HJBS Volume 4 No 1 February 2022

DOI: http://doi.org/10.26487/hjbs.v4i2
10.26487/hjbs.v4i2.518

Analysis o
of Investment Risk and Return
The Case of Life Insurance of PT. Jiwasraya

Muchdi Alwi1*, Muhammad Ali2, Fauzi R. Rahim3,

1
A Student of Master Management, Facultyy of Economics and Business, Hasanuddin University; muchdialwi743@gmail.com
2
Faculty
aculty of Economics and Business, Hasanuddin University;
University muhd.alikatau@yahoo.co.id
3
Faculty of Economics and Business, Hasanuddin University
University; fauzirahmanrahim@gmail.com
mail.com

* Correspondence author: muchdialwi743@gmail.com

Abstract
This study aims to determine the level of risk and return on shares obtained by PT. Jiwasraya during the
2017-2020 period using the CAPMPM method. The sample used is purposive sampling based on certain criteria,
namely the troubled shares owned PT. Jiwasraya for the 2017-2020 period. The he results of this study indicate
that 2 of the 24 shares were risky (β > 1) like SIMA shares with beta (1,981777) and PCAR with beta
(16,323271), which means this stock is an aggressive stock. There are 23 out of 24 stocks that provide a
return below the expected return such as the BNBR stock return, namely (0) with an expected return (0,00387)
which means that the return obtained by PT. Jiwasraya is not as expected.
Keywords : risk; return

INTRODUCTION
A profit that is greater than what is invested now Financial management is management that
regulates financial
ial function. Financial management involves planning, analyzing and controlling
financial activities. The financial manager is concerned with determining the appropriate amount of
assets from investing in various assets and the selection of sources of fund
fundss to finance these assets.
Decisions taken in financial management include investment decisions, funding decisions,
and profit sharing decisions. Investment decisions will be reflected on the assets side of the
company. Thus it will affect the structure of the wealth of the company, namely the ratio between
current assets and fixed assets (Tonddok, et al., 2019).. On the other hand, funding decisions and profit
sharing will be reflected on the liabilities side of the company. In the development of the business
world, companies are very dependent on investment. Investment is a commitment to a number of
funds or other resources that are currently carried out, with the aim of obtaining a number of benefits
in the future. Investment contributes to the development of a business that is rrun. un. The purpose of
investing is to get. This activity can be divided into two forms of investment in the form of real (Real
Assets) and investment in the form of securities/securities (Financial Assets) (Hasiraah et al., 2021).
Real asset investment is investment in the form of pphysical hysical tangible assets, while financial
investment is investment in the form of securities/securities made in the money market and in the
capital market. Financial investment in the money market can be in the form of certificates of
deposit, money market securities, while financial investment in the capital market can be in the form
of bonds, warrants, mutual funds, options, futures contracts, stocks, and others. capital market. The
capital market in Indonesia has a big role in the country's economy.
In thee investment process, there are three things that need to be considered, namely the

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expected rate of return, the rate of risk and the availability of the amount of funds to be invested
(Tandelilin, 2010:11). The goal of investors in investing is to maximize
maximize returns, without forgetting
the investment risk factors that must be faced. Return is one of the factors that motivate investors to
invest and is also a reward for the courage of investors to take risks on their investments. It is
impossible to eliminate the risk in investing, but it can be minimized by means of diversification.
Diversification is a way to minimize risk by combining different securities in their investment or in
other words by forming a portfolio. An equity portfolio (diversified portfoli
portfolio)
o) is an investment that
consists of various shares of a company and holds from expectations if the price of one share falls
while the other rises, so the investment does not suffer a loss.
Diversification effectively reduces (but cannot eliminate) investm
investment
ent risk if the correlation
coefficient between the securities in the portfolio decreases. If there is a positive coefficient,
diversification cannot reduce risk. Risk can be divided into two areas, namely systematic risk and
non-systematic risk. Systematicc risk is inherent risk and cannot be reduced through diversification,
while non-systematic
systematic risk is risk that can be reduced by diversification.
Errors in making investment decisions made by PT. Jiwasraya
Jiwasraya,, one of state life insurances,
are evidence of failure
ure in managing risk so that the company experiences liquidity risk. The problem
with PT. Jiwasraya is that they invest in very risky assets to pursue high returns without taking into
account the risks. In the end, the expected return did not match the reality.
reality. In the end, PT Jiwasraya
suffered a loss so that they were unable to pay the customer's policy. From the data obtained, the
company's assets are worth IDR.. 23.26 trillion, but its liabilities reach IDR.. 50.5 trillion, so there is a
liquidity risk.
Investment
vestment decisions made by the investment manager of PT. Jiwasraya allocated a lot in
risky assets, including placing 22.4 percent of its investment funds or IDR.. 7 trillion in stock baskets
to pursue high profits without paying attention to the principle of prudence as a result, 95 percent of
the shares are underperforming. Based on the above background, the rrstudy focus to analyze risk and
return on investment earned by PT. Jiwasraya during the period of 2017-2020.

