Populasi Konsisten Masuk 50 Big Cap

No 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 No Kode
1 AALI AALI AALI AALI AALI AALI AALI AALI AALI AALI AALI 1 AALI
2 ANTM ANTM ANTM ADRO ADMF ADRO ADRO ADRO ADRO ADRO ADRO 2 ASII
3 ASII APEX ASII ANTM ADRO ANTM ANTM AKRA AKRA AMRT AKRA 3 BBCA
4 AUTO ASII BBCA APEX ANTM ASII ASII AMRT AMRT ASII AMRT 4 BBNI
5 BBCA BBCA BBIA ASII ASII BBCA BBCA ASII ASII AUTO ASII 5 BBRI
6 BBIA BBIA BBNI BAEK BAEK BBNI BBNI BBCA AUTO BBCA BBCA 6 BDMN
7 BBNI BBNI BBRI BBCA BBCA BBRI BBRI BBNI BBCA BBNI BBNI 7 BMRI
8 BBRI BBRI BDMN BBNI BBNI BBTN BDMN BBRI BBNI BBRI BBRI 8 EXCL
9 BDMN BDMN BHIT BBRI BBRI BDMN BMRI BDMN BBRI BDMN BDMN 9 GGRM
10 BLTA BLTA BLTA BDMN BBTN BJBR BMTR BHIT BDMN BIRD BIRD 10 HMSP
11 BMRI BMRI BMRI BISI BDMN BMRI BNGA BMRI BMRI BMRI BMRI 11 INCO
12 BMTR BMTR BMTR BMRI BMRI BNGA BNII BMTR BMTR BMTR BSDE 12 INDF
13 BNBR BNBR BNBR BNBR BNBR BNII BORN BNGA BNGA BNGA BYAN 13 INTP
14 BNGA BNGA BNGA BNGA BNGA BNLI BRAU BNII BNII BNLI CPIN 14 ISAT
15 BNII BNII BNII BNII BNII BORN BSDE BSDE BSDE BSDE CTRA 15 KLBF
16 BNLI BNLI BNLI BNLI BNLI BRAU BTPN BTPN BTPN BTPN DNET 16 LPKR
17 BUMI BTEL BRPT BRPT BRPT BRMS BUMI BYAN BYAN BYAN EMTK 17 PGAS
18 ENRG BUMI BTEL BUMI BSDE BSDE BYAN CPIN CPIN CPIN EXCL 18 SMGR
19 EXCL CTRA BUMI EXCL BUMI BTPN CPIN EMTK EMTK CTRA GGRM 19 TLKM
20 FASW ENRG CPRO FASW BYAN BUMI EMTK EXCL EXCL EMTK HMSP 20 UNTR
21 GGRM EXCL DEWA GGRM CPIN BYAN EXCL GGRM GGRM EXCL ICBP 21 UNVR
22 HMSP FREN ELTY HMSP DOID CPIN GEMS HMSP HMSP GGRM INCO
23 INCO GGRM ENRG INCO EXCL DSSA GGRM HRUM ICBP HMSP INDF
24 INDF HMSP EXCL INDF GGRM EXCL HMSP ICBP INCO ICBP INTP
25 INKP INCO GGRM INDY HMSP GGRM HRUM INCO INDF INCO ISAT
26 INTP INDF HMSP INKP INCO HMSP ICBP INDF INTP INDF JSMR
27 ISAT INKP INCO INTP INDF HRUM IMAS INTP ISAT INTP KLBF
28 KLBF INTP INDF ISAT INDY ICBP INCO INVS ITMG ISAT LPKR
29 KOMI ISAT INTP ITMG INKP INCO INDF ISAT JSMR JSMR LPPF
30 LPBN KLBF ISAT JSMR INTP INDF INTP ITMG KLBF KLBF MEGA
31 LPKR LPBN ITMG KLBF ISAT INDY INVS JSMR LPKR LPKR MIKA
32 LSIP LPKR JSMR LPKR ITMG INTP ISAT KLBF LPPF LPPF MLBI
33 MEDC LSIP KLBF LSIP JSMR ISAT ITMG LPKR MLBI MLBI MNCN
34 MEGA MEDC LPBN MAYA KLBF ITMG JSMR LSIP MNCN MNCN MYOR
35 MPPA NISP LPKR MEDC LPKR JSMR KLBF MLBI MYOR MYOR PGAS
36 NISP PGAS LSIP MEGA LSIP KLBF LPKR MNCN PGAS PGAS PNBN
37 PGAS PLIN MEDC NISP MEDC KRAS LSIP PGAS PNBN PNBN PTPP
38 PLIN PNBN MNCN PGAS MEGA LPKR MNCN PTBA PTBA PTBA PWON
39 PNBN PNLF PGAS PLIN PGAS LSIP PGAS SCMA SCMA PWON SCMA
40 PTBA PTBA PNBN PNBN PLIN PGAS PNBN SIMP SMAR SCMA SMGR
41 RALS RALS PTBA PTBA PNBN PNBN PTBA SMAR SMCB SMAR SMMA
42 SHDA SHDA SMAR PWON PTBA PTBA SCMA SMCB SMGR SMGR SMRA
43 SMAR SMAR SMCB RALS SMAR SMAR SIMP SMGR SMMA SMMA SSMS
44 SMCB SMCB SMGR SMAR SMCB SMCB SMAR SMMA TBIG SMRA TBIG
45 SMGR SMGR TINS SMCB SMGR SMGR SMCB TBIG TLKM TBIG TLKM
46 TKIM TLKM TLKM SMGR SMMA TINS SMGR TLKM TOWR TLKM TOWR
47 TLKM TRUB TRUB TINS TINS TLKM SMMA TOWR TRAM TOWR UNTR
48 TSPC TSPC UNSP TLKM TLKM TOWR TLKM TSPC TSPC UNTR UNVR
49 UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNTR UNVR WIKA
50 UNVR UNVR UNVR UNVR UNVR UNVR UNVR UNVR UNVR WIKA WSKT

Konsisten Masuk kedalam 50 Big Cap

 Konsisten Masuk 50 Big Cap Sampel Penelitian
Nama No Kode Nama Perusahaan
Astra Agro Lestari Tbk 1 AALI Astra Agro Lestari Tbk
Astra Internasional Tbk 2 BBNI Bank Negara Indonesia (Persero) Tbk
Bank Central Asia Tbk 3 BDMN Bank Danamon Indonesia Tbk
Bank Negara Indonesia (Persero) Tbk 4 BMRI Bank Mandiri (Persero) Tbk
Bank Rakyat Indonesia (Persero) Tbk 5 GGRM Gudang Garam Tbk
Bank Danamon Indonesia Tbk 6 HMSP HM Sampoerna Tbk
Bank Mandiri (Persero) Tbk 7 INDF Indofood Sukses Makmur Tbk
Excel Asiata Tbk 8 INTP Indocement Tunggal Prakarsa Tbk
Gudang Garam Tbk 9 ISAT Indosat Tbk
HM Sampoerna Tbk 10 UNTR United Tractors Tbk
Vale Indonesia 11 UNVR Unilever Indonesia Tbk
Indofood Sukses Makmur Tbk
Indocement Tunggal Prakarsa Tbk
Indosat Tbk
Kalbe Farma Tbk
Lippo Karawaci Tbk
Perusahaan Gas Negara (Persero) Tbk
Semen Indonesia Tbk
Telekomunikasi Indonesia (Persero) Tbk
United Tractors Tbk
Unilever Indonesia Tbk

Tidak memiliki kelengkapan data

Stock Split dan Stock Averse
ampel Penelitian Proses Seleksi Sampel
Industri Keterangan
Plantation Populasi
Bank Emiten yang tidak konsisten masuk ke dalam 50 perusahaan yang memiliki Size terbesar
Bank Emiten yang konsisten masuk ke dalam 50 perusahaan yang memiliki Size terbesar
Bank Emiten yang tidak memiliki kelengkapan data
Tobacco Manufacturers Emiten yang memiliki kelengkapan data
Tobacco Manufacturers Emiten yang melakukan stock split atau stock averse selama periode penelitian
Food and Beverages Emiten yang dijadikan sampel pada penelitian
Cement
Telecommunication
Wholesale (Durable & Non-Durable Goods)
Cosmetics and Household
Jumlah
50
29
21
1
20
9
11
 Close Price
Bulan
AALI BBNI BDMN BMRI GGRM HMSP INDF INTP ISAT UNTR UNVR
Dec-04 3,100 1,675 4,375 1,925 13,550 6,650 800 3,075 5,750 2,275 3,300
Jan-05 2,859 1,555 4,054 1,908 16,850 7,018 870 3,450 5,700 2,740 3,500
Feb-05 2,954 1,593 4,637 1,780 15,400 7,678 930 3,150 5,250 2,908 3,550
Mar-05 3,811 1,631 4,612 1,681 16,100 9,751 1,160 2,800 4,875 2,764 3,825
Apr-05 3,430 1,498 4,515 1,573 15,100 9,845 1,020 2,650 4,325 2,836 3,750
May-05 3,478 1,593 4,685 1,632 12,900 8,290 1,200 3,200 4,950 3,149 4,575
Jun-05 3,788 1,602 4,904 1,475 12,650 7,913 1,100 3,450 5,500 3,581 4,075
Jul-05 3,931 1,555 5,438 1,583 12,850 7,678 1,090 3,600 5,800 4,278 4,350
Aug-05 3,883 1,308 4,370 1,347 11,000 7,913 790 2,925 5,300 3,726 4,225
Sep-05 4,883 1,479 3,908 1,426 10,900 8,196 730 2,900 5,300 3,726 4,075
Oct-05 5,145 1,261 3,811 1,298 10,200 8,243 820 3,300 4,875 3,557 4,375
Nov-05 5,241 1,128 3,787 1,268 10,950 8,149 850 3,225 5,350 3,461 4,325
Dec-05 4,669 1,213 4,612 1,613 11,650 8,385 910 3,550 5,550 3,533 4,275
Jan-06 4,812 1,232 4,515 1,750 10,800 7,961 880 3,950 5,800 3,677 4,300
Feb-06 5,622 1,166 4,151 1,593 11,000 8,008 840 4,425 5,250 3,822 4,275
Mar-06 5,860 1,213 4,661 1,711 10,150 7,866 890 4,375 5,150 4,326 4,250
Apr-06 6,289 1,289 5,001 1,888 10,550 7,819 1,130 5,000 5,400 5,240 4,575
May-06 6,194 1,157 4,467 1,662 9,550 7,631 940 3,850 5,000 5,192 4,025
Jun-06 6,194 1,071 3,860 1,691 9,500 7,348 880 4,200 4,275 5,192 4,125
Jul-06 7,956 1,043 4,127 1,731 9,300 7,442 1,050 4,200 4,275 5,384 4,225
Aug-06 8,766 1,242 4,758 2,065 10,100 7,254 1,190 4,575 4,400 5,528 4,475
Sep-06 8,671 2,252 5,146 2,286 10,350 7,631 1,250 4,925 5,150 5,817 4,600
Oct-06 9,290 2,252 5,778 2,680 9,850 7,348 1,330 5,000 5,200 6,297 4,800
Nov-06 10,148 1,877 6,069 2,729 9,950 7,913 1,400 5,350 5,750 6,201 6,000
Dec-06 12,006 1,773 6,554 2,852 10,200 9,138 1,350 5,750 6,750 6,297 6,600
Jan-07 12,578 1,725 5,729 2,532 10,350 11,258 1,690 5,350 6,000 6,490 5,850
Feb-07 11,958 1,659 5,583 2,286 10,850 11,305 1,560 5,750 5,900 6,682 5,600
Mar-07 12,006 1,668 6,360 2,458 10,600 12,341 1,520 5,100 6,250 7,115 5,700
Apr-07 15,007 2,086 6,263 3,024 10,850 14,037 1,640 5,700 6,800 7,595 5,650
May-07 14,388 2,370 6,797 3,196 11,100 12,012 1,730 5,550 6,750 7,259 6,300
Jun-07 13,102 2,346 6,700 3,073 11,150 13,001 2,025 6,250 6,500 7,932 6,700
Jul-07 14,626 2,346 8,205 3,466 10,000 12,907 2,000 6,500 7,250 8,268 7,550
Aug-07 13,626 1,849 7,817 3,196 9,550 12,577 1,860 6,400 7,200 7,788 6,800
Sep-07 16,008 1,896 8,205 3,466 9,400 13,048 1,930 6,100 7,700 7,884 6,800
Oct-07 21,439 1,887 8,399 3,712 10,000 13,378 2,200 8,200 8,700 10,528 6,650
Nov-07 24,250 1,744 8,060 3,491 8,400 13,095 2,525 7,700 8,300 10,816 6,650
Dec-07 26,680 1,868 7,768 3,442 8,500 13,472 2,575 8,200 8,650 10,480 6,750
 Jan-08 28,776 1,650 6,991 3,269 8,150 13,189 2,825 7,750 7,100 12,787 6,900
Feb-08 30,110 1,574 7,428 3,220 7,950 13,095 2,925 7,500 6,850 12,739 6,800
Mar-08 24,631 1,318 6,700 3,097 7,650 12,247 2,325 7,050 7,100 12,066 6,900
Apr-08 22,583 1,138 5,535 2,827 7,600 11,870 2,275 5,600 6,050 11,585 6,800
May-08 25,203 1,185 5,535 2,852 7,400 11,305 2,800 6,150 5,750 13,893 6,750
Jun-08 28,157 1,147 4,564 2,557 6,450 10,363 2,400 5,450 6,750 11,681 6,750
Jul-08 20,867 1,384 5,389 2,925 6,650 10,457 2,275 6,150 6,500 10,960 6,900
Aug-08 17,104 1,204 5,244 2,778 6,450 10,269 2,250 6,400 6,150 9,951 7,250
Sep-08 12,339 920 4,758 2,606 5,900 9,609 1,960 6,000 6,100 9,085 7,500
Oct-08 5,765 483 2,525 1,534 4,300 7,537 1,090 3,500 5,300 3,029 7,450
Nov-08 8,052 531 2,549 1,465 4,325 8,479 970 3,500 5,100 3,822 7,700
Dec-08 9,338 645 3,010 1,991 4,250 7,631 930 4,600 5,750 4,230 7,800
Jan-09 10,386 730 2,209 1,790 5,400 9,609 980 4,500 5,650 4,855 7,900
Feb-09 12,244 664 2,549 1,711 5,200 9,609 880 4,150 4,200 5,144 8,050
Mar-09 13,435 683 3,034 2,139 5,900 10,174 940 5,250 4,725 6,490 7,950
Apr-09 15,055 1,185 3,034 2,729 7,450 9,892 1,280 5,850 5,600 8,653 7,750
May-09 16,961 1,488 3,641 2,925 11,350 9,798 1,780 6,650 5,300 9,758 7,850
Jun-09 16,056 1,631 4,685 3,122 12,550 8,761 1,890 7,750 4,975 9,566 9,250
Jul-09 18,390 1,792 4,685 4,105 14,100 8,337 2,275 9,300 5,450 12,451 11,600
Aug-09 20,486 1,839 4,564 4,032 14,300 9,656 2,500 10,050 5,250 12,979 10,100
Sep-09 20,058 2,015 4,807 4,622 14,900 9,609 3,025 10,600 5,450 14,998 10,700
Oct-09 20,629 1,754 4,418 4,597 14,300 9,421 3,075 11,050 5,150 14,421 10,100
Nov-09 21,249 1,920 4,297 4,376 17,250 9,515 3,075 11,100 4,850 14,373 11,050
Dec-09 21,677 1,877 4,418 4,622 21,550 9,798 3,550 13,700 4,725 14,902 11,050
Jan-10 22,726 1,830 4,709 4,597 24,000 12,718 3,600 13,500 5,600 16,200 11,300
Feb-10 23,059 1,811 4,831 4,400 26,050 12,388 3,800 13,700 5,100 16,489 11,500
Mar-10 23,440 2,157 5,049 5,261 24,750 13,142 3,775 14,250 5,500 17,642 12,150
Apr-10 21,153 2,465 5,632 5,703 27,600 13,189 3,900 15,800 5,900 18,748 13,850
May-10 18,914 2,370 5,001 5,261 33,700 13,801 3,650 15,000 5,150 17,642 15,600
Jun-10 18,438 2,228 5,244 5,900 34,200 17,570 4,150 15,800 4,950 18,027 17,000
Jul-10 18,581 2,868 5,195 5,900 35,000 17,994 4,625 16,900 4,850 19,373 16,950
Aug-10 18,724 3,294 5,195 5,801 39,400 18,653 4,550 17,650 4,400 17,690 16,100
Sep-10 19,724 3,484 5,632 7,080 51,600 20,726 5,450 18,400 5,500 19,661 16,850
Oct-10 23,726 3,697 6,506 6,883 47,700 20,208 5,200 18,300 6,000 21,344 17,450
Nov-10 23,011 3,839 6,312 6,293 40,700 25,907 4,575 16,600 5,400 22,113 15,000
Dec-10 24,965 3,875 5,535 6,391 40,000 26,520 4,875 15,950 5,400 22,882 16,500
Jan-11 20,677 3,225 5,778 5,851 37,250 24,023 4,700 13,550 4,875 20,527 15,050
Feb-11 20,820 3,550 6,215 5,800 36,550 24,211 4,750 14,400 5,050 22,305 16,200
Mar-11 21,630 3,975 6,360 6,800 41,850 24,682 5,400 16,350 5,300 20,863 15,300
Apr-11 22,059 4,050 6,020 7,150 40,600 26,378 5,550 17,000 5,350 22,353 15,300
May-11 22,487 3,875 6,020 7,200 43,550 27,273 5,400 16,900 5,250 23,000 14,700
Jun-11 22,392 3,875 5,826 7,200 49,800 26,943 5,750 17,050 5,100 24,900 14,900
Jul-11 22,392 4,450 5,292 7,850 50,900 30,146 6,350 15,450 5,450 27,300 15,600
Aug-11 20,486 4,125 5,049 6,850 55,000 29,205 6,100 15,200 5,250 23,600 16,900
Sep-11 18,390 3,725 4,600 6,300 52,500 28,357 5,050 14,000 5,250 22,000 16,500
Oct-11 20,439 4,025 4,975 7,150 58,600 29,817 5,250 16,350 5,350 24,600 15,650
Nov-11 21,344 3,800 4,400 6,400 65,000 36,741 4,700 15,000 5,350 23,350 18,200
Dec-11 20,677 3,800 4,100 6,750 62,050 36,741 4,600 17,050 5,650 26,350 18,800
Jan-12 19,629 3,625 4,525 6,700 57,000 40,039 4,800 16,950 5,450 28,350 19,600
Feb-12 21,249 3,775 4,475 6,450 56,750 49,930 5,100 17,450 5,450 29,000 19,250
Mar-12 22,249 4,000 4,600 6,850 55,050 50,119 4,850 18,450 5,050 33,000 20,000
Apr-12 20,391 4,025 5,600 7,400 59,200 51,061 4,850 18,050 4,850 29,600 19,850
May-12 19,486 3,700 5,300 6,900 54,100 49,742 4,725 17,800 3,900 23,100 20,550
Jun-12 19,105 3,825 6,000 7,200 61,500 46,868 4,850 17,350 4,325 21,350 22,900
Jul-12 21,916 3,975 6,050 8,300 56,350 48,988 5,400 21,500 4,850 21,000 24,250
Aug-12 21,249 3,725 6,000 7,800 50,100 48,988 5,400 20,250 5,100 20,050 27,100
Sep-12 20,915 3,925 6,250 8,200 46,450 49,554 5,650 20,350 5,400 20,700 26,050
Oct-12 19,962 3,850 6,100 8,250 49,150 50,872 5,700 21,400 6,500 21,100 26,050
Nov-12 17,151 3,700 5,400 8,250 52,850 54,452 5,850 23,250 5,550 17,050 26,350
Dec-12 18,200 3,700 5,650 7,800 56,000 55,583 5,850 22,650 6,450 19,700 20,850
Jan-13 17,961 3,925 6,100 9,050 51,850 59,634 6,050 21,750 6,800 19,750 22,050
Feb-13 17,580 4,600 6,300 10,050 48,300 70,562 7,300 21,950 6,350 19,300 22,850
Mar-13 17,628 5,050 6,450 10,000 48,950 79,606 7,450 23,300 6,500 18,200 22,800
Apr-13 16,866 5,400 6,450 10,500 49,400 79,417 7,350 26,400 6,000 17,750 26,250
May-13 18,581 4,875 5,750 9,700 53,500 82,432 7,350 23,750 5,200 16,300 30,500
Jun-13 18,771 4,300 5,850 9,000 50,600 80,077 7,350 24,450 5,250 18,200 30,750
Jul-13 14,817 4,275 5,200 8,900 42,350 77,251 6,500 20,850 5,000 16,800 31,800
Aug-13 18,819 3,850 4,050 7,100 37,950 61,706 6,500 19,700 4,125 15,800 31,200
Sep-13 18,581 4,075 3,975 7,950 35,000 61,612 7,050 18,000 4,150 16,300 30,150
Oct-13 17,723 4,800 4,300 8,600 36,900 63,025 6,650 20,900 4,400 17,500 30,000
Nov-13 21,201 4,100 3,800 7,650 37,000 61,235 6,650 18,850 3,850 18,250 26,600
Dec-13 23,917 3,950 3,775 7,850 42,000 58,786 6,600 20,000 4,150 19,000 26,000
Jan-14 20,463 4,360 4,340 8,700 41,900 63,166 6,975 22,400 4,240 19,300 28,550
Feb-14 24,298 4,550 4,080 9,100 47,700 64,533 7,175 22,450 4,015 18,550 28,575
Mar-14 24,774 4,960 4,350 9,450 49,400 65,003 7,300 23,375 3,950 20,750 29,250
Apr-14 28,014 4,815 4,090 9,825 56,500 65,852 7,050 21,950 3,910 21,700 29,250
May-14 26,037 4,775 4,160 10,175 52,050 64,909 6,825 22,650 3,950 21,675 29,125
Jun-14 26,847 4,765 4,145 9,725 53,500 63,402 6,700 22,550 3,685 23,100 29,275
Jul-14 25,441 5,100 3,855 10,250 54,200 65,663 7,075 24,950 4,010 22,900 30,750
Aug-14 24,298 5,350 3,750 10,375 54,000 66,558 6,875 24,250 3,830 22,150 31,025
Sep-14 21,916 5,525 3,905 10,075 56,675 67,830 7,000 21,550 3,805 19,900 31,800
Oct-14 22,392 5,950 4,215 10,350 57,750 66,982 6,825 24,000 3,665 18,375 30,400
Nov-14 22,868 6,025 4,200 10,525 61,175 65,804 6,700 24,675 3,490 18,325 31,800
Dec-14 23,107 6,100 4,525 10,775 60,700 64,674 6,750 25,000 4,050 17,350 32,300
Jan-15 22,154 6,250 4,400 11,000 57,800 63,308 7,550 23,000 4,095 17,900 35,825
Feb-15 23,488 6,875 4,800 12,000 53,425 61,423 7,400 24,050 4,125 20,750 36,000
Mar-15 23,154 7,225 5,125 12,475 51,000 69,219 7,450 21,925 4,265 21,800 39,650
Apr-15 19,391 6,425 3,970 10,750 50,000 69,243 6,750 21,000 4,000 21,400 42,600
May-15 23,631 6,875 4,420 10,775 47,100 68,301 7,300 22,400 3,740 20,300 43,300
Jun-15 21,868 5,300 4,300 10,050 45,100 67,830 6,575 20,875 4,000 20,375 39,500
Jul-15 19,129 4,760 4,200 9,700 49,500 78,616 6,100 20,025 4,300 20,200 40,000
Aug-15 16,318 4,950 3,535 9,100 44,500 71,598 5,300 19,625 4,045 19,125 39,725
Sep-15 17,270 4,135 2,895 7,925 42,000 71,574 5,500 16,450 3,750 17,475 38,000
Oct-15 18,962 4,755 2,760 8,700 42,950 91,975 5,525 18,000 4,190 18,100 37,000
Nov-15 16,151 4,770 2,825 8,500 48,900 101,900 4,875 18,700 5,600 16,300 36,750
Dec-15 15,103 4,990 3,200 9,250 55,000 94,000 5,175 22,325 5,500 16,950 37,000
E
Standar Devias
Varians

