619
9/1/2020 -0.1498668 -0.0561798
8/1/2020 0.1256034 0.0348837
7/1/2020 -0.0388650 -0.0601093
6/1/2020 -0.0181741 0.4938776
5/1/2020 0.1887265 -0.0200000
4/1/2020 0.0409161 -0.0740741
3/1/2020 -0.3737591 0.0000000
2/1/2020 -0.1408203 -0.1133005
1/1/2020 -0.0041945 0.0000000
12/1/2019 0.0458614 -0.0161551
11/1/2019 -0.1047976 0.6077922
10/1/2019 0.0869319 0.0937500
9/1/2019 -0.1471969 0.1000000
8/1/2019 0.0283332 -0.2000000
7/1/2019 0.1171143 0.0000000
6/1/2019 0.0021598 0.0000000
5/1/2019 -0.1688312 0.0309278
 4/1/2019 -0.0208333 0.1022727
3/1/2019 0.0820862 0.1655629
2/1/2019 -0.0019763 -0.1011905
1/1/2019 0.0927022 -0.0289017
12/1/2018 -0.0456522 -0.0494505
11/1/2018 0.2515593 -0.0808081
10/1/2018 -0.1027778 0.0050761
9/1/2018 0.0478589 0.0368421
8/1/2018 0.1957672 -0.0206186
7/1/2018 0.0625000 -0.0101031
6/1/2018 -0.1611111 0.0000000
5/1/2018 -0.1488290 0.0000000
4/1/2018 -0.0725559 0.1395511
3/1/2018 -0.0748007 -0.1312386
2/1/2018 -0.0022818 0.0000000
1/1/2018 0.1121229 0.0205176
12/1/2017 0.0505342 -0.0152300
11/1/2017 -0.1596714 -0.0124336
10/1/2017 0.0711236 0.0000000
9/1/2017 -0.0345764 0.0282503
8/1/2017 0.0501817 0.0130562
7/1/2017 -0.0051026 0.1933192
6/1/2017 0.0549974 0.1464704
5/1/2017 0.0972580 -0.1277577
4/1/2017 -0.0247954 -0.0330240
3/1/2017 -0.0643600 0.0000000
2/1/2017 0.0624005 -0.0292500
1/1/2017 0.0000000 0.0000000
 Sd Covariance Correlation
0.131033985 -0.0011236 -0.07384852
Portofolio Assignment Kelompok 3
Anggota:
1. Adela Syahputri 01011200165
2. Angela Marelda Kuswandi 01011200171
3. Byoma Maheswara Mulyono 01011200161
4. Kiundy Wijaya 01011200151
5. Sie Ming Hao 01011200166
6. Wincent 01011200155

Date JSMR Variance Sd SMMA Variance

12/1/2021 -0.0442260 0.0113075 0.1063367 0.0491071 0.0171699
11/1/2021 -0.0309524 0.0181818
10/1/2021 0.0824742 0.0377358
9/1/2021 -0.0202020 -0.0978723
8/1/2021 0.0050761 0.0930233
7/1/2021 0.1193182 -0.1097308
6/1/2021 -0.1088608 0.0062500
5/1/2021 -0.0481928 -0.0839695
4/1/2021 0.0272277 -0.0902778
3/1/2021 -0.0311751 0.2000000
2/1/2021 -0.0347222 0.0000000
1/1/2021 -0.0669546 0.0526316
12/1/2020 0.1050119 -0.1678832
11/1/2020 0.1769663 -0.1595092
10/1/2020 -0.0138504 -0.0297619
9/1/2020 -0.0767263 -0.0561798
8/1/2020 -0.0050891 0.0348837
7/1/2020 -0.1033539 -0.0601093
6/1/2020 0.2395362 0.4938776
5/1/2020 0.1268324 -0.0200000
4/1/2020 0.2403162 -0.0740741
3/1/2020 -0.4573145 0.0000000
2/1/2020 0.0172376 -0.1133005
1/1/2020 -0.1109602 0.0000000
12/1/2019 0.0475513 -0.0161551
11/1/2019 -0.0935716 0.6077922
10/1/2019 -0.0440218 0.0937500
9/1/2019 0.0179244 0.1000000
8/1/2019 -0.0665886 -0.2000000
7/1/2019 0.0480449 0.0000000
6/1/2019 0.0127864 0.0000000
5/1/2019 -0.0655493 0.0309278
 4/1/2019 0.0208369 0.1022727
3/1/2019 0.1435490 0.1655629
2/1/2019 0.0621399 -0.1011905
1/1/2019 0.1494797 -0.0289017
12/1/2018 0.0362745 -0.0494505
11/1/2018 -0.0048780 -0.0808081
10/1/2018 -0.0715580 0.0050761
9/1/2018 -0.0131844 0.0368421
8/1/2018 -0.0341032 -0.0206186
7/1/2018 0.1220635 -0.0101031
6/1/2018 -0.0607370 0.0000000
5/1/2018 0.0319249 0.0000000
4/1/2018 -0.0459127 0.1395511
3/1/2018 -0.1439801 -0.1312386
2/1/2018 -0.0613640 0.0000000
1/1/2018 -0.1094551 0.0205176
12/1/2017 0.0040225 -0.0152300
11/1/2017 -0.0192520 -0.0124336
10/1/2017 0.1606227 0.0000000
9/1/2017 -0.0385631 0.0282503
8/1/2017 -0.0042083 0.0130562
7/1/2017 0.0933666 0.1933192
6/1/2017 0.0191481 0.1464704
5/1/2017 0.1312997 -0.1277577
4/1/2017 0.0214495 -0.0330240
3/1/2017 -0.0333915 0.0000000
2/1/2017 0.1327565 -0.0292500
1/1/2017 0.0000000 0.0000000
 Sd Covariance Correlation
0.1310340 0.0001705 0.0122361
 PORTFOLIO PORTFOLIO
ticker weight Return arith return geo SD
RETURN ARITH RETURN GEO

SMGR 0.2 -0.88% -1.57% 12% 0.49% -0.171%

JSMR 0.5 0.56% 0% 11%
SMMA 0.3 0.012716099 1% 13%

CORR
SMGR JSMR 48%
SMGR SMMA -7%
JSMR SMMA 1%

0.8835629579 0.116438042 0.4272691

SMGR JSMR SMMA return
0.883562958 SMGR 0.0134812359 0.005999482 0.0171699 2.96%
0.116438042 JSMR 0.0059994823 0.011306956 0.0171699 0.29%
0.427269107 SMMA 0.0171699053 0.017169905 0.0171672 2%
1.427270107 0.0176237754 0.001624736 0.0104702
0.033998293 mean
0.014859358 sd
2.288005542 sharpe
PORT FOLIO SD
VAR PORTFOLIO

0.00612073407 7.82%