LITERATURE REVIEW
Investment
Investment
ent plays an important role in achieving the welfare and prosperity of the nation
which is the goal of national development. There are many types of investment. Conventional
methods such as saving are also one type of investment that many people sometimes don't realize.
Investments are made with the main objective of obtaining profits, income, or increasing the value of
the investment object. Therefore, it is important to know the definition and types of investments so
that they are appropriate to invest anandd not get caught up in detrimental investments. According to
Agus (2009), investment can be interpreted as a commitment to allocate a number of funds to one or
more assets (at this time) which are expected to be able to provide returns (profits) in the
th future.
Investment is an activity in investing funds in a certain field. Investment can be done in
various ways, one of which is in the form of shares. Investors or investors can invest their excess
funds in the form of shares in the stock market. The ma main
in purpose of investors in investing their
funds in the stock exchange is to generate income or return on investment in the form of dividend
income or the difference between the selling price.
price Shares
hares and the purchase price (profit) in capital.
Investment iss the obligation of a number of funds or other resources that are currently used to
achieve a number of benefits in the future (Hartono, 2017: 3).
According to Hartono (2017:
2017: 4),
4) the
he purpose of investing in stocks which are classified as
long-term investmentsnts is to generate some money. The broader purpose of investment is to improve
the welfare of investors. In this case, welfare is monetary welfare, which can be measured by the
amount of current income plus the present value of future income. Asset Asset-based
based iinvestments are
divided into two types as follows (Sunariyah, 2015:4
2015:4).

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Real Assets are tangible investments such as gold, silver, buildings, vehicles and others others.
While, Financial assets are securities which are mainly claims on real assets controlled by th the
company such as buying shares and others. others
The investment decision process is carried out by taking the first step by determining
investment objectives, then determining investment policies, then choosing a portfolio strategy, the
fourth selecting assets, and finally measuring and evaluating portfolio performance.
In investment theory, risk and return are always closely related. The relationship between risk
and return lies in how much risk or profit will occur. The higher the level of risk that will be faced,f
the greater the level of profit that will be obtained. According to Agus (2009), profit and risk are
directly proportional, if the profit is high it means the risk is also high, otherwise if the profit is low
the risk will also be low. The relationship
ionship between risk and return is the law and the basic principles
of investment theory known as high risk high return, low risk low return.
return
Return
Return is the rate of return on investment. According to Hartono (2017: 2017: 47), the expected
return of future profits. The expectation of future profits is compensation for the time and risks
associated with the investments made. Based on the definitions of these experts, a conclusion can be
drawn that return is the rate of return or the results of profits obta
obtained
ined from investments made. and
motivation for investors to invest in a stock. Returns are divided into 3 types. The types of returns
include as stated by Hartono (2017:50).
Realized return is a return that has occurred. Realized return is calculated using historical
data. Return realization is important because it is used as a measure of the company's
performance. The realized return is also useful as a basis for determining the expected return and risk
in the future.
Expected return is thehe return that
that is expected to be obtained by investors in the future. Return
expectations have not yet occurred. While, Total Return is the overall return of an investment in a
certain period. The total return consists of capital gains (losses) and yields, namely the percentage of
periodic cash receipts against the investment price of a certain period of an investment
The sources of investment return consist of two main components, namely Yield and Capital
Gain (Loss) . Yield is a component of return that reflects the cash flow or income obtained
periodically from an investment. If we invest in a bond for example. Then the amount of Yield
is shown from the bond interest paid. Likewise, if we buy shares, Yield is indicated by the amount of
dividends we get. Meanwhile , Capital apital Gain (loss) as the second component of return is an increase
(decrease) in the price of a securities (either stocks or long
long-term debt securities). Which can provide
profit (loss) for investors. In other words, Capital Gain (Loss) can also be interpreted eted as a change in
security prices.
In calculating returns, two techniques or aspects can be used, namely fundamental and
technical techniques. Where the fundamental technique is to look at several factors such as company
performance, business competition, on, industry, to macro and micro economic conditions. While
technical analysis is based on data regarding historical prices that occurred in the stock
market. Fundamental techniques used in calculating the actual return, return and return on risk-freerisk
assets.
ts. In this study, the formula used to calculate the return is as follows:
• Actual Stock Return (Ri), is a return that has occurred which is calculated based on historical
data (Jogiyanto, 2009:11). The formula for calculating the actual stock return is:

…………………………………... (1)

t 𝑃𝑖,𝑡 is The i-th share price in period, 𝑃𝑖,𝑡−1 is The price of

Where, 𝑅𝑖,𝑡 is Stock return I in period t,
the i-th stock in period t-1, Dt is Dividend in period t

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• Market Return (Rm ) is the rate of return based on the development of the stock price
index. This rate of return can be used as a basis for measuring portfolio
investment performance (Susant
(Susanti & Putra, 2019). The index used is the Composite Stock Price
Index (JCI). The market return is calculated as follows:

Rm = …………………………………………….. (2)

Where, Rm is Market returns, IHSGt is index period t , IHSG-1 is index period t-1
t
• Risk-Free Asset Return (Rf), obtained from BI Days Repo Rate data. This variable is used as a
constant. The SBI interest rate contained on the BI website is measured in 1 year, so to find the
monthly SBI interest rate, it is as follows;
Rf =
Risk
In general, risk
isk can be interpreted as a situation faced by a person or company where there is
a possibility of harm. In addition to calculating returns, investors also need to consider the level of
risk of an investment as the basis for investment decisions. Risk is the he possible difference
between the actual return received and the expected return , the bigger the difference, the greater the
risk of the investment
There are several sources of risk that can affect the magnitude of the risk of an
investment. These sources include 1) interest rate risk, changes hanges in interest rates can affect the
variability of the return of an investment. Changes in interest rates will affect stock prices in
reverse. Cateris Paribus. That is, if interest rates increase, then stock prices will wil fall, Cateris
Paribus. Vice versa, if an interest falls, the stock price goes up. Market Risk Overall market
fluctuations that affect the variability of the return of an investment are referred to as market
risk. Market fluctuations are usually indicated by changes in the overall stock market index. 2)
Inflation Risk, rising
ising inflation will reduce the purchasing power of the invested rupiah. Therefore,
inflation risk can also be referred to as purchasing power risk. If inflation increases, investors usuall
usually
demand an additional inflation premium to compensate for the decrease in purchasing power. 3)
Business Risk, thehe risk in running a business in a type of industry is referred to as business risk, for
example a apparel company engaged in the textile industry industry will be greatly influenced by the
characteristics of the textile industry itself. 4) Financial risk, This risk is related to the company's
decision to use debt in financing its capital. The greater the proportion of debt used by the company,
the greater the financial risk faced by the company. 5) Liquidity Risk, this his risk is related to the
speed at which securities issued by the company can be traded on the secondary market. The faster a
security is traded, the more liquid it is, and vice versa. The more illiquid a security is, the greater the
liquidity risk faced by the company. 6) Currency Exchange Rate Risk, this his risk is related to
fluctuations in the exchange rate of the domestic currency (the country of the company) with the
currency values of other countries. This risk is also known as currency risk or exchange rate risk. 7)
Country Risk, This risk is also called political risk, because it is closely
losely related to the political
conditions of a country. For companies operating overseas, it is very important to pay attention to the
political and economic stability of the country concerned to avoid too high a country risk.
Total investment risk can be separated into two risks, on the basis of whether a certain type of
risk can be eliminated by diversification or not. The two types of risk are systematic and non non-
systematic risk. Systematic risk or known as market risk or general risk is the risk associa
associated with
changes that occur in the market as a whole. These market changes will affect the variability of
investment returns . In other words, systematic risk is a risk that cannot be avoided by
diversification.
Meanwhile, unsystematic risk or known as spe specific
cific risk (company risk), is a risk that is not
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related to market changes as a whole. The company's risk is more related to changes in the micro
condition of the securities issuing company .
Investors must be able to calculate the risk of an investment be because
cause the level of risk is the
possible deviation of the actual return from the expected return (average return), statistically this risk
level can be represented by the size of the storage or the size of the spread of data. Two measures of
spread that are often used to represent it are the value of the variance and the standard deviation. The
variance or standard deviation is a measure of the size of the random variable data spread from its
average value. The larger the distribution of returns on an investment,
investment, the higher the risk level of the
investment .
To calculate the variance and standard deviation (which is the square root of the variance), we
must first calculate the distribution of expected returns using the following equation:

E(R) = nt=1 R i pr i ………………………………………………… (3)

Where, E(R) is Expected return of a securities, R i is Expected return of a security,

security
pr i is Probability of return i , N is The number of returns that may occur
Mathematically the formula for calculating the variance and standard deviation can be
written as follows:
Variance Return σ2= ∑nt=1 (Rji – E(Rj))2 . Pri ……………………… (4)
Standard Deviation= σ = √𝜎2 ……………………………………… (5)

Where, is σ2 is Return Variance

Variance, σi is Standard Deviation, E(R) is Return of Hope Securities,
R i is The i-th Return That May Happened
Happened, pr i is Probability of the i-th Return Event
CAPM
Capital Asset Pricing Model (CAPM) was first developed by William F Sharpe, Lintner and
Mossin (as cited in Fama & Frencch, 2004). According to Westen & Brigham (1996:193) 1996:193), CAPM
is A model based on the proposition that any stock's required rate of return is equal to the risk free of
return plus a risk premium, where risk reflects diversification
diversification. That is, the CAPM is a model that
relates the expected level of income from a risky asset to the risk of that asset in a balanced market
condition.
The ability to estimate the return of an individual security is the most important thing for
investors, therefore the presence of a CAPM that can be used to estimate the return of a security is
considered very important in finance.
According to Tandelilin (2010:
2010: 187),
187) CAPM is based on Markowitz's theory which states that
each investor is assumed to diversify his portfolio and choose the optimal portfolio on the basis of
his preference for return and risk. The portfolio of choice is the portfolio points that lie along the line
of the efficient portfolio. In addition, there are several other assumptions in the CAPM that are made
to simplify the existing reality,
lity, as follows: According to Elton et al. (2009), there are several
assumptions that form the basis of the CAPM, namely:
There are no transaction fees (taxes, commissions, etc.) for buying or selling any assets.
All assets are marketable is assets
a can be divided indefinitely; meaning investors can short
any asset,
sset, and hold a fraction of the asset, regardless of the size of their wealth. Investors
Investo can lend at
a risk-free rate is the
he only two concerns of investors on which decisions are based are the expected
value and the standard deviation (volatility) of thei
their portfolio returns.
All investors have the same investment period (i.e. plan to invest in the same timeframe).
Investors have homogeneous (identical) expectations about the inputs to portfolio decisions (i.e. ( the
same expected return , volatility, and correlation
cor for every asset in the market).
If all of these assumptions are met, then one will be formed. market balance. In a balanced
market condition, investors will not be able to obtain abnormal returns (extra return)
return from the price
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level formed, including

ng for investors who make speculative trades. Therefore, these conditions will
encourage all investors to choose the market portfolio, which consists of all existing risk assets. The
market portfolio, which will be on the efficient frontier as well as an optimal
ptimal portfolio .
According to the CAPM theory, the expected rate of return of a security can be calculated
using the formula:

𝑅̅𝑖= 𝑅𝐹+ 𝛽𝑖(𝑅̅𝑚− 𝑅𝐹) ……………………………………………….. (6)

Where is Ri is The expected rate of return of the security i, Rf is Risk-free

free asset return, Rm is
The expected rate of return from the market portfolio
portfolio, Βi is Securities beta coefficient i
Conceptual Model
According to Nursalam (2017:71)
2017:71), the research concept framework is an abstraction of a
reality so that it can be communicated
unicated and form a theory that explains the relationship between the
variables studied.
Basically, the hope of an investor in investing is to want a high return with the lowest
possible risk. To make the best investment decisions, it is necessary to calculate calc the
estimated return to be obtained in the future and the risks involved in the investment. One form of
estimation calculation used by investors, namely by using stock diversification, this theory was first
introduced by Markowitz with the aim of red
reducing overall risk.
In this study, the CAPM model is the author's choice to explain and calculate the relationship
between risk and expected return of a stock. CAPM is a model or method for estimating the return
value of an asset by comparing the received return variable and the borne risk .