Varian Residual atau Unsystematic

 Risk and Return Individua
Actual Return
IHSG Rf
AALI BBNI BDMN BMRI GGRM HMSP INDF INTP
1,000 7.43% - - - - - - - -
1,045 7.42% -0.0777 -0.0718 -0.0734 -0.0090 0.2435 0.0554 0.0875 0.1220
1,074 7.43% 0.0332 0.0244 0.1437 -0.0670 -0.0861 0.0940 0.0690 -0.0870
1,080 7.44% 0.2901 0.0238 -0.0052 -0.0552 0.0455 0.2699 0.2473 -0.1111
1,030 7.70% -0.1000 -0.0814 -0.0211 -0.0643 -0.0621 0.0097 -0.1207 -0.0536
1,088 7.95% 0.0140 0.0633 0.0376 0.0375 -0.1457 -0.1579 0.1765 0.2075
1,122 8.25% 0.0891 0.0060 0.0466 -0.0964 -0.0194 -0.0455 -0.0833 0.0781
1,182 8.50% 0.0378 -0.0296 0.1089 0.0733 0.0158 -0.0298 -0.0091 0.0435
1,050 8.75% -0.0122 -0.1585 -0.1964 -0.1491 -0.1440 0.0307 -0.2752 -0.1875
1,079 10.00% 0.2575 0.1304 -0.1056 0.0584 -0.0091 0.0357 -0.0759 -0.0085
1,066 11.00% 0.0537 -0.1474 -0.0248 -0.0897 -0.0642 0.0057 0.1233 0.1379
1,097 12.25% 0.0187 -0.1053 -0.0064 -0.0227 0.0735 -0.0114 0.0366 -0.0227
1,163 12.75% -0.1091 0.0756 0.2179 0.2713 0.0639 0.0289 0.0706 0.1008
1,232 12.75% 0.0306 0.0156 -0.0211 0.0854 -0.0730 -0.0506 -0.0330 0.1127
1,231 12.75% 0.1683 -0.0538 -0.0806 -0.0899 0.0185 0.0059 -0.0455 0.1203
1,323 12.75% 0.0423 0.0407 0.1228 0.0741 -0.0773 -0.0176 0.0595 -0.0113
1,464 12.75% 0.0732 0.0625 0.0729 0.1034 0.0394 -0.0060 0.2697 0.1429
1,330 12.50% -0.0151 -0.1029 -0.1068 -0.1198 -0.0948 -0.0241 -0.1681 -0.2300
1,310 12.50% 0.0000 -0.0738 -0.1359 0.0178 -0.0052 -0.0370 -0.0638 0.0909
1,352 12.25% 0.2845 -0.0265 0.0692 0.0233 -0.0211 0.0128 0.1932 0.0000
1,431 11.75% 0.1018 0.1909 0.1529 0.1932 0.0860 -0.0253 0.1333 0.0893
1,535 11.25% -0.0108 0.8130 0.0816 0.1071 0.0248 0.0519 0.0504 0.0765
1,583 10.75% 0.0714 0.0000 0.1226 0.1720 -0.0483 -0.0370 0.0640 0.0152
1,719 10.25% 0.0924 -0.1663 0.0504 0.0184 0.0102 0.0769 0.0526 0.0700
1,806 9.75% 0.1831 -0.0556 0.0800 0.0450 0.0251 0.1548 -0.0357 0.0748
1,757 9.50% 0.0476 -0.0267 -0.1259 -0.1121 0.0147 0.2320 0.2519 -0.0696
1,741 9.25% -0.0493 -0.0385 -0.0254 -0.0971 0.0483 0.0042 -0.0769 0.0748
1,831 9.00% 0.0040 0.0057 0.1391 0.0753 -0.0230 0.0917 -0.0256 -0.1130
1,999 9.00% 0.2500 0.2500 -0.0153 0.2300 0.0236 0.1374 0.0789 0.1176
2,084 8.75% -0.0412 0.1364 0.0853 0.0569 0.0230 -0.1443 0.0549 -0.0263
2,139 8.50% -0.0894 -0.0100 -0.0143 -0.0385 0.0045 0.0824 0.1705 0.1261
2,349 8.25% 0.1163 0.0000 0.2246 0.1280 -0.1031 -0.0072 -0.0123 0.0400
2,194 8.25% -0.0684 -0.2121 -0.0473 -0.0780 -0.0450 -0.0255 -0.0700 -0.0154
2,359 8.25% 0.1748 0.0256 0.0497 0.0846 -0.0157 0.0375 0.0376 -0.0469
2,643 8.25% 0.3393 -0.0050 0.0237 0.0709 0.0638 0.0253 0.1399 0.3443
2,688 8.25% 0.1311 -0.0754 -0.0405 -0.0596 -0.1600 -0.0211 0.1477 -0.0610
2,746 8.00% 0.1002 0.0707 -0.0361 -0.0141 0.0119 0.0288 0.0198 0.0649
2,627 8.00% 0.0786 -0.1168 -0.1000 -0.0500 -0.0412 -0.0210 0.0971 -0.0549
2,722 8.00% 0.0464 -0.0460 0.0625 -0.0150 -0.0245 -0.0071 0.0354 -0.0323
2,447 8.00% -0.1820 -0.1627 -0.0980 -0.0382 -0.0377 -0.0647 -0.2051 -0.0600
2,305 8.00% -0.0831 -0.1367 -0.1739 -0.0873 -0.0065 -0.0308 -0.0215 -0.2057
2,444 8.25% 0.1160 0.0417 0.0000 0.0087 -0.0263 -0.0476 0.2308 0.0982
2,349 8.50% 0.1172 -0.0320 -0.1754 -0.1034 -0.1284 -0.0833 -0.1429 -0.1138
2,305 8.75% -0.2589 0.2066 0.1809 0.1442 0.0310 0.0091 -0.0521 0.1284
2,166 9.00% -0.1803 -0.1301 -0.0270 -0.0504 -0.0301 -0.0180 -0.0110 0.0407
1,833 9.25% -0.2786 -0.2362 -0.0926 -0.0619 -0.0853 -0.0642 -0.1289 -0.0625
1,257 9.50% -0.5328 -0.4742 -0.4694 -0.4113 -0.2712 -0.2157 -0.4439 -0.4167
1,242 9.50% 0.3967 0.0980 0.0096 -0.0449 0.0058 0.1250 -0.1101 0.0000
1,355 9.25% 0.1597 0.2143 0.1810 0.3591 -0.0173 -0.1000 -0.0412 0.3143
1,333 8.75% 0.1122 0.1324 -0.2661 -0.1012 0.2706 0.2593 0.0538 -0.0217
1,285 8.25% 0.1789 -0.0909 0.1538 -0.0440 -0.0370 0.0000 -0.1020 -0.0778
1,434 7.75% 0.0973 0.0286 0.1905 0.2500 0.1346 0.0588 0.0682 0.2651
1,723 7.50% 0.1206 0.7361 0.0000 0.2759 0.2627 -0.0278 0.3617 0.1143
1,917 7.25% 0.1266 0.2560 0.2000 0.0721 0.5235 -0.0095 0.3906 0.1368
2,027 7.00% -0.0534 0.0955 0.2867 0.0672 0.1057 -0.1058 0.0618 0.1654
2,323 6.75% 0.1454 0.0988 0.0000 0.3150 0.1235 -0.0484 0.2037 0.2000
2,342 6.50% 0.1140 0.0265 -0.0259 -0.0180 0.0142 0.1582 0.0989 0.0806
2,468 6.50% -0.0209 0.0954 0.0532 0.1463 0.0420 -0.0049 0.2100 0.0547
2,368 6.50% 0.0285 -0.1294 -0.0808 -0.0053 -0.0403 -0.0196 0.0165 0.0425
2,416 6.50% 0.0301 0.0946 -0.0275 -0.0481 0.2063 0.0100 0.0000 0.0045
2,534 6.50% 0.0201 -0.0222 0.0282 0.0562 0.2493 0.0297 0.1545 0.2342
2,611 6.50% 0.0484 -0.0253 0.0659 -0.0053 0.1137 0.2981 0.0141 -0.0146
2,549 6.50% 0.0147 -0.0104 0.0258 -0.0428 0.0854 -0.0259 0.0556 0.0148
2,777 6.50% 0.0165 0.1911 0.0452 0.1955 -0.0499 0.0608 -0.0066 0.0401
2,971 6.50% -0.0976 0.1429 0.1154 0.0841 0.1152 0.0036 0.0331 0.1088
2,797 6.50% -0.1058 -0.0385 -0.1121 -0.0776 0.2210 0.0464 -0.0641 -0.0506
2,914 6.50% -0.0252 -0.0600 0.0485 0.1215 0.0148 0.2730 0.1370 0.0533
3,069 6.50% 0.0078 0.2872 -0.0093 0.0000 0.0234 0.0241 0.1145 0.0696
3,082 6.50% 0.0077 0.1488 0.0000 -0.0167 0.1257 0.0366 -0.0162 0.0444
3,501 6.50% 0.0534 0.0576 0.0841 0.2203 0.3096 0.1111 0.1978 0.0425
3,635 6.50% 0.2029 0.0612 0.1552 -0.0278 -0.0756 -0.0250 -0.0459 -0.0054
3,531 6.50% -0.0301 0.0385 -0.0299 -0.0857 -0.1468 0.2821 -0.1202 -0.0929
3,704 6.50% 0.0849 0.0093 -0.1231 0.0156 -0.0172 0.0236 0.0656 -0.0392
3,409 6.50% -0.1718 -0.1677 0.0439 -0.0846 -0.0688 -0.0941 -0.0359 -0.1505
3,470 6.75% 0.0069 0.1008 0.0756 -0.0087 -0.0188 0.0078 0.0106 0.0627
3,679 6.75% 0.0389 0.1197 0.0234 0.1724 0.1450 0.0195 0.1368 0.1354
3,820 6.75% 0.0198 0.0189 -0.0534 0.0515 -0.0299 0.0687 0.0278 0.0398
3,837 6.75% 0.0194 -0.0432 0.0000 0.0070 0.0727 0.0339 -0.0270 -0.0059
3,889 6.75% -0.0042 0.0000 -0.0323 0.0000 0.1435 -0.0121 0.0648 0.0089
4,131 6.75% 0.0000 0.1484 -0.0917 0.0903 0.0221 0.1189 0.1043 -0.0938
3,842 6.75% -0.0851 -0.0730 -0.0459 -0.1274 0.0806 -0.0312 -0.0394 -0.0162
3,549 6.75% -0.1023 -0.0970 -0.0890 -0.0803 -0.0455 -0.0290 -0.1721 -0.0789
3,791 6.50% 0.1114 0.0805 0.0815 0.1349 0.1162 0.0515 0.0396 0.1679
3,715 6.00% 0.0443 -0.0559 -0.1156 -0.1049 0.1092 0.2322 -0.1048 -0.0826
3,822 6.00% -0.0313 0.0000 -0.0682 0.0547 -0.0454 0.0000 -0.0213 0.1367
3,942 6.00% -0.0507 -0.0461 0.1037 -0.0074 -0.0814 0.0897 0.0435 -0.0059
3,985 5.75% 0.0825 0.0414 -0.0110 -0.0373 -0.0044 0.2471 0.0625 0.0295
4,122 5.75% 0.0471 0.0596 0.0279 0.0620 -0.0300 0.0038 -0.0490 0.0573
4,181 5.75% -0.0835 0.0063 0.2174 0.0803 0.0754 0.0188 0.0000 -0.0217
3,833 5.75% -0.0444 -0.0807 -0.0536 -0.0676 -0.0861 -0.0258 -0.0258 -0.0139
3,956 5.75% -0.0196 0.0338 0.1321 0.0435 0.1368 -0.0578 0.0265 -0.0253
4,142 5.75% 0.1471 0.0392 0.0083 0.1528 -0.0837 0.0452 0.1134 0.2392
4,060 5.75% -0.0304 -0.0629 -0.0083 -0.0602 -0.1109 0.0000 0.0000 -0.0581
4,263 5.75% -0.0157 0.0537 0.0417 0.0513 -0.0729 0.0115 0.0463 0.0049
4,350 5.75% -0.0456 -0.0191 -0.0240 0.0061 0.0581 0.0266 0.0088 0.0516
4,276 5.75% -0.1408 -0.0390 -0.1148 0.0000 0.0753 0.0704 0.0263 0.0864
4,317 5.75% 0.0612 0.0000 0.0463 -0.0545 0.0596 0.0208 0.0000 -0.0258
4,454 5.75% -0.0131 0.0608 0.0796 0.1603 -0.0741 0.0729 0.0342 -0.0397
4,796 5.75% -0.0212 0.1720 0.0328 0.1105 -0.0685 0.1833 0.2066 0.0092
4,941 5.75% 0.0027 0.0978 0.0238 -0.0050 0.0135 0.1282 0.0205 0.0615
5,034 5.75% -0.0432 0.0693 0.0000 0.0500 0.0092 -0.0024 -0.0134 0.1330
5,069 5.75% 0.1017 -0.0972 -0.1085 -0.0762 0.0830 0.0380 0.0000 -0.1004
4,819 6.00% 0.0102 -0.1179 0.0174 -0.0722 -0.0542 -0.0286 0.0000 0.0295
4,610 6.50% -0.2106 -0.0058 -0.1111 -0.0111 -0.1630 -0.0353 -0.1156 -0.1472
4,195 6.75% 0.2701 -0.0994 -0.2212 -0.2022 -0.1039 -0.2012 0.0000 -0.0552
4,316 7.25% -0.0126 0.0584 -0.0185 0.1197 -0.0777 -0.0015 0.0846 -0.0863
4,511 7.25% -0.0462 0.1779 0.0818 0.0818 0.0543 0.0229 -0.0567 0.1611
4,256 7.50% 0.1962 -0.1458 -0.1163 -0.1105 0.0027 -0.0284 0.0000 -0.0981
4,274 7.50% 0.1281 -0.0366 -0.0066 0.0261 0.1351 -0.0400 -0.0075 0.0610
4,419 7.50% -0.1444 0.1038 0.1497 0.1083 -0.0024 0.0745 0.0568 0.1200
4,620 7.50% 0.1874 0.0436 -0.0599 0.0460 0.1384 0.0216 0.0287 0.0022
4,768 7.50% 0.0196 0.0901 0.0662 0.0385 0.0356 0.0073 0.0174 0.0412
4,840 7.50% 0.1308 -0.0292 -0.0598 0.0397 0.1437 0.0130 -0.0342 -0.0610
4,894 7.50% -0.0706 -0.0083 0.0171 0.0356 -0.0788 -0.0143 -0.0319 0.0319
4,879 7.50% 0.0311 -0.0021 -0.0036 -0.0442 0.0279 -0.0232 -0.0183 -0.0044
5,089 7.50% -0.0524 0.0703 -0.0700 0.0540 0.0131 0.0357 0.0560 0.1064
5,137 7.50% -0.0449 0.0490 -0.0272 0.0122 -0.0037 0.0136 -0.0283 -0.0281
5,138 7.50% -0.0980 0.0327 0.0413 -0.0289 0.0495 0.0191 0.0182 -0.1113
5,090 7.50% 0.0217 0.0769 0.0794 0.0273 0.0190 -0.0125 -0.0250 0.1137
5,150 7.63% 0.0213 0.0126 -0.0036 0.0169 0.0593 -0.0176 -0.0183 0.0281
5,227 7.75% 0.0105 0.0124 0.0774 0.0238 -0.0078 -0.0172 0.0075 0.0132
5,289 7.75% -0.0412 0.0246 -0.0276 0.0209 -0.0478 -0.0211 0.1185 -0.0800
5,450 7.50% 0.0602 0.1000 0.0909 0.0909 -0.0757 -0.0298 -0.0199 0.0457
 5,519 7.50% -0.0142 0.0509 0.0677 0.0396 -0.0454 0.1269 0.0068 -0.0884
5,086 7.50% -0.1625 -0.1107 -0.2254 -0.1383 -0.0196 0.0003 -0.0940 -0.0422
5,216 7.50% 0.2187 0.0700 0.1134 0.0023 -0.0580 -0.0136 0.0815 0.0667
4,911 7.50% -0.0746 -0.2291 -0.0271 -0.0673 -0.0425 -0.0069 -0.0993 -0.0681
4,803 7.50% -0.1253 -0.1019 -0.0233 -0.0348 0.0976 0.1590 -0.0722 -0.0407
4,510 7.50% -0.1469 0.0399 -0.1583 -0.0619 -0.1010 -0.0893 -0.1311 -0.0200
