Kelompok 5

Pengantar Pasar Modal C

Galang Robby Alhadi 5160111126

Desatya Istiqoma M 5180121008

Vidya Ika Wulansuci 5180121008

Eric Kurniawan 5180121007

Lewi Sinaga 5160111160

1. Saham PT XL axiata

Return Saham 3 Return Aset Bebas Risiko

1 Harga
(Ri) = 0.018%
2590 = 0.00018
2500 -0.034749035
2400 -0.04
2400 0 4 Beta Saham=
2490 0.0375 = 1.667
2450 -0.016064257
2400 -0.020408163 E (R ) i -0.008115238 5 Ri=
2420 0.008333333 -0.00811524
2350 -0.02892562 = Ri+( * Rm)
2400 0.021276596 = -0.012643283
Total -0.073037146
6 =
Return Pasar
IHSG
2 (Rm) -0.025937935
6525 -0.023533322
6540 0.002298851 0.033592555
6525 -0.002293578 0.035654381
6443 -0.01256705 E (R ) m -0.002716284 -0.000599463
6499 0.008691603 0.004311107
6488 -0.001692568 0.016835645
6441 -0.007244143 0.002822201
6457 0.002484086 0.038359641
6383 -0.011460431
6366 -0.002663324
Total -0.024446554
No Return Pasar E(Rm) Rm-E(Rm) {Rm-E(Rm)}^2
1 0.002298851 -0.00271628 0.00501513 0.000025151572
2 -0.002293578 -0.00271628 0.00042271 0.000000178680
3 -0.01256705 -0.00271628 -0.00985077 0.000097037592 Rangkuman
4 0.008691603 -0.00271628 0.01140789 0.000130139887 E (R ) i = -0.008115238
5 -0.001692568 -0.00271628 0.00102372 0.000001047994 = 0.00018
6 -0.007244143 -0.00271628 -0.00452786 0.000020501510 = 1.667
7 0.002484086 -0.00271628 0.00520037 0.000027043849 = 0.000676012
8 -0.011460431 -0.00271628 -0.00874415 0.000076460103 = 4.71955E-05
9 -0.002663324 -0.00271628 0.00005296 0.000000002805
Total -0.024446554 0.000377563991 1 Hitung excess return to beta ratio

Varian Sekuritas
4.71955E-05
= -0.00498
NO Return Pasar Return Saham E(ei) ei ei-E(ei) ei-E(ei)^2
1 0.002298851 -0.034749035 0 -0.025937935 -0.02594 0.000672776 2 Hitung A
2 -0.002293578 -0.04 0 -0.023533322 -0.02353 0.000553817
3 -0.01256705 0 0 0.033592555 0.033593 0.00112846
4 0.008691603 0.0375 0 0.035654381 0.035654 0.001271235 = -20.4555
5 -0.001692568 -0.016064257 0 -0.000599463 -0.0006 3.59355E-07
6 -0.007244143 -0.020408163 0 0.004311107 0.004311 1.85856E-05 3 Hitung B
7 0.002484086 0.008333333 0 0.016835645 0.016836 0.000283439
8 -0.011460431 -0.02892562 0 0.002822201 0.002822 7.96482E-06
9 -0.002663324 0.021276596 0 0.038359641 0.03836 0.001471462
Total -0.024446554 -0.073037146 0.005408099 = 4110.707
4 Hitung C
0.000676012

= 0.652199
2. Saham PT Telekomunikasi Seluler
Return Saham 3 Return Aset Bebas Risiko
1 Harga
(Ri) = 0.018%
3910 = 0.00018
3930 0.005115090
3910 -0.005089059
3860 -0.012787724 4 Beta Saham=
3910 0.012953368 = 0.980
3850 -0.015345269
3870 0.005194805 E (R ) i -0.00309 5 Ri= α+- β * Rm
3820 -0.012919897 -0.003086479
3740 -0.020942408 Ri+( β * Rm)
3800 0.016042781 = -0.005748437
Total -0.027778313
6 = Ri - α - β * Rm
Return Pasar
IHSG
2 (Rm) 0.008610653
6525 0.002907085
6540 0.002298851 0.005276422
6525 -0.002293578 0.010184034
6443 -0.012567050 E (R ) m -0.00272 -0.007938115
6499 0.008691603 0.018042503
6488 -0.001692568 -0.009605864
6441 -0.007244143 -0.003962749
6457 0.002484086 0.024401276
6383 -0.011460431
6366 -0.002663324
Total -0.024446554

Return Pasar E(Rm) Rm-E(Rm) {Rm-E(Rm)}^2

0.002298851 0.00025543 0.00204342 0.000004175576
-0.002293578 -0.00025484 -0.00203874 0.000004156444
-0.01256705 -0.00139634 -0.01117071 0.000124784783
0.008691603 0.00096573 0.00772587 0.000059689061
-0.001692568 -0.00018806 -0.00150450 0.000002263535
-0.007244143 -0.00080490 -0.00643924 0.000041463789
0.002484086 0.00027601 0.00220808 0.000004875603
-0.011460431 -0.00127338 -0.01018705 0.000103775975
-0.002663324 -0.00029592 -0.00236740 0.000005604580
-0.024446554 0.000350789347