PT. Jiwasraya Stock Investment

Level of Investment Risk Obtained by Rate of Return on Obtained by

PT. Jiwasraya PT. Jiwasraya

Calculate Actual Stock Return (Ri)

Calculating Systematic Risk Calculate Market Return
Return(Rm)
Calculate Risk-Free
Free Asset Return (Rf)

CAPM

Analysis

Conclusion

Figure 1. Research Concept

Hypothesis
The hypothesis is a temporary answer to the formulation of the research problem whose truth must
be tested empirically. Referring to the formulation of the problem, previous research, and the
framework of thought that has been described previously. So in this study, the proposed hypothesis is
as follows:

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It is suspected that PT. Jiwasraya invested in stocks that are high risk or have a beta value (β > 1) in
the 2017-2020 period.
The level of return on stock investment obtained by PT. Jiwasraya is smaller than the expected
return or not as expected during the 2017-2020
2017 period.

RESEARCH METHOD
Location and Research Design
The research design used in thi thiss study is a case study, which is an approach that takes an
object of research to be observed intensively and in depth in order to obtain a complete picture of the
object of research and problems related to the object which is then analyzed in more detail, which is
carried out on returns and risk PT. Jiawasraya. The case study approach in this research includes the
following stages:
• Conducting research based on secondary data
• Analyze data on secondary data that has been obtained
• Provide alternative solutionsns to problems by providing suggestions to improve performance
This research is an event study, because
ecause it only takes the influence of a certain event (return
and risk) in a certain period, namely the 2017-2020
2017 period.
This study is to analyze the level of risk and return obtained by the company PT. Jiwasraya
during the 2017-2020 period with an analysis of the CAPM (Capital(Capital Asset Pricing Model ) model.
The object of this research is PT.JIWASRAYA
Population or Samples
Population is a generalization area consisting
consisting of objects or subjects that have certain qualities
and characteristics determined by researchers to be studied and then drawn conclusions ((Sugiyono,
2015a). Thehe population used in this study is the shares of PT. Jiwasraya for the period 2017-2020.
2017
The sampling technique used in this study is the purposive sampling technique, where the
researcher can determine the desired data criteria that are relevant to the problem under study.
In this study, the sample criteria used are problematic stocks owned by PT. Jiwasraya for the 2017- 2017
2020 period.
The sample is part of the number and characteristics possessed by the population
popu (Sugiyono,
2015b). This study took samples with purposive sampling method. Purposive Sampling is the
determination of the sample based sed on certain considerations or criteria in accordance with the
research objectives.
The historical stock data taken as a sample must comply with the criteria, where the shares in
question are problematic stocks owned by PT. Jiwasraya for the 2017 2017-2020 period.
riod. The following
stocks are sampled with issuer codes DEWA, BNBR, BRMS, BTEL, BETK, JGLE, SMRU, ARMY,
ARTI, BIPI, BORN, CNKO, ELTY, HADE, IIKP, Indonesian Embassy, MTFN, MYRX PCAR,
RIMO, SIMA , SUGI, TRAM and TMPI.
Data Collection Method
Searching g data via the internet is a way of collecting data by accessing data via the
internet. This method is used to search online journals and other data related to research to support
this research. The data needed in this research are all stock investments ma made
de by PT. Jiwasraya which
are accessed through the Indonesian stock exchange and id investing
Data Analysis Method
In this study, analysis and methods were carried out to measure the level of risk and return on
the PT.JIWASRAYA collection stocks for the 2017-2020 2020 period, the analytical techniques used were
as follows:
• Financial Analysis
Is the share price measured from the closing share price.
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• Return
In calculating returns, two techniques or aspects can be used, namely fundamental and technical
techniques. Where the fundamental technique is to look at several factors such as company
performance, business competition, industry, to macro and micro economic conditions. While
technical analysis is based on data regarding historical prices that occurred in the
th stock market.
1. Actual Stock Return (Ri), is a return that has occurred which is calculated based on
historical data (Jogiyanto, 2009)
2009).

………………………………………. (1)

Where, Ri, t is Stock Return i in period t, Pi, t is the i-th

th share price in period
period, Pi,t-1 is the
price of the i-th
th stock in period t-1,
t Dt is dividend in period t.
2. Market Return (R m ) is the rate of return based on the development of the stock price
index. This rate of return can be used as a basis for measuring m portfolio
investment performance (Susanti & Putra, 2019). The index used is the Composite Stock
Price Index (JCI). The market return is calculated as follows:

Rm = …………………………………………… (2)

Where, Rm is market returns

returns, IHSGt is index period t, IHSG-1 is index period t-1
t
3. Risk-Free Asset Return (Rf), obtained from BI Days Repo Rate data. This variable is used
as a constant. The SBI interest rate contained on the BI website is measured in 1 year, so to
find the monthly SBI interest rate, it is as follows.