4,224 7.50% 0.0583 -0.1646 -0.1810 -0.1291 -0.0562 -0.0003 0.0377 -0.1618
4,455 7.50% 0.0980 0.1499 -0.0466 0.0978 0.0226 0.2850 0.0045 0.0942
4,446 7.50% -0.1482 0.0032 0.0236 -0.0230 0.1385 0.1079 -0.1176 0.0389
4,593 7.50% -0.0649 0.0461 0.1327 0.0882 0.1247 -0.0775 0.0615 0.1939
E(R) 0.0204 0.0176 0.0039 0.0176 0.0158 0.0241 0.0206 0.0210
Standar Deviasi (σ) 0.1255 0.1436 0.1083 0.1061 0.1050 0.0909 0.1121 0.1073
Varians (σ2) 0.0158 0.0206 0.0117 0.0113 0.0110 0.0083 0.0126 0.0115
α 0.0068 -0.0035 -0.0110 -0.0014 0.0058 0.0197 0.0034 0.0054
β 0.9963 1.5495 1.0950 1.3862 0.7304 0.3282 1.2598 1.1409
ual atau Unsystematic Risk 0.0196 0.0300 0.0164 0.0187 0.0131 0.0087 0.0187 0.0166
Ai 0.7061 0.5747 -0.1725 0.8195 0.5191 0.6669 0.9499 0.9977
Bi 50.6111 80.1117 73.1676 102.5443 40.7293 12.4047 84.7231 78.4896
Ci 0.0023 0.0017 -0.0005 0.0023 0.0017 0.0025 0.0028 0.0030
Individual
Excess Return
IHSG Rf
ISAT UNTR UNVR AALI BBNI BDMN BMRI GGRM HMSP
- - - - - - - - - - -
-0.0087 0.2044 0.0606 0.0452 0.0062 -0.0839 -0.0780 -0.0795 -0.0152 0.2374 0.0492
-0.0789 0.0614 0.0143 0.0272 0.0062 0.0270 0.0182 0.1375 -0.0732 -0.0922 0.0878
-0.0714 -0.0496 0.0775 0.0059 0.0062 0.2839 0.0176 -0.0114 -0.0614 0.0393 0.2637
-0.1128 0.0261 -0.0196 -0.0468 0.0064 -0.1064 -0.0878 -0.0275 -0.0707 -0.0685 0.0032
0.1445 0.1102 0.2200 0.0569 0.0066 0.0074 0.0567 0.0310 0.0309 -0.1523 -0.1645
0.1111 0.1374 -0.1093 0.0314 0.0069 0.0823 -0.0009 0.0398 -0.1033 -0.0263 -0.0523
0.0545 0.1946 0.0675 0.0534 0.0071 0.0307 -0.0367 0.1018 0.0662 0.0087 -0.0368
-0.0862 -0.1292 -0.0287 -0.1118 0.0073 -0.0195 -0.1658 -0.2037 -0.1564 -0.1513 0.0234
0.0000 0.0000 -0.0355 0.0278 0.0083 0.2492 0.1221 -0.1139 0.0501 -0.0174 0.0274
-0.0802 -0.0452 0.0736 -0.0121 0.0092 0.0445 -0.1566 -0.0340 -0.0988 -0.0734 -0.0034
0.0974 -0.0270 -0.0114 0.0285 0.0102 0.0085 -0.1155 -0.0166 -0.0329 0.0633 -0.0216
0.0374 0.0208 -0.0116 0.0602 0.0106 -0.1198 0.0650 0.2073 0.2607 0.0533 0.0183
0.0450 0.0408 0.0058 0.0599 0.0106 0.0200 0.0050 -0.0317 0.0747 -0.0836 -0.0612
-0.0948 0.0392 -0.0058 -0.0013 0.0106 0.1577 -0.0645 -0.0913 -0.1005 0.0079 -0.0047
-0.0190 0.1321 -0.0058 0.0750 0.0106 0.0317 0.0300 0.1122 0.0635 -0.0879 -0.0283
0.0485 0.2111 0.0765 0.1069 0.0106 0.0626 0.0519 0.0623 0.0928 0.0288 -0.0166
-0.0741 -0.0092 -0.1202 -0.0918 0.0104 -0.0255 -0.1134 -0.1172 -0.1302 -0.1052 -0.0345
-0.1450 0.0000 0.0248 -0.0148 0.0104 -0.0104 -0.0842 -0.1463 0.0073 -0.0157 -0.0475
0.0000 0.0370 0.0242 0.0316 0.0102 0.2743 -0.0368 0.0590 0.0130 -0.0313 0.0026
0.0292 0.0268 0.0592 0.0589 0.0098 0.0920 0.1811 0.1432 0.1834 0.0762 -0.0351
0.1705 0.0522 0.0279 0.0722 0.0094 -0.0202 0.8036 0.0723 0.0978 0.0154 0.0426
0.0097 0.0826 0.0435 0.0313 0.0090 0.0624 -0.0090 0.1137 0.1631 -0.0573 -0.0460
0.1058 -0.0153 0.2500 0.0861 0.0085 0.0838 -0.1749 0.0419 0.0098 0.0016 0.0684
0.1739 0.0155 0.1000 0.0504 0.0081 0.1750 -0.0637 0.0719 0.0369 0.0170 0.1466
-0.1111 0.0305 -0.1136 -0.0267 0.0079 0.0397 -0.0347 -0.1338 -0.1200 0.0068 0.2240
-0.0167 0.0296 -0.0427 -0.0093 0.0077 -0.0570 -0.0462 -0.0331 -0.1048 0.0406 -0.0035
0.0593 0.0647 0.0179 0.0517 0.0075 -0.0035 -0.0018 0.1316 0.0678 -0.0305 0.0842
0.0880 0.0676 -0.0088 0.0919 0.0075 0.2425 0.2425 -0.0228 0.2225 0.0161 0.1299
-0.0074 -0.0443 0.1150 0.0426 0.0073 -0.0485 0.1291 0.0780 0.0496 0.0157 -0.1516
-0.0370 0.0927 0.0635 0.0264 0.0071 -0.0965 -0.0171 -0.0214 -0.0455 -0.0026 0.0753
0.1154 0.0424 0.1269 0.0979 0.0069 0.1094 -0.0069 0.2178 0.1211 -0.1100 -0.0141
-0.0069 -0.0581 -0.0993 -0.0657 0.0069 -0.0752 -0.2190 -0.0542 -0.0849 -0.0519 -0.0324
0.0694 0.0123 0.0000 0.0751 0.0069 0.1679 0.0188 0.0428 0.0777 -0.0226 0.0306
0.1299 0.3354 -0.0221 0.1205 0.0069 0.3324 -0.0119 0.0168 0.0640 0.0570 0.0184
-0.0460 0.0274 0.0000 0.0170 0.0069 0.1242 -0.0823 -0.0473 -0.0665 -0.1669 -0.0280
0.0422 -0.0311 0.0150 0.0214 0.0067 0.0935 0.0640 -0.0428 -0.0208 0.0052 0.0221
-0.1792 0.2202 0.0222 -0.0432 0.0067 0.0719 -0.1234 -0.1067 -0.0567 -0.0478 -0.0276
-0.0352 -0.0038 -0.0145 0.0360 0.0067 0.0397 -0.0526 0.0558 -0.0217 -0.0312 -0.0138
0.0365 -0.0528 0.0147 -0.1009 0.0067 -0.1886 -0.1693 -0.1047 -0.0448 -0.0444 -0.0714
-0.1479 -0.0398 -0.0145 -0.0583 0.0067 -0.0898 -0.1434 -0.1806 -0.0940 -0.0132 -0.0374
-0.0496 0.1992 -0.0074 0.0607 0.0069 0.1091 0.0348 -0.0069 0.0018 -0.0332 -0.0545
0.1739 -0.1592 0.0000 -0.0390 0.0071 0.1101 -0.0391 -0.1825 -0.1105 -0.1355 -0.0904
-0.0370 -0.0617 0.0222 -0.0190 0.0073 -0.2662 0.1993 0.1736 0.1369 0.0237 0.0018
-0.0538 -0.0921 0.0507 -0.0601 0.0075 -0.1878 -0.1376 -0.0345 -0.0579 -0.0376 -0.0255
-0.0081 -0.0870 0.0345 -0.1539 0.0077 -0.2863 -0.2439 -0.1003 -0.0697 -0.0930 -0.0719
-0.1311 -0.6667 -0.0067 -0.3142 0.0079 -0.5407 -0.4821 -0.4773 -0.4192 -0.2791 -0.2236
-0.0377 0.2619 0.0336 -0.0121 0.0079 0.3888 0.0901 0.0017 -0.0528 -0.0021 0.1171
0.1275 0.1069 0.0130 0.0917 0.0077 0.1520 0.2066 0.1732 0.3514 -0.0250 -0.1077
-0.0174 0.1477 0.0128 -0.0168 0.0073 0.1049 0.1251 -0.2734 -0.1085 0.2633 0.2520
-0.2566 0.0594 0.0190 -0.0354 0.0069 0.1720 -0.0978 0.1470 -0.0508 -0.0439 -0.0069
0.1250 0.2617 -0.0124 0.1156 0.0065 0.0908 0.0221 0.1840 0.2435 0.1282 0.0524
0.1852 0.3333 -0.0252 0.2013 0.0063 0.1143 0.7299 -0.0063 0.2696 0.2565 -0.0340
-0.0536 0.1278 0.0129 0.1126 0.0060 0.1206 0.2500 0.1940 0.0660 0.5174 -0.0156
-0.0613 -0.0197 0.1783 0.0574 0.0058 -0.0592 0.0897 0.2808 0.0614 0.0999 -0.1116
0.0955 0.3015 0.2541 0.1463 0.0056 0.1397 0.0932 -0.0056 0.3093 0.1179 -0.0540
-0.0367 0.0425 -0.1293 0.0079 0.0054 0.1086 0.0210 -0.0313 -0.0234 0.0088 0.1528
0.0381 0.1556 0.0594 0.0538 0.0054 -0.0263 0.0899 0.0478 0.1409 0.0365 -0.0103
-0.0550 -0.0385 -0.0561 -0.0405 0.0054 0.0231 -0.1348 -0.0862 -0.0107 -0.0457 -0.0250
-0.0583 -0.0033 0.0941 0.0203 0.0054 0.0246 0.0892 -0.0329 -0.0535 0.2009 0.0046
-0.0258 0.0368 0.0000 0.0491 0.0054 0.0147 -0.0276 0.0228 0.0508 0.2439 0.0243
0.1852 0.0871 0.0226 0.0302 0.0054 0.0430 -0.0307 0.0605 -0.0107 0.1083 0.2927
-0.0893 0.0178 0.0177 -0.0237 0.0054 0.0092 -0.0158 0.0204 -0.0482 0.0800 -0.0313
0.0784 0.0700 0.0565 0.0896 0.0054 0.0111 0.1857 0.0398 0.1901 -0.0553 0.0554
0.0727 0.0627 0.1399 0.0698 0.0054 -0.1030 0.1374 0.1100 0.0787 0.1097 -0.0018
-0.1271 -0.0590 0.1264 -0.0587 0.0054 -0.1113 -0.0439 -0.1175 -0.0830 0.2156 0.0410
-0.0388 0.0218 0.0897 0.0417 0.0054 -0.0306 -0.0654 0.0431 0.1161 0.0094 0.2676
-0.0202 0.0747 -0.0029 0.0534 0.0054 0.0023 0.2818 -0.0147 -0.0054 0.0180 0.0187
-0.0928 -0.0868 -0.0501 0.0041 0.0054 0.0023 0.1433 -0.0054 -0.0221 0.1203 0.0312
0.2500 0.1114 0.0466 0.1361 0.0054 0.0480 0.0521 0.0787 0.2149 0.3042 0.1057
0.0909 0.0856 0.0356 0.0383 0.0054 0.1975 0.0558 0.1498 -0.0332 -0.0810 -0.0304
-0.1000 0.0360 -0.1404 -0.0286 0.0054 -0.0356 0.0330 -0.0353 -0.0911 -0.1522 0.2766
0.0000 0.0348 0.1000 0.0488 0.0054 0.0795 0.0039 -0.1285 0.0102 -0.0226 0.0182
-0.0972 -0.1029 -0.0879 -0.0795 0.0054 -0.1772 -0.1732 0.0384 -0.0900 -0.0742 -0.0996
0.0359 0.0866 0.0764 0.0179 0.0056 0.0013 0.0952 0.0700 -0.0143 -0.0244 0.0022
0.0495 -0.0647 -0.0556 0.0600 0.0056 0.0333 0.1141 0.0178 0.1668 0.1394 0.0138
0.0094 0.0714 0.0000 0.0383 0.0056 0.0142 0.0132 -0.0591 0.0458 -0.0355 0.0631
-0.0187 0.0289 -0.0392 0.0045 0.0056 0.0138 -0.0488 -0.0056 0.0014 0.0670 0.0283
-0.0286 0.0826 0.0136 0.0134 0.0056 -0.0098 -0.0056 -0.0379 -0.0056 0.1379 -0.0177
0.0686 0.0964 0.0470 0.0623 0.0056 -0.0056 0.1428 -0.0973 0.0847 0.0165 0.1133
-0.0367 -0.1355 0.0833 -0.0700 0.0056 -0.0907 -0.0787 -0.0515 -0.1330 0.0749 -0.0369
0.0000 -0.0678 -0.0237 -0.0762 0.0056 -0.1079 -0.1026 -0.0946 -0.0859 -0.0511 -0.0347
0.0190 0.1182 -0.0515 0.0681 0.0054 0.1060 0.0751 0.0761 0.1295 0.1108 0.0461
0.0000 -0.0508 0.1629 -0.0200 0.0050 0.0393 -0.0609 -0.1206 -0.1099 0.1042 0.2272
0.0561 0.1285 0.0330 0.0288 0.0050 -0.0363 -0.0050 -0.0732 0.0497 -0.0504 -0.0050
-0.0354 0.0759 0.0426 0.0313 0.0050 -0.0557 -0.0511 0.0987 -0.0124 -0.0864 0.0847
0.0000 0.0229 -0.0179 0.0110 0.0048 0.0777 0.0366 -0.0158 -0.0421 -0.0092 0.2423
-0.0734 0.1379 0.0390 0.0342 0.0048 0.0423 0.0548 0.0231 0.0572 -0.0347 -0.0010
-0.0396 -0.1030 -0.0075 0.0144 0.0048 -0.0883 0.0015 0.2126 0.0755 0.0706 0.0140
-0.1959 -0.2196 0.0353 -0.0832 0.0048 -0.0492 -0.0855 -0.0584 -0.0724 -0.0909 -0.0306
0.1090 -0.0758 0.1144 0.0320 0.0048 -0.0243 0.0290 0.1273 0.0387 0.1320 -0.0626
0.1214 -0.0164 0.0590 0.0472 0.0048 0.1423 0.0344 0.0035 0.1480 -0.0885 0.0404
0.0515 -0.0452 0.1175 -0.0198 0.0048 -0.0352 -0.0677 -0.0131 -0.0650 -0.1157 -0.0048
0.0588 0.0324 -0.0387 0.0498 0.0048 -0.0205 0.0489 0.0369 0.0465 -0.0776 0.0067
0.2037 0.0193 0.0000 0.0206 0.0048 -0.0504 -0.0239 -0.0288 0.0013 0.0533 0.0218
-0.1462 -0.1919 0.0115 -0.0170 0.0048 -0.1456 -0.0438 -0.1195 -0.0048 0.0705 0.0656
0.1622 0.1554 -0.2087 0.0095 0.0048 0.0564 -0.0048 0.0415 -0.0593 0.0548 0.0160
0.0543 0.0025 0.0576 0.0317 0.0048 -0.0179 0.0560 0.0749 0.1555 -0.0789 0.0681
-0.0662 -0.0228 0.0363 0.0768 0.0048 -0.0260 0.1672 0.0280 0.1057 -0.0733 0.1785
0.0236 -0.0570 -0.0022 0.0303 0.0048 -0.0021 0.0930 0.0190 -0.0098 0.0087 0.1234
-0.0769 -0.0247 0.1513 0.0188 0.0048 -0.0480 0.0645 -0.0048 0.0452 0.0044 -0.0072
-0.1333 -0.0817 0.1619 0.0069 0.0048 0.0969 -0.1020 -0.1133 -0.0810 0.0782 0.0332
0.0096 0.1166 0.0082 -0.0493 0.0050 0.0052 -0.1229 0.0124 -0.0772 -0.0592 -0.0336