Rf = ………………………………………………………….. (3)

• Risk
Risk is the possible difference between the actual return received and the expected return , the
bigger the difference, the greater the risk of the investment. To calculate the variance and
standard deviationn (which is the square root of the variance), we must first calculate the
distribution of expected returns using the equation as following:

E(R) = nt=1 R i pr i …………………………………………………. (4)

Where , E(R) is expected return of a securities, R i is expected return of a security,

security pr i is
Probability of return I, N is the
he number of returns that may occur
Mathematically the formula to calculate the variance and standard deviation can be written as
follows:

Variance Return σ2= ∑nt=1 (Rji – E(Rj))2 . Pri …………………… (5)

√𝜎2 ……………………………………. (6)
Standard Deviation =σ = √

Where, σ2 is Return Variance

Variance, σi is Standard Deviation, E(R) is Return of Hope Securities,
Securities Ri
is probability of Return i, Pri is The i th Return That May Occurred, Pri is Probability of
the i-th Return Event
• CAPM
According to the CAPM theory, the expected rate of return of a security can be calculated using
the formula:
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𝑅̅𝑖= 𝑅𝐹+ 𝛽𝑖(𝑅̅𝑚− 𝑅𝐹) ………………………………………………. (7)

Where, R i is The expected rate of return of the security i, R f is Risk-free
free asset return, R m is
The expected rate of return from the market portfolio
portfolio, β 𝑖 is Securities beta coefficient.
coeff