-0.0476 -0.0769 0.0341 -0.0433 0.0054 -0.2161 -0.0112 -0.1165 -0.0165 -0.1685 -0.0407
-0.1750 -0.0595 -0.0189 -0.0901 0.0056 0.2645 -0.1050 -0.2268 -0.2079 -0.1095 -0.2068
0.0061 0.0316 -0.0337 0.0289 0.0060 -0.0187 0.0524 -0.0246 0.1137 -0.0838 -0.0076
0.0602 0.0736 -0.0050 0.0451 0.0060 -0.0522 0.1719 0.0757 0.0757 0.0482 0.0169
-0.1250 0.0429 -0.1133 -0.0564 0.0063 0.1900 -0.1521 -0.1225 -0.1167 -0.0035 -0.0347
0.0779 0.0411 -0.0226 0.0042 0.0063 0.1219 -0.0428 -0.0128 0.0199 0.1289 -0.0463
0.0217 0.0158 0.0981 0.0338 0.0063 -0.1507 0.0975 0.1434 0.1020 -0.0086 0.0683
-0.0531 -0.0389 0.0009 0.0456 0.0063 0.1812 0.0373 -0.0662 0.0397 0.1322 0.0154
-0.0162 0.1186 0.0236 0.0320 0.0063 0.0133 0.0839 0.0599 0.0322 0.0294 0.0010
-0.0101 0.0458 0.0000 0.0151 0.0063 0.1245 -0.0355 -0.0660 0.0334 0.1375 0.0068
0.0102 -0.0012 -0.0043 0.0111 0.0063 -0.0768 -0.0146 0.0109 0.0294 -0.0850 -0.0206
-0.0671 0.0657 0.0052 -0.0031 0.0063 0.0249 -0.0083 -0.0099 -0.0505 0.0216 -0.0295
0.0882 -0.0087 0.0504 0.0431 0.0063 -0.0586 0.0641 -0.0762 0.0477 0.0068 0.0294
-0.0449 -0.0328 0.0089 0.0094 0.0063 -0.0512 0.0428 -0.0335 0.0059 -0.0099 0.0074
-0.0065 -0.1016 0.0250 0.0001 0.0063 -0.1043 0.0265 0.0351 -0.0352 0.0433 0.0129
-0.0368 -0.0766 -0.0440 -0.0093 0.0063 0.0155 0.0707 0.0731 0.0210 0.0127 -0.0187
-0.0477 -0.0027 0.0461 0.0119 0.0064 0.0149 0.0063 -0.0099 0.0106 0.0530 -0.0239
0.1605 -0.0532 0.0157 0.0150 0.0065 0.0040 0.0060 0.0709 0.0173 -0.0142 -0.0236
0.0111 0.0317 0.1091 0.0119 0.0065 -0.0477 0.0181 -0.0341 0.0144 -0.0542 -0.0276
0.0073 0.1592 0.0049 0.0304 0.0063 0.0540 0.0938 0.0847 0.0847 -0.0819 -0.0360
 0.0339 0.0506 0.1014 0.0125 0.0063 -0.0205 0.0447 0.0615 0.0333 -0.0516 0.1207
-0.0621 -0.0183 0.0744 -0.0783 0.0063 -0.1688 -0.1170 -0.2316 -0.1445 -0.0259 -0.0059
-0.0650 -0.0514 0.0164 0.0255 0.0063 0.2124 0.0638 0.1071 -0.0039 -0.0643 -0.0199
0.0695 0.0037 -0.0878 -0.0586 0.0063 -0.0809 -0.2353 -0.0334 -0.0735 -0.0487 -0.0131
0.0750 -0.0086 0.0127 -0.0220 0.0063 -0.1315 -0.1081 -0.0295 -0.0411 0.0913 0.1528
-0.0593 -0.0532 -0.0069 -0.0610 0.0063 -0.1532 0.0337 -0.1646 -0.0681 -0.1073 -0.0955
-0.0729 -0.0863 -0.0434 -0.0634 0.0063 0.0521 -0.1709 -0.1873 -0.1354 -0.0624 -0.0066
0.1173 0.0358 -0.0263 0.0548 0.0063 0.0917 0.1437 -0.0529 0.0915 0.0164 0.2788
0.3365 -0.0994 -0.0068 -0.0020 0.0063 -0.1545 -0.0031 0.0173 -0.0292 0.1323 0.1017
-0.0179 0.0399 0.0068 0.0330 0.0063 -0.0711 0.0399 0.1265 0.0820 0.1185 -0.0838
0.0041 0.0233 0.0209 0.0137 0.0065 0.0139 0.0111 -0.0026 0.0111 0.0093 0.0176
0.0944 0.1148 0.0712 0.0624 0.0015 0.1253 0.1437 0.1083 0.1061 0.1052 0.0911
0.0089 0.0132 0.0051 0.0039 0.0000 0.0157 0.0206 0.0117 0.0113 0.0111 0.0083
-0.0066 0.0059 0.0170 0
0.7807 1.2732 0.2904 1 ERB
0.0113 0.0195 0.0054 - 0.0140 0.0072 -0.0024 0.0080 0.0127 0.0538
-0.1692 1.0974 0.7770
54.0301 83.1846 15.6155
-0.0005 0.0032 0.0028
 Optimal
xcess Return Emiten α β ERB
IHSG
INDF INTP ISAT UNTR UNVR HMSP 0.0197 0.3282 0.0087 0.0538
- - - - - - UNVR 0.0170 0.2904 0.0054 0.0498
0.0813 0.1158 -0.0149 0.1982 0.0544 0.0390 AALI 0.0068 0.9963 0.0196 0.0140
0.0628 -0.0931 -0.0851 0.0552 0.0081 0.0210 UNTR 0.0059 1.2732 0.0195 0.0132
0.2411 -0.1173 -0.0776 -0.0558 0.0713 -0.0003 GGRM 0.0058 0.7304 0.0131 0.0127
-0.1271 -0.0600 -0.1192 0.0197 -0.0260 -0.0532 INTP 0.0054 1.1409 0.0166 0.0127
0.1698 0.2009 0.1379 0.1035 0.2134 0.0502 INDF 0.0034 1.2598 0.0187 0.0112
-0.0902 0.0713 0.1042 0.1305 -0.1162 0.0246 BMRI -0.0014 1.3862 0.0187 0.0080
-0.0162 0.0364 0.0475 0.1875 0.0604 0.0463 BBNI -0.0035 1.5495 0.0300 0.0072
-0.2825 -0.1948 -0.0935 -0.1365 -0.0360 -0.1191 BDMN -0.0110 1.0950 0.0164 -0.0024
-0.0843 -0.0169 -0.0083 -0.0083 -0.0438 0.0195 ISAT -0.0066 0.7807 0.0113 -0.0031
0.1141 0.1288 -0.0894 -0.0543 0.0645 -0.0213 Maximum
0.0264 -0.0329 0.0872 -0.0372 -0.0216 0.0183
0.0600 0.0902 0.0268 0.0102 -0.0222 0.0496
-0.0436 0.1021 0.0344 0.0302 -0.0048 0.0493
-0.0561 0.1096 -0.1055 0.0286 -0.0164 -0.0120
0.0489 -0.0219 -0.0297 0.1215 -0.0165 0.0644
0.2590 0.1322 0.0379 0.2005 0.0658 0.0963
-0.1786 -0.2404 -0.0845 -0.0196 -0.1306 -0.1022
-0.0742 0.0805 -0.1554 -0.0104 0.0144 -0.0253
0.1830 -0.0102 -0.0102 0.0268 0.0140 0.0214
0.1235 0.0795 0.0194 0.0170 0.0494 0.0491
0.0410 0.0671 0.1611 0.0428 0.0186 0.0628
0.0550 0.0063 0.0008 0.0737 0.0345 0.0223
0.0441 0.0615 0.0972 -0.0238 0.2415 0.0776
-0.0438 0.0666 0.1658 0.0074 0.0919 0.0422
0.2439 -0.0775 -0.1190 0.0226 -0.1216 -0.0346
-0.0846 0.0671 -0.0244 0.0219 -0.0504 -0.0170
-0.0331 -0.1205 0.0518 0.0572 0.0104 0.0442
0.0714 0.1101 0.0805 0.0601 -0.0163 0.0844
0.0476 -0.0336 -0.0146 -0.0516 0.1078 0.0353
0.1634 0.1190 -0.0441 0.0856 0.0564 0.0193
-0.0192 0.0331 0.1085 0.0355 0.1200 0.0910
-0.0769 -0.0223 -0.0138 -0.0650 -0.1062 -0.0726
0.0308 -0.0538 0.0626 0.0055 -0.0069 0.0683
0.1330 0.3374 0.1230 0.3285 -0.0289 0.1136
0.1409 -0.0679 -0.0529 0.0205 -0.0069 0.0101
0.0131 0.0583 0.0355 -0.0378 0.0084 0.0147
 0.0904 -0.0615 -0.1859 0.2135 0.0156 -0.0499
0.0287 -0.0389 -0.0419 -0.0104 -0.0212 0.0294
-0.2118 -0.0667 0.0298 -0.0595 0.0080 -0.1076
-0.0282 -0.2123 -0.1546 -0.0465 -0.0212 -0.0650
0.2239 0.0913 -0.0565 0.1923 -0.0142 0.0538
-0.1499 -0.1209 0.1668 -0.1663 -0.0071 -0.0460
-0.0594 0.1211 -0.0443 -0.0690 0.0149 -0.0263
-0.0185 0.0332 -0.0613 -0.0996 0.0432 -0.0676
-0.1366 -0.0702 -0.0158 -0.0947 0.0268 -0.1617
-0.4518 -0.4246 -0.1391 -0.6746 -0.0146 -0.3221
-0.1180 -0.0079 -0.0457 0.2540 0.0256 -0.0200
-0.0489 0.3066 0.1197 0.0992 0.0053 0.0840
0.0465 -0.0290 -0.0247 0.1404 0.0055 -0.0241
-0.1089 -0.0847 -0.2635 0.0525 0.0121 -0.0423
0.0617 0.2586 0.1185 0.2552 -0.0189 0.1091
0.3555 0.1080 0.1789 0.3271 -0.0314 0.1951
0.3846 0.1307 -0.0596 0.1217 0.0069 0.1066
0.0560 0.1596 -0.0672 -0.0255 0.1725 0.0515
0.1981 0.1944 0.0899 0.2959 0.2484 0.1406
0.0935 0.0752 -0.0421 0.0371 -0.1347 0.0025
0.2046 0.0493 0.0327 0.1501 0.0540 0.0484
0.0111 0.0370 -0.0605 -0.0439 -0.0615 -0.0459
-0.0054 -0.0009 -0.0637 -0.0088 0.0886 0.0149
0.1491 0.2288 -0.0312 0.0314 -0.0054 0.0436
0.0087 -0.0200 0.1798 0.0817 0.0172 0.0247
0.0501 0.0094 -0.0947 0.0124 0.0123 -0.0291
-0.0120 0.0347 0.0730 0.0646 0.0511 0.0841
0.0277 0.1034 0.0673 0.0573 0.1345 0.0644
-0.0695 -0.0560 -0.1325 -0.0644 0.1209 -0.0641
0.1316 0.0479 -0.0443 0.0164 0.0843 0.0363
0.1090 0.0642 -0.0256 0.0692 -0.0084 0.0480
-0.0216 0.0390 -0.0982 -0.0923 -0.0556 -0.0013
0.1924 0.0371 0.2446 0.1060 0.0412 0.1307
-0.0513 -0.0109 0.0855 0.0802 0.0302 0.0329
-0.1256 -0.0983 -0.1054 0.0306 -0.1458 -0.0341
0.0602 -0.0446 -0.0054 0.0294 0.0946 0.0434
-0.0413 -0.1559 -0.1026 -0.1084 -0.0933 -0.0849
0.0050 0.0571 0.0303 0.0810 0.0708 0.0123
0.1312 0.1298 0.0439 -0.0703 -0.0612 0.0544
0.0222 0.0341 0.0038 0.0658 -0.0056 0.0327
-0.0327 -0.0115 -0.0243 0.0233 -0.0448 -0.0011
0.0592 0.0033 -0.0342 0.0770 0.0080 0.0078
0.0987 -0.0995 0.0630 0.0908 0.0414 0.0567
-0.0450 -0.0218 -0.0423 -0.1412 0.0777 -0.0756
-0.1778 -0.0846 -0.0056 -0.0734 -0.0293 -0.0818
0.0342 0.1624 0.0136 0.1128 -0.0569 0.0627
-0.1098 -0.0876 -0.0050 -0.0558 0.1579 -0.0250
-0.0263 0.1317 0.0511 0.1235 0.0280 0.0238
0.0385 -0.0109 -0.0404 0.0709 0.0376 0.0263
0.0577 0.0247 -0.0048 0.0181 -0.0226 0.0062
-0.0538 0.0525 -0.0782 0.1331 0.0342 0.0294
-0.0048 -0.0265 -0.0444 -0.1078 -0.0123 0.0096
-0.0306 -0.0186 -0.2007 -0.2244 0.0305 -0.0880
0.0217 -0.0301 0.1042 -0.0805 0.1096 0.0272
0.1086 0.2344 0.1166 -0.0212 0.0542 0.0424
-0.0048 -0.0629 0.0468 -0.0500 0.1127 -0.0246
0.0415 0.0001 0.0540 0.0276 -0.0435 0.0450
0.0041 0.0468 0.1989 0.0145 -0.0048 0.0158
0.0215 0.0817 -0.1509 -0.1967 0.0067 -0.0218
-0.0048 -0.0306 0.1574 0.1506 -0.2135 0.0047
0.0294 -0.0445 0.0495 -0.0023 0.0528 0.0269
0.2018 0.0044 -0.0710 -0.0276 0.0315 0.0720
0.0158 0.0567 0.0188 -0.0618 -0.0070 0.0255
-0.0182 0.1283 -0.0817 -0.0295 0.1465 0.0140
-0.0048 -0.1052 -0.1381 -0.0865 0.1571 0.0021
-0.0050 0.0245 0.0046 0.1116 0.0032 -0.0543
-0.1211 -0.1527 -0.0530 -0.0823 0.0287 -0.0487
-0.0056 -0.0608 -0.1806 -0.0651 -0.0245 -0.0957
0.0786 -0.0923 0.0000 0.0256 -0.0397 0.0228
-0.0628 0.1551 0.0542 0.0676 -0.0110 0.0390
-0.0063 -0.1043 -0.1313 0.0366 -0.1196 -0.0626
-0.0138 0.0548 0.0717 0.0348 -0.0288 -0.0021
0.0506 0.1138 0.0154 0.0095 0.0918 0.0276
0.0224 -0.0040 -0.0593 -0.0451 -0.0054 0.0393
0.0112 0.0350 -0.0224 0.1123 0.0174 0.0258
-0.0405 -0.0672 -0.0164 0.0395 -0.0063 0.0088
-0.0382 0.0256 0.0040 -0.0074 -0.0105 0.0049
-0.0246 -0.0107 -0.0733 0.0595 -0.0011 -0.0094
0.0497 0.1002 0.0819 -0.0149 0.0441 0.0368
-0.0345 -0.0343 -0.0511 -0.0390 0.0027 0.0032
0.0119 -0.1176 -0.0128 -0.1078 0.0187 -0.0061
-0.0313 0.1074 -0.0430 -0.0829 -0.0503 -0.0156
-0.0247 0.0218 -0.0541 -0.0091 0.0397 0.0055
0.0010 0.0067 0.1540 -0.0597 0.0093 0.0085
0.1121 -0.0865 0.0047 0.0252 0.1027 0.0055
-0.0261 0.0394 0.0011 0.1530 -0.0014 0.0242
 0.0005 -0.0946 0.0277 0.0444 0.0951 0.0063
-0.1002 -0.0484 -0.0684 -0.0246 0.0682 -0.0846
0.0752 0.0604 -0.0713 -0.0577 0.0102 0.0193
-0.1056 -0.0743 0.0633 -0.0026 -0.0940 -0.0649
-0.0785 -0.0470 0.0688 -0.0148 0.0064 -0.0283
-0.1374 -0.0262 -0.0656 -0.0595 -0.0131 -0.0672
0.0315 -0.1680 -0.0792 -0.0925 -0.0497 -0.0696
-0.0017 0.0880 0.1111 0.0295 -0.0326 0.0485
-0.1239 0.0326 0.3303 -0.1057 -0.0130 -0.0082
0.0553 0.1876 -0.0241 0.0336 0.0006 0.0267
0.0141 0.0145 -0.0024 0.0168 0.0145 0.0072
0.1121 0.1073 0.0944 0.1147 0.0713 0.0624
0.0126 0.0115 0.0089 0.0132 0.0051 0.0039

ERB
0.0112 0.0127 -0.0031 0.0132 0.0498
timal Wight
Ci C* Optimal Zi Wi αp βp
0.0025 0.0032 Optimal 1.9104 0.2422 0.0048 0.0795 0.0021
0.0028 0.0032 Optimal 2.5023 0.3173 0.0054 0.0921 0.0017
0.0023 0.0032 Optimal 0.5449 0.0691 0.0005 0.0688 0.0014
0.0032 0.0032 Optimal 0.6512 0.0826 0.0005 0.1051 0.0016
0.0017 0.0032 Optimal 0.5309 0.0673 0.0004 0.0492 0.0009
0.0030 0.0032 Optimal 0.6527 0.0828 0.0004 0.0944 0.0014
0.0028 0.0032 Optimal 0.5372 0.0681 0.0002 0.0858 0.0013
0.0023 0.0032 Optimal 0.3526 0.0447 -0.0001 0.0620 0.0008
0.0017 0.0032 Optimal 0.2042 0.0259 -0.0001 0.0401 0.0008
-0.0005 0.0032 - 7.8865 1.0000 0.0120 0.6771 0.0119
-0.0005 0.0032 - E(Rm) 0.0137
0.0032 E(Rp) 0.0213
0.0039
0.0137

SUM atau Jumlah

CAPM= 0.0169
 Close Price
Bulan
AALI ADRO BBCA BBNI BBRI BMRI CPIN EXCL GGRM ICBP
Jan-11 20,677 2,250 5,650 3,225 4,850 5,851 1,490 5,179 37,250 4,575
Feb-11 20,820 2,450 6,300 3,550 4,700 5,800 1,520 5,622 36,550 4,575
Mar-11 21,630 2,200 6,950 3,975 5,750 6,800 2,025 5,376 41,850 5,300
Apr-11 22,059 2,200 7,400 4,050 6,450 7,150 1,930 6,707 40,600 5,400
May-11 22,487 2,450 7,100 3,875 6,350 7,200 1,930 6,066 43,550 5,050
Jun-11 22,392 2,450 7,650 3,875 6,500 7,200 1,990 6,066 49,800 5,400
Jul-11 22,392 2,650 8,300 4,450 6,900 7,850 2,725 5,672 50,900 5,800
Aug-11 20,486 2,025 8,000 4,125 6,550 6,850 2,750 4,981 55,000 5,300
Sep-11 18,390 1,720 7,700 3,725 5,850 6,300 2,400 4,907 52,500 4,925
Oct-11 20,439 2,025 8,100 4,025 6,750 7,150 2,675 4,932 58,600 5,300
Nov-11 21,344 1,910 7,900 3,800 6,500 6,400 2,300 4,587 65,000 5,150
Dec-11 20,677 1,770 8,000 3,800 6,750 6,750 2,150 4,463 62,050 5,200
Jan-12 19,629 1,830 8,000 3,625 6,850 6,700 2,500 4,414 57,000 5,100
Feb-12 21,249 1,920 7,600 3,775 6,900 6,450 2,675 4,661 56,750 5,650
Mar-12 22,249 1,930 8,000 4,000 6,950 6,850 2,750 4,981 55,050 5,450
Apr-12 20,391 1,860 8,000 4,025 6,650 7,400 2,750 5,327 59,200 5,650
May-12 19,486 1,470 7,000 3,700 5,650 6,900 2,625 5,820 54,100 5,650
Jun-12 19,105 1,450 7,300 3,825 6,350 7,200 3,425 6,066 61,500 5,750
Jul-12 21,916 1,460 8,000 3,975 7,000 8,300 3,200 6,066 56,350 6,600
Aug-12 21,249 1,370 7,750 3,725 6,950 7,800 2,700 7,102 50,100 6,550
Sep-12 20,915 1,500 7,900 3,925 7,450 8,200 3,025 6,560 46,450 6,350
Oct-12 19,962 1,370 8,200 3,850 7,400 8,250 3,125 6,757 49,150 7,150
Nov-12 17,151 1,340 8,800 3,700 7,050 8,250 3,425 5,080 52,850 7,400
Dec-12 18,200 1,590 9,200 3,700 6,950 7,800 3,500 5,474 56,000 8,100
Jan-13 17,961 1,650 9,650 3,925 7,950 9,050 3,875 4,932 51,850 8,000
Feb-13 17,580 1,570 11,000 4,600 9,450 10,050 4,400 5,376 48,300 8,500
Mar-13 17,628 1,310 11,400 5,050 8,750 10,000 5,050 5,179 48,950 9,600
Apr-13 16,866 1,230 10,750 5,400 9,400 10,500 5,050 5,031 49,400 11,450
May-13 18,581 930 10,350 4,875 8,900 9,700 4,950 4,932 53,500 13,100
Jun-13 18,771 860 10,000 4,300 7,750 9,000 5,150 4,759 50,600 12,200
Jul-13 14,817 700 10,400 4,275 8,250 8,900 4,300 4,439 42,350 11,200
Aug-13 18,819 930 9,050 3,850 6,600 7,100 3,375 4,414 37,950 10,000
Sep-13 18,581 900 10,000 4,075 7,250 7,950 3,400 4,192 35,000 10,250
Oct-13 17,723 1,020 10,450 4,800 7,900 8,600 3,900 4,414 36,900 11,200
Nov-13 21,201 1,130 9,650 4,100 7,450 7,650 3,400 4,932 37,000 10,000
Dec-13 23,917 1,090 9,600 3,950 7,250 7,850 3,375 5,129 42,000 10,200
Jan-14 20,463 950 9,925 4,360 8,325 8,700 4,135 4,784 41,900 11,000
Feb-14 24,298 995 10,225 4,550 9,275 9,100 4,235 4,587 47,700 11,175
Mar-14 24,774 980 10,600 4,960 9,575 9,450 3,995 4,340 49,400 10,100
Apr-14 28,014 1,185 11,000 4,815 9,900 9,825 3,770 5,105 56,500 10,000
May-14 26,037 1,225 10,775 4,775 10,200 10,175 3,775 5,400 52,050 10,200
Jun-14 26,847 1,175 11,000 4,765 10,325 9,725 3,770 5,031 53,500 10,000
Jul-14 25,441 1,185 11,600 5,100 11,200 10,250 3,950 5,327 54,200 10,450
Aug-14 24,298 1,315 11,200 5,350 11,050 10,375 3,845 5,869 54,000 10,500
Sep-14 21,916 1,175 13,075 5,525 10,425 10,075 4,240 6,116 56,675 11,350
Oct-14 22,392 1,135 13,050 5,950 11,075 10,350 4,200 5,450 57,750 11,050
Nov-14 22,868 1,080 13,100 6,025 11,525 10,525 4,110 5,031 61,175 11,250
Dec-14 23,107 1,040 13,125 6,100 11,650 10,775 3,780 4,799 60,700 13,100
Jan-15 22,154 1,000 13,375 6,250 11,675 11,000 3,955 4,735 57,800 14,500
Feb-15 23,488 960 14,100 6,875 12,875 12,000 3,785 4,730 53,425 14,300
Mar-15 23,154 950 14,825 7,225 13,275 12,475 3,545 4,291 51,000 14,675
Apr-15 19,391 875 13,475 6,425 11,625 10,750 2,835 3,980 50,000 13,200
May-15 23,631 860 14,125 6,875 11,775 10,775 3,140 4,232 47,100 14,100
Jun-15 21,868 760 13,500 5,300 10,350 10,050 2,750 3,635 45,100 12,475
Jul-15 19,129 590 13,100 4,760 10,000 9,700 2,535 2,925 49,500 12,300
Aug-15 16,318 595 12,900 4,950 10,625 9,100 1,870 2,959 44,500 12,750
Sep-15 17,270 535 12,275 4,135 8,650 7,925 2,000 2,579 42,000 12,400
Oct-15 18,962 595 12,900 4,755 10,525 8,700 2,500 3,073 42,950 13,200
Nov-15 16,151 550 12,375 4,770 10,775 8,500 3,165 3,413 48,900 12,625
Dec-15 15,103 515 13,300 4,990 11,425 9,250 2,600 3,600 55,000 13,475
Jan-16 16,270 525 13,100 4,910 11,225 9,600 3,345 3,625 58,350 14,450
Close Price
INCO INDF INTP ITMG JSMR LPKR PGAS PTBA SMGR UNTR UNVR
4,600 4,700 13,550 46,300 3,000 570 4,225 19,750 7,750 20,527 15,050
5,050 4,750 14,400 45,700 3,175 540 3,550 20,050 8,650 22,305 16,200
4,775 5,400 16,350 46,200 3,400 610 3,900 21,000 9,100 20,863 15,300
4,975 5,550 17,000 46,800 3,300 780 4,000 22,300 9,500 22,353 15,300
4,775 5,400 16,900 47,000 3,475 680 4,050 21,250 9,700 23,000 14,700
4,500 5,750 17,050 44,750 3,625 650 4,025 20,800 9,600 24,900 14,900
4,250 6,350 15,450 50,500 3,975 780 3,975 21,300 9,450 27,300 15,600
3,650 6,100 15,200 43,150 4,000 740 2,950 19,050 9,100 23,600 16,900
3,025 5,050 14,000 39,250 3,975 680 2,675 16,800 8,300 22,000 16,500
3,650 5,250 16,350 44,650 3,850 640 2,950 18,350 9,500 24,600 15,650
3,050 4,700 15,000 38,150 3,875 630 3,075 17,000 9,250 23,350 18,200
3,200 4,600 17,050 38,650 4,200 660 3,175 17,350 11,450 26,350 18,800
4,000 4,800 16,950 36,700 4,375 670 3,375 20,150 11,300 28,350 19,600
3,625 5,100 17,450 43,350 4,700 700 3,750 20,750 11,250 29,000 19,250
3,375 4,850 18,450 43,450 5,150 800 3,800 20,500 12,250 33,000 20,000
3,100 4,850 18,050 39,750 5,350 830 3,350 18,450 12,150 29,600 19,850
2,500 4,725 17,800 33,800 5,150 790 3,700 15,000 10,950 23,100 20,550
2,675 4,850 17,350 35,950 5,400 800 3,525 14,650 11,300 21,350 22,900
2,425 5,400 21,500 35,550 5,700 890 3,800 15,900 12,950 21,000 24,250
2,300 5,400 20,250 38,200 5,750 870 3,700 14,600 12,400 20,050 27,100
2,950 5,650 20,350 42,150 5,850 990 4,125 16,200 14,450 20,700 26,050
2,700 5,700 21,400 40,650 5,800 930 4,650 16,000 14,900 21,100 26,050
2,075 5,850 23,250 39,250 5,700 1,070 4,525 14,000 14,800 17,050 26,350
2,325 5,850 22,650 41,550 5,450 1,000 4,475 15,000 15,700 19,700 20,850
2,750 6,050 21,750 41,450 5,500 1,030 4,675 15,500 15,750 19,750 22,050
2,700 7,300 21,950 40,250 5,550 1,130 4,800 15,100 17,350 19,300 22,850
2,375 7,450 23,300 35,500 5,950 1,370 5,950 14,400 17,700 18,200 22,800
2,850 7,350 26,400 36,750 6,700 1,350 6,250 15,250 18,400 17,750 26,250
2,550 7,350 23,750 30,000 6,700 1,840 5,500 12,200 18,000 16,300 30,500
2,025 7,350 24,450 28,150 6,050 1,520 5,750 13,300 17,100 18,200 30,750
1,770 6,500 20,850 24,200 5,350 1,280 5,900 9,950 15,200 16,800 31,800
2,300 6,500 19,700 32,050 5,450 1,150 5,400 12,100 12,600 15,800 31,200
2,250 7,050 18,000 26,300 5,200 1,090 5,200 12,750 13,000 16,300 30,150
2,475 6,650 20,900 29,900 5,250 1,130 5,100 12,150 14,350 17,500 30,000
2,400 6,650 18,850 28,700 5,100 910 4,850 12,000 12,800 18,250 26,600
2,650 6,600 20,000 28,500 4,725 910 4,475 10,200 14,150 19,000 26,000
2,305 6,975 22,400 26,800 5,175 950 4,770 9,250 14,200 19,300 28,550
2,390 7,175 22,450 26,000 5,375 940 4,900 9,575 15,000 18,550 28,575
2,820 7,300 23,375 24,350 6,000 1,085 5,125 9,325 15,800 20,750 29,250
3,550 7,050 21,950 25,475 5,900 1,070 5,325 9,875 14,850 21,700 29,250
3,915 6,825 22,650 28,650 5,875 1,035 5,425 10,700 14,725 21,675 29,125
3,555 6,700 22,550 27,000 5,975 960 5,575 10,725 15,075 23,100 29,275
4,025 7,075 24,950 26,150 6,425 1,100 5,900 11,650 16,575 22,900 30,750
4,180 6,875 24,250 28,175 6,200 1,070 5,800 13,350 16,225 22,150 31,025
3,750 7,000 21,550 25,975 6,450 940 6,000 13,200 15,425 19,900 31,800
3,790 6,825 24,000 21,175 6,350 1,070 5,950 12,950 15,875 18,375 30,400
3,985 6,700 24,675 19,025 6,750 1,165 5,950 13,150 16,000 18,325 31,800
3,625 6,750 25,000 15,375 7,050 1,020 6,000 12,500 16,200 17,350 32,300
3,450 7,550 23,000 16,750 7,200 1,135 5,050 11,375 14,575 17,900 35,825
3,525 7,400 24,050 16,900 7,100 1,180 5,200 10,675 14,875 20,750 36,000
3,235 7,450 21,925 16,900 7,200 1,350 4,800 10,750 13,650 21,800 39,650
2,795 6,750 21,000 12,600 6,200 1,185 4,100 9,350 12,500 21,400 42,600
3,120 7,300 22,400 13,500 6,475 1,300 4,295 9,825 13,450 20,300 43,300
2,710 6,575 20,875 12,850 5,475 1,180 4,315 8,400 12,000 20,375 39,500
1,960 6,100 20,025 9,725 5,725 1,155 4,000 6,000 10,100 20,200 40,000
1,545 5,300 19,625 9,350 5,150 1,070 2,780 5,850 9,250 19,125 39,725
2,185 5,500 16,450 9,875 4,825 1,130 2,530 5,625 9,050 17,475 38,000
2,235 5,525 18,000 8,475 4,840 1,190 3,000 7,300 9,800 18,100 37,000
1,645 4,875 18,700 6,750 4,500 1,285 2,655 5,600 10,625 16,300 36,750
1,635 5,175 22,325 5,725 5,225 1,035 2,745 4,525 11,400 16,950 37,000
1,445 6,200 19,700 4,810 5,750 1,055 2,405 4,450 11,050 17,400 36,700
E
Standar Devias
Variance