EMPIRICAL RESULTS
As we know that the CAPM is a model that explains the relationship
between return and risk, it has been explained previously that the calculation of expected
return Using the CAPM requires the actual return of each stock, the expected market return, , and
also the risk free asset ( 𝑓 ) that has been previously determined . we count. For will use the 7 day
(reverse) repo rate announced by Bank Indonesia since 2016-2020
Table 1. Expected Return Using Method CAPM
No Stock Code Ri Rf E(rm) Β E(ri) CAPM
1 DEWA 0 0,0040668 0 0,004465 0,004064
2 BNBR 0 0,0040668 0 0,357685 0,00387
3 BRMS 0 0,0040668 0 0,476782 0,003804
4 BORN 0 0,0040668 0 0 0,004067
5 BTEK 0 0,0040668 0 0,279438 0,003913
6 BTEL 0 0,0040668 0 0 0,004067
7 CNKO 0 0,0040668 0 -0,020943 0,004078
8 ELTY 0 0,0040668 0 -0,058787 0,004099
9 HADE 0 0,0040668 0 -0,014591 0,004075
10 IIKP 0 0,0040668 0 0,12234 0,00399
11 JGLE 0 0,0040668 0 0,583109 0,003745
12 KBRI 0 0,0040668 0 0 0,004067
13 MTFN 0 0,0040668 0 0 0,004067
14 MYRX 0 0,0040668 0 0,249491 0,003929
15 RIMO 0 0,0040668 0 0,287782 0,003908
16 SIMA 0 0,0040668 0 1,981777 0,002975
17 SMRU 0 0,0040668 0 0,218748 0,003946
18 TRAM 0 0,0040668 0 0,860183 0,003593
19 ARMY 0 0,0040668 0 0,582824 0,003646
20 ARTI 0 0,0040668 0 -0,003876 0,004069
21 BIPI 1 0,0040668 0 0,137218 0,003991
22 PCAR 0 0,0040668 0 16,32371 -0,00493
23 TMPI 0 0,0040668 0 -0,129895 0,004138
24 SUGI 0 0,0040668 0 0,024961 0,004053
Source: Indonesia Stock Exchange, Data Processed by Researchers
Furthermore, table 1 shows that the actual return obtained by PT. Jiwasraya is smalle
smaller than
the expected return. Such as stocks with code DEWA return (0) with expected return (0.004064),
BNBR return (0) with expected return (0.00387) , return BRMS (0) with expected return
(0.0003804), return BORN (0 ) with expected return ( 0.004067) , BTEBTEKK return (0) with expected
return (0.003913), BTEL return (0) with expected return (0.004067), CNKO return (0) with expected
return (0.004078 ), return ELTY (0) with expected return (0.004099) , return HADE (0) with
expected return (0.004075), return IIKP (0) with expected return (0.00399), return JGLE (0) with
expected return (0.003745), Indonesian Embassy return (0) with expected return (0.004067), MTFN
return (0) with expected return (0.04067), MYRX return (0) with expected return (0.0003929), return
RIMO O (0) with expected return (0.003908), return SIMA (0) with expected return (0.002975), return
SMRU (0) with expected return (0.003946), return TRAM (0) with expected return (0.003953),
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return ARMY (0) with expected return (0.003646), return ARTI (0) with expect ed return
(0.004069), PCAR return (0) with expected return ((-0.0493),
0.0493), TMPI return (0) with expected return
(0.004138), and SUGI return (0) with expected return (0.0040653)
(0.0040653).
Furthermore, the amount of expected return (E Ri ) of each type of stock own owned by PT.
Jiwassraya does not follow the level of beta (risk) in contrast to research conducted by Trivena
(2018) where the results of the research show that the amount of return is proportional to risk. TMPI
shares have the smallest beta (--0.12989) and the expected return is not the lowest among
the expected returns of the shares owned by PT. Jiwasraya , which is (0.004138) or 0%. The stock
with the highest beta is the PCAR stock (16.32371) with an expected return (-0.00493),
0.00493), meaning that
the shares owned by PT. Jiwasraya can be classified as defensive stocks, meaning that these stocks
provide a consistent return , which is an average of 0% during the 2017-20202020 period, which of course
stocks These are non-earning
earning stocks or unprofitable stocks during the 201
2017-2020
2020 period
Furthermore, table 1.1 shows the undervalued and overvalued stocks . DEWA, BNBR,
BRMS, BORN, BTEK, BTEL, CNKO, ELTY, HADE, IIKP, JGLE, Indonesian Embassy, MTFN,
MYRX, RIMO, SIMA, SMRU, TRAM, ARMY, ARTI, TMPI, and SUGI stocks,
have expected returns higher than the return ( Ri ) . On the other hand, BIPI and PCAR stocks are
BIPI overvalued stocks with a return (Ri ) (1) higher than the expected return ( 0.003991 ) and the
PCAR return (0) expected return (-0.00491)
0.00491) so that For investors who aare risk averse , this stock is
no longer worth buying.
Discussion
Based on CAPM analysis on investments made by PT. Jiwasraya, it shows that the level
of risk of shares owned by PT. Jiwasraya has a beta of less than 1 and can be classified as weak
stocks, meaning that if the market return increases by n%, the return will be less than n%. Based on
the results of the beta calculation as in the table previously described, there are 22 stocks that have a
beta of less than one, namely DEWA (0.0045), BNBR (0.3577),(0.3577), BRMS (0.4768), BORN (0), BTEK
( 0, 2794), BTEL (0), CNKO (-0.021), 0.021), ELTY ((-0.059), HADE (-0.015),
0.015), IIKP (0.1223), JGLE
(0.5831 ), (KBRI (0), MFTN (0) , MYRX (0.2495), RIMO (),2878), SMRU (0.2187), TRAM
(0.8602), ARMY (0.5828), ARTI (--0.004), BIPI (0.1372) TMPI ( 0.13) and SUGI (0.025). There are
2 stocks that have a beta of more than 1, namely PCAR (16.324) and SIMA (1.9818). Which
means the stock risk is above average, which is sensitive to market changes but the company's profit
level is greater than expected.
The actual rate of return obtained by PT. Jiwasraya is smaller than the expected return. Such
as stocks with code DEWA return (0) with expected return (0.004064), BNBR return (0) with
expected return (0.00387) , return BRMS (0) with expected return (0.0003804), return BORN (0)
with expected return (0.004067) , BTEK return (0) with expected return (0.003913), BTEL return (0)
with expected return (0.004067), CNKO return (0) with expected return (0.004078 ), return ELTY
(0) with expected return (0.004099),9), return HADE (0) with expected return (0.004075), return IIKP
(0) with expected return (0.00399), return JGLE (0) with expected return (0.003745), Indonesian
Embassy return (0) with expected return (0.004067), MTFN return (0) with expected return
(0.04067),
67), MYRX return (0) with expected return (0.0003929), return RIMO (0) with expected
return (0.003908), return SIMA (0) with expected return (0.002975), return SMRU (0) with expected
return (0.003946), return TRAM (0) with expected return (0.003953), retur returnn ARMY (0) with
expected return (0.003646), return A RTI (0) with expected return (0.004069), PCAR return (0) with
expected return (-0.0493),
0.0493), TMPI return (0) with expected return (0.004138), and SUGI return (0)
with expected return (0.0040653).