Alpha
Beta
Resiko tidak Sistematis
IHSG Rf
AALI ADRO BBCA BBNI BBRI BMRI CPIN EXCL
3,409 6.50% - - - - - - - -
3,470 6.75% 0.0069 0.0889 0.1150 0.1008 -0.0309 -0.0087 0.0201 0.0857
3,679 6.75% 0.0389 -0.1020 0.1032 0.1197 0.2234 0.1724 0.3322 -0.0439
3,820 6.75% 0.0198 0.0000 0.0647 0.0189 0.1217 0.0515 -0.0469 0.2477
3,837 6.75% 0.0194 0.1136 -0.0405 -0.0432 -0.0155 0.0070 0.0000 -0.0956
3,889 6.75% -0.0042 0.0000 0.0775 0.0000 0.0236 0.0000 0.0311 0.0000
4,131 6.75% 0.0000 0.0816 0.0850 0.1484 0.0615 0.0903 0.3693 -0.0650
3,842 6.75% -0.0851 -0.2358 -0.0361 -0.0730 -0.0507 -0.1274 0.0092 -0.1217
3,549 6.75% -0.1023 -0.1506 -0.0375 -0.0970 -0.1069 -0.0803 -0.1273 -0.0149
3,791 6.50% 0.1114 0.1773 0.0519 0.0805 0.1538 0.1349 0.1146 0.0050
3,715 6.00% 0.0443 -0.0568 -0.0247 -0.0559 -0.0370 -0.1049 -0.1402 -0.0700
3,822 6.00% -0.0313 -0.0733 0.0127 0.0000 0.0385 0.0547 -0.0652 -0.0269
3,942 6.00% -0.0507 0.0339 0.0000 -0.0461 0.0148 -0.0074 0.1628 -0.0110
3,985 5.75% 0.0825 0.0492 -0.0500 0.0414 0.0073 -0.0373 0.0700 0.0559
4,122 5.75% 0.0471 0.0052 0.0526 0.0596 0.0072 0.0620 0.0280 0.0688
4,181 5.75% -0.0835 -0.0363 0.0000 0.0063 -0.0432 0.0803 0.0000 0.0693
3,833 5.75% -0.0444 -0.2097 -0.1250 -0.0807 -0.1504 -0.0676 -0.0455 0.0926
3,956 5.75% -0.0196 -0.0136 0.0429 0.0338 0.1239 0.0435 0.3048 0.0424
4,142 5.75% 0.1471 0.0069 0.0959 0.0392 0.1024 0.1528 -0.0657 0.0000
4,060 5.75% -0.0304 -0.0616 -0.0313 -0.0629 -0.0071 -0.0602 -0.1563 0.1707
4,263 5.75% -0.0157 0.0949 0.0194 0.0537 0.0719 0.0513 0.1204 -0.0764
4,350 5.75% -0.0456 -0.0867 0.0380 -0.0191 -0.0067 0.0061 0.0331 0.0301
4,276 5.75% -0.1408 -0.0219 0.0732 -0.0390 -0.0473 0.0000 0.0960 -0.2482
4,317 5.75% 0.0612 0.1866 0.0455 0.0000 -0.0142 -0.0545 0.0219 0.0777
4,454 5.75% -0.0131 0.0377 0.0489 0.0608 0.1439 0.1603 0.1071 -0.0991
4,796 5.75% -0.0212 -0.0485 0.1399 0.1720 0.1887 0.1105 0.1355 0.0900
4,941 5.75% 0.0027 -0.1656 0.0364 0.0978 -0.0741 -0.0050 0.1477 -0.0367
5,034 5.75% -0.0432 -0.0611 -0.0570 0.0693 0.0743 0.0500 0.0000 -0.0286
5,069 5.75% 0.1017 -0.2439 -0.0372 -0.0972 -0.0532 -0.0762 -0.0198 -0.0196
4,819 6.00% 0.0102 -0.0753 -0.0338 -0.1179 -0.1292 -0.0722 0.0404 -0.0350
4,610 6.50% -0.2106 -0.1860 0.0400 -0.0058 0.0645 -0.0111 -0.1650 -0.0674
4,195 6.75% 0.2701 0.3286 -0.1298 -0.0994 -0.2000 -0.2022 -0.2151 -0.0056
4,316 7.25% -0.0126 -0.0323 0.1050 0.0584 0.0985 0.1197 0.0074 -0.0503
4,511 7.25% -0.0462 0.1333 0.0450 0.1779 0.0897 0.0818 0.1471 0.0529
4,256 7.50% 0.1962 0.1078 -0.0766 -0.1458 -0.0570 -0.1105 -0.1282 0.1173
4,274 7.50% 0.1281 -0.0354 -0.0052 -0.0366 -0.0268 0.0261 -0.0074 0.0400
4,419 7.50% -0.1444 -0.1284 0.0339 0.1038 0.1483 0.1083 0.2252 -0.0673
4,620 7.50% 0.1874 0.0474 0.0302 0.0436 0.1141 0.0460 0.0242 -0.0412
4,768 7.50% 0.0196 -0.0151 0.0367 0.0901 0.0323 0.0385 -0.0567 -0.0538
4,840 7.50% 0.1308 0.2092 0.0377 -0.0292 0.0339 0.0397 -0.0563 0.1761
4,894 7.50% -0.0706 0.0338 -0.0205 -0.0083 0.0303 0.0356 0.0013 0.0580
4,879 7.50% 0.0311 -0.0408 0.0209 -0.0021 0.0123 -0.0442 -0.0013 -0.0685
5,089 7.50% -0.0524 0.0085 0.0545 0.0703 0.0847 0.0540 0.0477 0.0588
 5,137 7.50% -0.0449 0.1097 -0.0345 0.0490 -0.0134 0.0122 -0.0266 0.1019
5,138 7.50% -0.0980 -0.1065 0.1674 0.0327 -0.0566 -0.0289 0.1027 0.0420
5,090 7.50% 0.0217 -0.0340 -0.0019 0.0769 0.0624 0.0273 -0.0094 -0.1089
5,150 7.63% 0.0213 -0.0485 0.0038 0.0126 0.0406 0.0169 -0.0214 -0.0769
5,227 7.75% 0.0105 -0.0370 0.0019 0.0124 0.0108 0.0238 -0.0803 -0.0461
5,289 7.75% -0.0412 -0.0385 0.0190 0.0246 0.0021 0.0209 0.0463 -0.0134
5,450 7.50% 0.0602 -0.0400 0.0542 0.1000 0.1028 0.0909 -0.0430 -0.0010
5,519 7.50% -0.0142 -0.0104 0.0514 0.0509 0.0311 0.0396 -0.0634 -0.0928
5,086 7.50% -0.1625 -0.0789 -0.0911 -0.1107 -0.1243 -0.1383 -0.2003 -0.0724
5,216 7.50% 0.2187 -0.0171 0.0482 0.0700 0.0129 0.0023 0.1076 0.0632
4,911 7.50% -0.0746 -0.1163 -0.0442 -0.2291 -0.1210 -0.0673 -0.1242 -0.1410
4,803 7.50% -0.1253 -0.2237 -0.0296 -0.1019 -0.0338 -0.0348 -0.0782 -0.1954
4,510 7.50% -0.1469 0.0085 -0.0153 0.0399 0.0625 -0.0619 -0.2623 0.0118
4,224 7.50% 0.0583 -0.1008 -0.0484 -0.1646 -0.1859 -0.1291 0.0695 -0.1283
4,455 7.50% 0.0980 0.1121 0.0509 0.1499 0.2168 0.0978 0.2500 0.1912
4,446 7.50% -0.1482 -0.0756 -0.0407 0.0032 0.0238 -0.0230 0.2660 0.1108
4,593 7.50% -0.0649 -0.0636 0.0747 0.0461 0.0603 0.0882 -0.1785 0.0549
4,615 7.25% 0.0773 0.0194 -0.0150 -0.0160 -0.0175 0.0378 0.2865 0.0068
E(R) 0.0006 -0.0180 0.0159 0.0105 0.0182 0.0114 0.0224 -0.0017
Standar Deviasi (σ) 0.0962 0.1092 0.0595 0.0830 0.0903 0.0780 0.1354 0.0919
Variance (σ2) 0.0092 0.0119 0.0035 0.0069 0.0082 0.0061 0.0183 0.0084
Kovarian (σim) 0.0007 0.0012 0.0017 0.0027 0.0029 0.0027 0.0031 0.0008
Alpha (α) -0.0020 -0.0221 0.0097 0.0010 0.0077 0.0016 0.0111 -0.0048
Beta (β) 0.4305 0.7103 1.0505 1.6299 1.7708 1.6557 1.9104 0.5212
siko tidak Sistematis 0.0095 0.0128 0.0053 0.0112 0.0133 0.0106 0.0243 0.0089
Ai -0.2297 -1.3149 2.0092 0.7109 1.6678 0.8953 1.3135 -0.4307
Bi 19.4118 39.5530 206.6207 236.7355 236.3387 259.6160 150.2491 30.5803
Ci -0.0004 -0.0020 0.0024 0.0008 0.0020 0.0010 0.0017 -0.0007

Risiko tidak sistematis = β2*σ2m+σ2i

 Actual Return
GGRM ICBP INCO INDF INTP ITMG JSMR LPKR PGAS
- - - - - - - - -
-0.0188 0.0000 0.0978 0.0106 0.0627 -0.0130 0.0583 -0.0526 -0.1598
0.1450 0.1585 -0.0545 0.1368 0.1354 0.0109 0.0709 0.1296 0.0986
-0.0299 0.0189 0.0419 0.0278 0.0398 0.0130 -0.0294 0.2787 0.0256
0.0727 -0.0648 -0.0402 -0.0270 -0.0059 0.0043 0.0530 -0.1282 0.0125
0.1435 0.0693 -0.0576 0.0648 0.0089 -0.0479 0.0432 -0.0441 -0.0062
0.0221 0.0741 -0.0556 0.1043 -0.0938 0.1285 0.0966 0.2000 -0.0124
0.0806 -0.0862 -0.1412 -0.0394 -0.0162 -0.1455 0.0063 -0.0513 -0.2579
-0.0455 -0.0708 -0.1712 -0.1721 -0.0789 -0.0904 -0.0063 -0.0811 -0.0932
0.1162 0.0761 0.2066 0.0396 0.1679 0.1376 -0.0314 -0.0588 0.1028
0.1092 -0.0283 -0.1644 -0.1048 -0.0826 -0.1456 0.0065 -0.0156 0.0424
-0.0454 0.0097 0.0492 -0.0213 0.1367 0.0131 0.0839 0.0476 0.0325
-0.0814 -0.0192 0.2500 0.0435 -0.0059 -0.0505 0.0417 0.0152 0.0630
-0.0044 0.1078 -0.0938 0.0625 0.0295 0.1812 0.0743 0.0448 0.1111
-0.0300 -0.0354 -0.0690 -0.0490 0.0573 0.0023 0.0957 0.1429 0.0133
0.0754 0.0367 -0.0815 0.0000 -0.0217 -0.0852 0.0388 0.0375 -0.1184
-0.0861 0.0000 -0.1935 -0.0258 -0.0139 -0.1497 -0.0374 -0.0482 0.1045
0.1368 0.0177 0.0700 0.0265 -0.0253 0.0636 0.0485 0.0127 -0.0473
-0.0837 0.1478 -0.0935 0.1134 0.2392 -0.0111 0.0556 0.1125 0.0780
-0.1109 -0.0076 -0.0515 0.0000 -0.0581 0.0745 0.0088 -0.0225 -0.0263
-0.0729 -0.0305 0.2826 0.0463 0.0049 0.1034 0.0174 0.1379 0.1149
0.0581 0.1260 -0.0847 0.0088 0.0516 -0.0356 -0.0085 -0.0606 0.1273
0.0753 0.0350 -0.2315 0.0263 0.0864 -0.0344 -0.0172 0.1505 -0.0269
0.0596 0.0946 0.1205 0.0000 -0.0258 0.0586 -0.0439 -0.0654 -0.0110
-0.0741 -0.0123 0.1828 0.0342 -0.0397 -0.0024 0.0092 0.0300 0.0447
-0.0685 0.0625 -0.0182 0.2066 0.0092 -0.0290 0.0091 0.0971 0.0267
0.0135 0.1294 -0.1204 0.0205 0.0615 -0.1180 0.0721 0.2124 0.2396
0.0092 0.1927 0.2000 -0.0134 0.1330 0.0352 0.1261 -0.0146 0.0504
0.0830 0.1441 -0.1053 0.0000 -0.1004 -0.1837 0.0000 0.3630 -0.1200
-0.0542 -0.0687 -0.2059 0.0000 0.0295 -0.0617 -0.0970 -0.1739 0.0455
-0.1630 -0.0820 -0.1259 -0.1156 -0.1472 -0.1403 -0.1157 -0.1579 0.0261
-0.1039 -0.1071 0.2994 0.0000 -0.0552 0.3244 0.0187 -0.1016 -0.0847
-0.0777 0.0250 -0.0217 0.0846 -0.0863 -0.1794 -0.0459 -0.0522 -0.0370
0.0543 0.0927 0.1000 -0.0567 0.1611 0.1369 0.0096 0.0367 -0.0192
0.0027 -0.1071 -0.0303 0.0000 -0.0981 -0.0401 -0.0286 -0.1947 -0.0490
0.1351 0.0200 0.1042 -0.0075 0.0610 -0.0070 -0.0735 0.0000 -0.0773
-0.0024 0.0784 -0.1302 0.0568 0.1200 -0.0596 0.0952 0.0440 0.0659
0.1384 0.0159 0.0369 0.0287 0.0022 -0.0299 0.0386 -0.0105 0.0273
0.0356 -0.0962 0.1799 0.0174 0.0412 -0.0635 0.1163 0.1543 0.0459
0.1437 -0.0099 0.2589 -0.0342 -0.0610 0.0462 -0.0167 -0.0138 0.0390
-0.0788 0.0200 0.1028 -0.0319 0.0319 0.1246 -0.0042 -0.0327 0.0188
0.0279 -0.0196 -0.0920 -0.0183 -0.0044 -0.0576 0.0170 -0.0725 0.0276
0.0131 0.0450 0.1322 0.0560 0.1064 -0.0315 0.0753 0.1458 0.0583
-0.0037 0.0048 0.0385 -0.0283 -0.0281 0.0774 -0.0350 -0.0273 -0.0169
0.0495 0.0810 -0.1029 0.0182 -0.1113 -0.0781 0.0403 -0.1215 0.0345
0.0190 -0.0264 0.0107 -0.0250 0.1137 -0.1848 -0.0155 0.1383 -0.0083
0.0593 0.0181 0.0515 -0.0183 0.0281 -0.1015 0.0630 0.0888 0.0000
-0.0078 0.1644 -0.0903 0.0075 0.0132 -0.1919 0.0444 -0.1245 0.0084
-0.0478 0.1069 -0.0483 0.1185 -0.0800 0.0894 0.0213 0.1127 -0.1583
-0.0757 -0.0138 0.0217 -0.0199 0.0457 0.0090 -0.0139 0.0396 0.0297
-0.0454 0.0262 -0.0823 0.0068 -0.0884 0.0000 0.0141 0.1441 -0.0769
-0.0196 -0.1005 -0.1360 -0.0940 -0.0422 -0.2544 -0.1389 -0.1222 -0.1458
-0.0580 0.0682 0.1163 0.0815 0.0667 0.0714 0.0444 0.0970 0.0476
-0.0425 -0.1152 -0.1314 -0.0993 -0.0681 -0.0481 -0.1544 -0.0923 0.0047
0.0976 -0.0140 -0.2768 -0.0722 -0.0407 -0.2432 0.0457 -0.0212 -0.0730
-0.1010 0.0366 -0.2117 -0.1311 -0.0200 -0.0386 -0.1004 -0.0736 -0.3050
-0.0562 -0.0275 0.4142 0.0377 -0.1618 0.0561 -0.0631 0.0561 -0.0899
0.0226 0.0645 0.0229 0.0045 0.0942 -0.1418 0.0031 0.0531 0.1858
0.1385 -0.0436 -0.2640 -0.1176 0.0389 -0.2035 -0.0702 0.0798 -0.1150
0.1247 0.0673 -0.0061 0.0615 0.1939 -0.1519 0.1611 -0.1946 0.0339
0.0609 0.0724 -0.1162 0.1981 -0.1176 -0.1598 0.1005 0.0193 -0.1239
0.0106 0.0220 -0.0085 0.0071 0.0099 -0.0308 0.0130 0.0165 -0.0046
0.0787 0.0740 0.1479 0.0710 0.0862 0.1105 0.0638 0.1136 0.0951
0.0062 0.0055 0.0219 0.0050 0.0074 0.0122 0.0041 0.0129 0.0090
0.0008 0.0017 0.0017 0.0017 0.0017 0.0009 0.0014 0.0022 0.0019
0.0077 0.0158 -0.0146 0.0011 0.0036 -0.0340 0.0079 0.0086 -0.0113
0.4938 1.0593 1.0451 1.0151 1.0608 0.5490 0.8533 1.3427 1.1536
0.0066 0.0073 0.0237 0.0067 0.0093 0.0127 0.0053 0.0158 0.0112
0.3681 2.3760 -0.6234 0.2220 0.4846 -1.5765 1.1850 0.9218 -1.0506
36.9932 153.7629 46.1466 153.1689 121.4300 23.7402 138.5523 113.7629 118.7372
0.0006 0.0031 -0.0009 0.0003 0.0007 -0.0025 0.0016 0.0013 -0.0014
 Rf
IHSG
PTBA SMGR UNTR UNVR Perbulan AALI ADRO BBCA BBNI
- - - - - -
0.0152 0.1161 0.0866 0.0764 0.0179 0.0056 0.0013 0.0833 0.1094 0.0952
0.0474 0.0520 -0.0647 -0.0556 0.0600 0.0056 0.0333 -0.1077 0.0975 0.1141
0.0619 0.0440 0.0714 0.0000 0.0383 0.0056 0.0142 -0.0056 0.0591 0.0132
-0.0471 0.0211 0.0289 -0.0392 0.0045 0.0056 0.0138 0.1080 -0.0462 -0.0488
-0.0212 -0.0103 0.0826 0.0136 0.0134 0.0056 -0.0098 -0.0056 0.0718 -0.0056
0.0240 -0.0156 0.0964 0.0470 0.0623 0.0056 -0.0056 0.0760 0.0793 0.1428
-0.1056 -0.0370 -0.1355 0.0833 -0.0700 0.0056 -0.0907 -0.2415 -0.0418 -0.0787
-0.1181 -0.0879 -0.0678 -0.0237 -0.0762 0.0056 -0.1079 -0.1562 -0.0431 -0.1026
0.0923 0.1446 0.1182 -0.0515 0.0681 0.0054 0.1060 0.1719 0.0465 0.0751
-0.0736 -0.0263 -0.0508 0.1629 -0.0200 0.0050 0.0393 -0.0618 -0.0297 -0.0609
0.0206 0.2378 0.1285 0.0330 0.0288 0.0050 -0.0363 -0.0783 0.0077 -0.0050
0.1614 -0.0131 0.0759 0.0426 0.0313 0.0050 -0.0557 0.0289 -0.0050 -0.0511
0.0298 -0.0044 0.0229 -0.0179 0.0110 0.0048 0.0777 0.0444 -0.0548 0.0366
-0.0120 0.0889 0.1379 0.0390 0.0342 0.0048 0.0423 0.0004 0.0478 0.0548
-0.1000 -0.0082 -0.1030 -0.0075 0.0144 0.0048 -0.0883 -0.0411 -0.0048 0.0015
-0.1870 -0.0988 -0.2196 0.0353 -0.0832 0.0048 -0.0492 -0.2145 -0.1298 -0.0855
-0.0233 0.0320 -0.0758 0.1144 0.0320 0.0048 -0.0243 -0.0184 0.0381 0.0290
0.0853 0.1460 -0.0164 0.0590 0.0472 0.0048 0.1423 0.0021 0.0911 0.0344
-0.0818 -0.0425 -0.0452 0.1175 -0.0198 0.0048 -0.0352 -0.0664 -0.0360 -0.0677
0.1096 0.1653 0.0324 -0.0387 0.0498 0.0048 -0.0205 0.0901 0.0146 0.0489
-0.0123 0.0311 0.0193 0.0000 0.0206 0.0048 -0.0504 -0.0915 0.0332 -0.0239
-0.1250 -0.0067 -0.1919 0.0115 -0.0170 0.0048 -0.1456 -0.0267 0.0684 -0.0438
0.0714 0.0608 0.1554 -0.2087 0.0095 0.0048 0.0564 0.1818 0.0407 -0.0048
0.0333 0.0032 0.0025 0.0576 0.0317 0.0048 -0.0179 0.0329 0.0441 0.0560
-0.0258 0.1016 -0.0228 0.0363 0.0768 0.0048 -0.0260 -0.0533 0.1351 0.1672
-0.0464 0.0202 -0.0570 -0.0022 0.0303 0.0048 -0.0021 -0.1704 0.0316 0.0930
0.0590 0.0395 -0.0247 0.1513 0.0188 0.0048 -0.0480 -0.0659 -0.0618 0.0645
-0.2000 -0.0217 -0.0817 0.1619 0.0069 0.0048 0.0969 -0.2487 -0.0420 -0.1020
0.0902 -0.0500 0.1166 0.0082 -0.0493 0.0050 0.0052 -0.0803 -0.0388 -0.1229
-0.2519 -0.1111 -0.0769 0.0341 -0.0433 0.0054 -0.2161 -0.1915 0.0346 -0.0112
0.2161 -0.1711 -0.0595 -0.0189 -0.0901 0.0056 0.2645 0.3229 -0.1354 -0.1050
0.0537 0.0317 0.0316 -0.0337 0.0289 0.0060 -0.0187 -0.0383 0.0989 0.0524
-0.0471 0.1038 0.0736 -0.0050 0.0451 0.0060 -0.0522 0.1273 0.0390 0.1719
-0.0123 -0.1080 0.0429 -0.1133 -0.0564 0.0063 0.1900 0.1016 -0.0828 -0.1521
-0.1500 0.1055 0.0411 -0.0226 0.0042 0.0063 0.1219 -0.0416 -0.0114 -0.0428
-0.0931 0.0035 0.0158 0.0981 0.0338 0.0063 -0.1507 -0.1347 0.0276 0.0975
0.0351 0.0563 -0.0389 0.0009 0.0456 0.0063 0.1812 0.0411 0.0240 0.0373
-0.0261 0.0533 0.1186 0.0236 0.0320 0.0063 0.0133 -0.0213 0.0304 0.0839
0.0590 -0.0601 0.0458 0.0000 0.0151 0.0063 0.1245 0.2029 0.0315 -0.0355
0.0835 -0.0084 -0.0012 -0.0043 0.0111 0.0063 -0.0768 0.0275 -0.0267 -0.0146
0.0023 0.0238 0.0657 0.0052 -0.0031 0.0063 0.0249 -0.0471 0.0146 -0.0083
0.0862 0.0995 -0.0087 0.0504 0.0431 0.0063 -0.0586 0.0023 0.0483 0.0641
 0.1459 -0.0211 -0.0328 0.0089 0.0094 0.0063 -0.0512 0.1035 -0.0407 0.0428
-0.0112 -0.0493 -0.1016 0.0250 0.0001 0.0063 -0.1043 -0.1127 0.1612 0.0265
-0.0189 0.0292 -0.0766 -0.0440 -0.0093 0.0063 0.0155 -0.0403 -0.0082 0.0707
0.0154 0.0079 -0.0027 0.0461 0.0119 0.0064 0.0149 -0.0548 -0.0025 0.0063
-0.0494 0.0125 -0.0532 0.0157 0.0150 0.0065 0.0040 -0.0435 -0.0045 0.0060
-0.0900 -0.1003 0.0317 0.1091 0.0119 0.0065 -0.0477 -0.0449 0.0126 0.0181
-0.0615 0.0206 0.1592 0.0049 0.0304 0.0063 0.0540 -0.0463 0.0480 0.0938
0.0070 -0.0824 0.0506 0.1014 0.0125 0.0063 -0.0205 -0.0167 0.0452 0.0447
-0.1302 -0.0842 -0.0183 0.0744 -0.0783 0.0063 -0.1688 -0.0852 -0.0973 -0.1170
0.0508 0.0760 -0.0514 0.0164 0.0255 0.0063 0.2124 -0.0234 0.0420 0.0638
-0.1450 -0.1078 0.0037 -0.0878 -0.0586 0.0063 -0.0809 -0.1225 -0.0505 -0.2353
-0.2857 -0.1583 -0.0086 0.0127 -0.0220 0.0063 -0.1315 -0.2299 -0.0359 -0.1081
-0.0250 -0.0842 -0.0532 -0.0069 -0.0610 0.0063 -0.1532 0.0022 -0.0215 0.0337
-0.0385 -0.0216 -0.0863 -0.0434 -0.0634 0.0063 0.0521 -0.1071 -0.0547 -0.1709
0.2978 0.0829 0.0358 -0.0263 0.0548 0.0063 0.0917 0.1059 0.0447 0.1437
-0.2329 0.0842 -0.0994 -0.0068 -0.0020 0.0063 -0.1545 -0.0819 -0.0469 -0.0031
-0.1920 0.0729 0.0399 0.0068 0.0330 0.0063 -0.0711 -0.0699 0.0685 0.0399
-0.0166 -0.0307 0.0265 -0.0081 0.0048 0.0060 0.0712 0.0134 -0.0211 -0.0221
-0.0184 0.0091 0.0005 0.0170 0.0059 0.0057 -0.0051 -0.0236 0.0102 0.0049
0.1088 0.0802 0.0803 0.0633 0.0404 0.0006
0.0118 0.0064 0.0064 0.0040 0.0016 -
0.0016 0.0023 0.0014 0.0002 - - -0.0118 -0.0332 0.0097 0.0030
-0.0241 0.0007 -0.0046 0.0164 0.0000 -
0.9768 1.4253 0.8639 0.0982 1.0000 -
0.0134 0.0097 0.0077 0.0040
-1.7511 0.5060 -0.5776 0.2766
71.1914 208.6610 97.4454 2.3998
-0.0026 0.0006 -0.0008 0.0004
 Excess Return
BBRI BMRI CPIN EXCL GGRM ICBP INCO INDF INTP ITMG JSMR