DISCUSSION
Based on data that has been analyzed using the CAPM method, the average rate of return of
shares owned by PT. Jiwasraya for the 2017
2017-2020
2020 period is (0) which means it is very low and from
the calculation of the rate of return on individual shares (Ri) aall shares are 24 shares owned.
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PT.Jiwasraya has a unidirectional or non non- linear relationship between systematic risk and the
expected rate of return. Such shares with the TMPI code have the smallest beta (-0.12989)
( and the
expected return is not the lowest among the expected returns of the shares owned by PT.Jiwasraya ,
namely of ( 0.004138 ) or 0%.
Furthermore, in this study, there are 22 stocks classified as undervalued stocks, namely
DEWA, BNBR, BRMS, BORN, BTEK, BTEL, CNKO, ELTY, HADE, IIKP, JGLE, Indonesian Ind
Embassy, MTFN, MYRX, RIMO, SIMA, SMRU, TRAM, ARMY, ARTI, TMPI, and SUGI have
a return (Ri ) (0) where the expected return ( 0.004067 ) means that the stock is an undervalued
stock because the expected return is higher than the return ( R i ) so based
ased on calculations with the
CAPM method these stocks are worth buying.
There are two stocks that are classified as overvalued stocks, namely stocks with the BIPI
code and PCAR because the return (Ri i ) (1) is higher than expected (0.003991) and the
PCAR return (0) is expected return (-0.00491).
( so that for investors who are risk averse (averse to
risk) this stock is not worth buying.
Based on the previous explanation, it shows that the H-11 hypothesis is accepted where
the risk level of PT. Jiwasraya's shares
ares is very high or has a Beta value (β > 1) which means high
risk. It is proven from the results of the beta calculation through the slope test shown in table 5.10
which previously explained that there are 2 stocks that have more than one beta, namely SIMA
SI stock
code with a risk level (1.981777) and PCAR with a risk level (16.32371). Which means this stock is
an aggressive stock, meaning that if the market return increases by N%, the stock return will increase
from N%.
Furthermore, the results of the CAPM analysis in table 5.10 show that Hypothesis H H-2 is
accepted where there are 23 stocks with a return rate obtained by PT. Jiwasraya that is smaller than
the expected return . It is proven through CAPM analysis calculations that stocks with code DEWA
return (0) with expected return (0.004064), BNBR return (0) with expected return (0.00387) , return
BRMS (0) with expected return (0.0003804) , return BORN (0 ) with expected return (0.004067 ),
return BTEK (0) with expected return (0.003913), return BTEL (0) wi with
th expected return (0.004067),
return CNKO (0) with expected return (0.004078), return ELTY (0) with expected return (0.004099),
return HADE (0) with expected return (0.004075), return IIKP (0) with expected return (0.00399),
return JGLE (0) with expected return (0.003745), Indonesian Embassy return (0) with expected
return (0.004067), MTFN return (0) with expected return (0.04067), return MYRX (0) with expected
return ( 0.0003929), return RIMO (0) with expected return (0.003908), retur return
n SIMA (0) with
expected return (0.002975), return SMRU (0) with expected return (0.003946), return TRAM (0)
with expected return (0.003953), return ARMY (0) with expected return (0.003646), return ARTI (0)
with expected return (0.004069), PCAR return (0) with expected return (-0.0493),
0.0493), TMPI return (0)
with expected return (0.004138), and SUGI return (0) with expected return (0.0040653) which means
the return obtained is far from expectations.

CONCLUSION
The results of testing hypothesis 1 where the level of stock investment risk of PT. Jiwasraya is very
high since the company has a beta value more than 1 (β > 1) during the 2017-2020 2020 period. It is the
fact that after the slope test or regression analysis using Microsoft Excel, the study found that there
are 2 outt of 24 valuable stocks (β > 1). This means that these stocks are aggressive stocks
stocks, which are
very sensitive to market changes. When evaluated the level of return earned by PT. Jiwasraya during
the period of 2017-2020,, the company earned smaller return than the expected return
return. This result are
found using the CAPM analysis calculation in which there re are 23 out of 24 stocks that have a
lower return than the expected return. This suggests that investment decision made below
expectations.

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