-0.0366 -0.0143 0.0145 0.0801 -0.0244 -0.0056 0.0922 0.0050 0.0571 -0.0186 0.0527
0.2178 0.1668 0.3266 -0.0495 0.1394 0.1528 -0.0601 0.1312 0.1298 0.0053 0.0652
0.1161 0.0458 -0.0525 0.2421 -0.0355 0.0132 0.0363 0.0222 0.0341 0.0074 -0.0350
-0.0211 0.0014 -0.0056 -0.1012 0.0670 -0.0704 -0.0458 -0.0327 -0.0115 -0.0014 0.0474
0.0180 -0.0056 0.0255 -0.0056 0.1379 0.0637 -0.0632 0.0592 0.0033 -0.0535 0.0375
0.0559 0.0847 0.3637 -0.0707 0.0165 0.0684 -0.0612 0.0987 -0.0995 0.1229 0.0909
-0.0563 -0.1330 0.0035 -0.1274 0.0749 -0.0918 -0.1468 -0.0450 -0.0218 -0.1512 0.0007
-0.1125 -0.0859 -0.1329 -0.0205 -0.0511 -0.0764 -0.1769 -0.1778 -0.0846 -0.0960 -0.0119
0.1484 0.1295 0.1092 -0.0004 0.1108 0.0707 0.2012 0.0342 0.1624 0.1322 -0.0369
-0.0420 -0.1099 -0.1452 -0.0750 0.1042 -0.0333 -0.1694 -0.1098 -0.0876 -0.1506 0.0015
0.0335 0.0497 -0.0702 -0.0319 -0.0504 0.0047 0.0442 -0.0263 0.1317 0.0081 0.0789
0.0098 -0.0124 0.1578 -0.0160 -0.0864 -0.0242 0.2450 0.0385 -0.0109 -0.0555 0.0367
0.0025 -0.0421 0.0652 0.0511 -0.0092 0.1031 -0.0985 0.0577 0.0247 0.1764 0.0695
0.0025 0.0572 0.0232 0.0640 -0.0347 -0.0402 -0.0738 -0.0538 0.0525 -0.0025 0.0910
-0.0480 0.0755 -0.0048 0.0645 0.0706 0.0319 -0.0863 -0.0048 -0.0265 -0.0899 0.0340
-0.1552 -0.0724 -0.0502 0.0878 -0.0909 -0.0048 -0.1983 -0.0306 -0.0186 -0.1545 -0.0422
0.1191 0.0387 0.3000 0.0376 0.1320 0.0129 0.0652 0.0217 -0.0301 0.0588 0.0438
0.0976 0.1480 -0.0705 -0.0048 -0.0885 0.1430 -0.0982 0.1086 0.2344 -0.0159 0.0508
-0.0119 -0.0650 -0.1610 0.1659 -0.1157 -0.0124 -0.0563 -0.0048 -0.0629 0.0698 0.0040
0.0672 0.0465 0.1156 -0.0812 -0.0776 -0.0353 0.2778 0.0415 0.0001 0.0986 0.0126
-0.0115 0.0013 0.0283 0.0253 0.0533 0.1212 -0.0895 0.0041 0.0468 -0.0404 -0.0133
-0.0521 -0.0048 0.0912 -0.2530 0.0705 0.0302 -0.2363 0.0215 0.0817 -0.0392 -0.0220
-0.0190 -0.0593 0.0171 0.0729 0.0548 0.0898 0.1157 -0.0048 -0.0306 0.0538 -0.0487
0.1391 0.1555 0.1024 -0.1039 -0.0789 -0.0171 0.1780 0.0294 -0.0445 -0.0072 0.0044
0.1839 0.1057 0.1307 0.0852 -0.0733 0.0577 -0.0230 0.2018 0.0044 -0.0337 0.0043
-0.0789 -0.0098 0.1429 -0.0415 0.0087 0.1246 -0.1252 0.0158 0.0567 -0.1228 0.0673
0.0695 0.0452 -0.0048 -0.0334 0.0044 0.1879 0.1952 -0.0182 0.1283 0.0304 0.1213
-0.0580 -0.0810 -0.0246 -0.0244 0.0782 0.1393 -0.1101 -0.0048 -0.1052 -0.1885 -0.0048
-0.1342 -0.0772 0.0354 -0.0400 -0.0592 -0.0737 -0.2109 -0.0050 0.0245 -0.0667 -0.1020
0.0591 -0.0165 -0.1705 -0.0728 -0.1685 -0.0874 -0.1313 -0.1211 -0.1527 -0.1457 -0.1211
-0.2056 -0.2079 -0.2207 -0.0112 -0.1095 -0.1128 0.2938 -0.0056 -0.0608 0.3188 0.0131
0.0924 0.1137 0.0014 -0.0563 -0.0838 0.0190 -0.0278 0.0786 -0.0923 -0.1854 -0.0519
0.0836 0.0757 0.1410 0.0469 0.0482 0.0866 0.0940 -0.0628 0.1551 0.1308 0.0036
-0.0632 -0.1167 -0.1345 0.1111 -0.0035 -0.1134 -0.0366 -0.0063 -0.1043 -0.0464 -0.0348
-0.0331 0.0199 -0.0136 0.0338 0.1289 0.0138 0.0979 -0.0138 0.0548 -0.0132 -0.0798
0.1420 0.1020 0.2189 -0.0736 -0.0086 0.0722 -0.1364 0.0506 0.1138 -0.0659 0.0890
0.1079 0.0397 0.0179 -0.0475 0.1322 0.0097 0.0306 0.0224 -0.0040 -0.0361 0.0324
0.0261 0.0322 -0.0629 -0.0600 0.0294 -0.1024 0.1737 0.0112 0.0350 -0.0697 0.1100
0.0277 0.0334 -0.0626 0.1699 0.1375 -0.0162 0.2526 -0.0405 -0.0672 0.0400 -0.0229
0.0241 0.0294 -0.0049 0.0517 -0.0850 0.0138 0.0966 -0.0382 0.0256 0.1184 -0.0105
0.0060 -0.0505 -0.0076 -0.0747 0.0216 -0.0259 -0.0982 -0.0246 -0.0107 -0.0638 0.0108
0.0785 0.0477 0.0415 0.0526 0.0068 0.0388 0.1260 0.0497 0.1002 -0.0377 0.0691
-0.0196 0.0059 -0.0328 0.0956 -0.0099 -0.0015 0.0323 -0.0345 -0.0343 0.0712 -0.0413
-0.0628 -0.0352 0.0965 0.0358 0.0433 0.0747 -0.1091 0.0119 -0.1176 -0.0843 0.0341
0.0561 0.0210 -0.0157 -0.1151 0.0127 -0.0327 0.0044 -0.0313 0.1074 -0.1910 -0.0218
0.0343 0.0106 -0.0278 -0.0833 0.0530 0.0117 0.0451 -0.0247 0.0218 -0.1079 0.0566
0.0044 0.0173 -0.0868 -0.0525 -0.0142 0.1580 -0.0968 0.0010 0.0067 -0.1983 0.0380
-0.0043 0.0144 0.0398 -0.0198 -0.0542 0.1004 -0.0547 0.1121 -0.0865 0.0830 0.0148
0.0965 0.0847 -0.0492 -0.0073 -0.0819 -0.0200 0.0155 -0.0261 0.0394 0.0027 -0.0201
0.0248 0.0333 -0.0697 -0.0991 -0.0516 0.0200 -0.0885 0.0005 -0.0946 -0.0063 0.0078
-0.1305 -0.1445 -0.2065 -0.0787 -0.0259 -0.1068 -0.1423 -0.1002 -0.0484 -0.2607 -0.1451
0.0067 -0.0039 0.1013 0.0569 -0.0643 0.0619 0.1100 0.0752 0.0604 0.0652 0.0381
-0.1273 -0.0735 -0.1305 -0.1473 -0.0487 -0.1215 -0.1377 -0.1056 -0.0743 -0.0544 -0.1607
-0.0401 -0.0411 -0.0844 -0.2016 0.0913 -0.0203 -0.2830 -0.0785 -0.0470 -0.2494 0.0394
0.0563 -0.0681 -0.2686 0.0056 -0.1073 0.0303 -0.2180 -0.1374 -0.0262 -0.0448 -0.1067
-0.1921 -0.1354 0.0633 -0.1346 -0.0624 -0.0337 0.4080 0.0315 -0.1680 0.0499 -0.0694
0.2105 0.0915 0.2438 0.1850 0.0164 0.0583 0.0166 -0.0017 0.0880 -0.1480 -0.0031
0.0175 -0.0292 0.2598 0.1045 0.1323 -0.0498 -0.2702 -0.1239 0.0326 -0.2098 -0.0765
0.0541 0.0820 -0.1848 0.0487 0.1185 0.0611 -0.0123 0.0553 0.1876 -0.1581 0.1549
-0.0235 0.0318 0.2805 0.0008 0.0549 0.0663 -0.1222 0.1920 -0.1236 -0.1659 0.0944
0.0125 0.0057 0.0167 -0.0073 0.0049 0.0164 -0.0141 0.0015 0.0042 -0.0365 0.0073

ERB
0.0071 0.0034 0.0087 -0.0141 0.0099 0.0155 -0.0135 0.0014 0.0040 -0.0664 0.0086
 IHSG
LPKR PGAS PTBA SMGR UNTR UNVR Emiten α β
UNVR 0.0164 0.0982
-0.0583 -0.1654 0.0096 0.1105 0.0810 0.0708 0.0123 ICBP 0.0158 1.0593
0.1240 0.0930 0.0418 0.0464 -0.0703 -0.0612 0.0544 GGRM 0.0077 0.4938
0.2731 0.0200 0.0563 0.0383 0.0658 -0.0056 0.0327 BBCA 0.0097 1.0505
-0.1338 0.0069 -0.0527 0.0154 0.0233 -0.0448 -0.0011 CPIN 0.0111 1.9104
-0.0497 -0.0118 -0.0268 -0.0159 0.0770 0.0080 0.0078 JSMR 0.0079 0.8533
0.1944 -0.0180 0.0184 -0.0213 0.0908 0.0414 0.0567 LPKR 0.0086 1.3427
-0.0569 -0.2635 -0.1113 -0.0427 -0.1412 0.0777 -0.0756 BBRI 0.0077 1.7708
-0.0867 -0.0988 -0.1237 -0.0935 -0.0734 -0.0293 -0.0818 INTP 0.0036 1.0608
-0.0642 0.0974 0.0868 0.1392 0.1128 -0.0569 0.0627 BMRI 0.0016 1.6557
-0.0206 0.0374 -0.0786 -0.0313 -0.0558 0.1579 -0.0250 BBNI 1.6299
0.0426 0.0275 0.0156 0.2328 0.1235 0.0280 0.0238 SMGR 1.4253
0.0102 0.0580 0.1564 -0.0181 0.0709 0.0376 0.0263 INDF 1.0151
0.0400 0.1063 0.0250 -0.0092 0.0181 -0.0226 0.0062 UNTR 0.8639
0.1381 0.0085 -0.0168 0.0841 0.1331 0.0342 0.0294 PGAS 1.1536
0.0327 -0.1232 -0.1048 -0.0130 -0.1078 -0.0123 0.0096 AALI 0.4305
-0.0530 0.0997 -0.1918 -0.1036 -0.2244 0.0305 -0.0880 INCO 1.0451
0.0079 -0.0521 -0.0281 0.0272 -0.0805 0.1096 0.0272 EXCL 0.5212
0.1077 0.0732 0.0805 0.1412 -0.0212 0.0542 0.0424 PTBA 0.9768
-0.0273 -0.0311 -0.0866 -0.0473 -0.0500 0.1127 -0.0246 ADRO 0.7103
0.1331 0.1101 0.1048 0.1605 0.0276 -0.0435 0.0450 ITMG 0.5490
-0.0654 0.1225 -0.0171 0.0264 0.0145 -0.0048 0.0158 Tertinggi
0.1457 -0.0317 -0.1298 -0.0115 -0.1967 0.0067 -0.0218
-0.0702 -0.0158 0.0666 0.0560 0.1506 -0.2135 0.0047
0.0252 0.0399 0.0285 -0.0016 -0.0023 0.0528 0.0269
0.0923 0.0219 -0.0306 0.0968 -0.0276 0.0315 0.0720
0.2076 0.2348 -0.0511 0.0154 -0.0618 -0.0070 0.0255
-0.0194 0.0456 0.0542 0.0348 -0.0295 0.1465 0.0140
0.3582 -0.1248 -0.2048 -0.0265 -0.0865 0.1571 0.0021
-0.1789 0.0405 0.0852 -0.0550 0.1116 0.0032 -0.0543
-0.1633 0.0207 -0.2573 -0.1165 -0.0823 0.0287 -0.0487
-0.1072 -0.0904 0.2105 -0.1767 -0.0651 -0.0245 -0.0957
-0.0582 -0.0431 0.0477 0.0257 0.0256 -0.0397 0.0228
0.0307 -0.0253 -0.0531 0.0978 0.0676 -0.0110 0.0390
-0.2009 -0.0553 -0.0186 -0.1143 0.0366 -0.1196 -0.0626
-0.0063 -0.0836 -0.1563 0.0992 0.0348 -0.0288 -0.0021
0.0377 0.0597 -0.0994 -0.0027 0.0095 0.0918 0.0276
-0.0168 0.0210 0.0289 0.0501 -0.0451 -0.0054 0.0393
0.1480 0.0397 -0.0324 0.0471 0.1123 0.0174 0.0258
-0.0201 0.0328 0.0527 -0.0664 0.0395 -0.0063 0.0088
-0.0390 0.0125 0.0773 -0.0147 -0.0074 -0.0105 0.0049
-0.0787 0.0214 -0.0039 0.0175 0.0595 -0.0011 -0.0094
0.1396 0.0520 0.0800 0.0933 -0.0149 0.0441 0.0368
-0.0335 -0.0232 0.1397 -0.0274 -0.0390 0.0027 0.0032
-0.1277 0.0282 -0.0175 -0.0556 -0.1078 0.0187 -0.0061
0.1320 -0.0146 -0.0252 0.0229 -0.0829 -0.0503 -0.0156
0.0824 -0.0064 0.0091 0.0015 -0.0091 0.0397 0.0055
-0.1309 0.0019 -0.0559 0.0060 -0.0597 0.0093 0.0085
0.1063 -0.1648 -0.0965 -0.1068 0.0252 0.1027 0.0055
0.0334 0.0235 -0.0678 0.0143 0.1530 -0.0014 0.0242
0.1378 -0.0832 0.0008 -0.0886 0.0444 0.0951 0.0063
-0.1285 -0.1521 -0.1365 -0.0905 -0.0246 0.0682 -0.0846
0.0908 0.0413 0.0446 0.0698 -0.0577 0.0102 0.0193
-0.0986 -0.0016 -0.1513 -0.1141 -0.0026 -0.0940 -0.0649
-0.0274 -0.0793 -0.2920 -0.1646 -0.0148 0.0064 -0.0283
-0.0798 -0.3113 -0.0313 -0.0904 -0.0595 -0.0131 -0.0672
0.0498 -0.0962 -0.0447 -0.0279 -0.0925 -0.0497 -0.0696
0.0468 0.1795 0.2915 0.0766 0.0295 -0.0326 0.0485
0.0736 -0.1213 -0.2391 0.0779 -0.1057 -0.0130 -0.0082
-0.2008 0.0276 -0.1982 0.0667 0.0336 0.0006 0.0267
0.0133 -0.1299 -0.0226 -0.0367 0.0205 -0.0141 -0.0013
0.0109 -0.0102 -0.0240 0.0035 -0.0051 0.0113 0.0002

0.0081 -0.0088 -0.0246 0.0024 -0.0059 0.1153

 ERB Ci C* Optimal Zi Wi αp βp
0.0040 0.1153 0.0004 0.0031 Optimal 2.7410 0.3118 0.0051 0.0306 0.0013
0.0073 0.0155 0.0031 0.0031 Optimal 1.7934 0.2040 0.0032 0.2161 0.0015
0.0066 0.0099 0.0006 0.0031 Optimal 0.5135 0.0584 0.0004 0.0288 0.0004
0.0053 0.0097 0.0024 0.0031 Optimal 1.3037 0.1483 0.0014 0.1558 0.0008
0.0243 0.0087 0.0017 0.0031 Optimal 0.4441 0.0505 0.0006 0.0965 0.0012
0.0053 0.0086 0.0016 0.0031 Optimal 0.8860 0.1008 0.0008 0.0860 0.0005
0.0158 0.0081 0.0013 0.0031 Optimal 0.4242 0.0482 0.0004 0.0648 0.0008
0.0133 0.0071 0.0020 0.0031 Optimal 0.5286 0.0601 0.0005 0.1065 0.0008
0.0093 0.0040 0.0007 0.0031 Optimal 0.1024 0.0116 0.0000 0.0124 0.0001
0.0106 0.0034 0.0010 0.0031 Optimal 0.0552 0.0063 0.0000 0.0104 0.0001
0.0112 0.0030 0.0008 0.0031 - 8.7920 1.0000 0.0125 0.8078 0.0074
0.0097 0.0024 0.0006 0.0031 - E(Rm) 0.0059
0.0067 0.0014 0.0003 0.0031 - E(Rp) 0.0173
0.0077 -0.0059 -0.0008 0.0031 - 0.0016
0.0112 -0.0088 -0.0014 0.0031 - 0.0085
0.0095 -0.0118 -0.0004 0.0031 -
0.0237 -0.0135 -0.0009 0.0031 -
0.0089 -0.0141 -0.0007 0.0031 -
0.0134 -0.0246 -0.0026 0.0031 -
0.0128 -0.0332 -0.0020 0.0031 -
0.0127 -0.0664 -0.0025 0.0031 - Jumlah atau SUM
Tertinggi 0.0031