Varian Sekuritas
δm2 4.38487E-05
 NO Return Pasar Return Saham E(ei) ei ei-E(ei) ei-E(ei)^2
1 0.002298851 0.005115090 0 0.008611 0.008611 7.41433E-05
2 -0.002293578 -0.005089059 0 0.002907 0.002907 8.45114E-06
3 -0.01256705 -0.012787724 0 0.005276 0.005276 2.78406E-05
4 0.008691603 0.012953368 0 0.010184 0.010184 0.000103715
5 -0.001692568 -0.015345269 0 -0.00794 -0.00794 6.30137E-05
6 -0.007244143 0.005194805 0 0.018043 0.018043 0.000325532
7 0.002484086 -0.012919897 0 -0.00961 -0.00961 9.22726E-05
8 -0.011460431 -0.020942408 0 -0.00396 -0.00396 1.57034E-05
9 -0.002663324 0.016042781 0 0.024401 0.024401 0.000595422
Total -0.024446554 -0.027778313 0.001306094

δеἰ2 0.000163

Rangkuman
E (R ) i -0.003086479
=
= 0.00018
= 0.980
= 0.000163262
= 4.38487E-05

1 Hitunglah excess to beta ratio 3 Hitung B

4 Hitung C

-0.003266479 = 5882.58

2 Hitung A 4 Hitung C =

= -19.6074757
= 0.426596
3. Saham PT Smartfren

Tanggal Smartfren IHSGReturn Saham

Return
(Ri)Pasar (Rm)
E ( R m) Rm-E(Rm) Rm-E(Rm)^2 Error I (ei) E(ei) ei-E(ei) ei-E(ei)^2
2/25/2019 Rp 312 Rp 6,525 - - -
2/26/2019 Rp 302 Rp 6,540 -0.0321 0.0023 -0.00272 0.0050151343 0.0000251516 -0.00902 0 -0.00902 8.13172E-05
2/27/2019 Rp 298 Rp 6,525 -0.0132 -0.0023 -0.00272 0.0004227058 0.0000001787 0.022726 0 0.022726 0.000516449
2/28/2019 Rp 284 Rp 6,443 -0.0470 -0.0126 -0.00272 -0.0098507661 0.0000970376 0.017931 0 0.017931 0.000321523
3/1/2019 Rp 306 Rp 6,499 0.0775 0.0087 -0.00272 0.0114078870 0.0001301399 0.08249 0 0.08249 0.006804613
3/4/2019 Rp 304 Rp 6,488 -0.0065 -0.0017 -0.00272 0.0010237157 0.0000010480 0.027742 0 0.027742 0.000769594
3/5/2019 Rp 296 Rp 6,441 -0.0263 -0.0072 -0.00272 -0.0045278593 0.0000205015 0.0236 0 0.0236 0.000556984
3/6/2019 Rp 286 Rp 6,457 -0.0338 0.0025 -0.00272 0.0052003701 0.0000270438 -0.01127 0 -0.01127 0.000127056
3/8/2019 Rp 288 Rp 6,383 0.0070 -0.0115 -0.00272 -0.0087441468 0.0000764601 0.068787 0 0.068787 0.004731593
3/11/2019 Rp 292 Rp 6,366 0.0139 -0.0027 -0.00272 0.0000529593 0.0000000028 0.050901 0 0.050901 0.002590913
-0.0606 -0.0244 0.0003775640 0.273887 0.016500042

1. E (Ri) = -0.0067294
2. E (Rm) = -0.0027163
α= -0.0295095 6. error i =Ri - α - β * Rm
β= 2.817 error i1 -0.00902
3. Return Aset Bebas Resiko error i2 0.022726
RBR = 0,018% error i3 0.017931
RBR = 0.00018 error i4 0.08249
4. Beta Saham= βi error i5 0.027742
βi = 2.817 error i6 0.0236
5. Ri = α + β * Rm error i7 -0.01127
-0.021857766 error i8 0.068787
α= Ri+( β * Rm) error i9 0.050901
α= -0.029509538

Varian Sekuritas
δm² 4.71955E-05
δei² 0.002062505

Excess Return to Beta Ratio

ERBi = -0.002452768
Hitung A

Hitung C
A= -9.43702355
C
Hitung B
c= 0.182451213

B= 3847.500065
4. Saham PT Indosat

Tanggal Indosat IHSG (Ri) (Rm) E ( R m) Rm-E(Rm) Rm-E(Rm)^2 Error I (ei) E(ei) ei-E(ei) ei-E(ei)^2
2/25/2019 Rp 3,400 Rp 6,525 - - -
2/26/2019 Rp 3,150 Rp 6,540 -0.0735 0.0023 -0.0027 0.0049988506 0.0000249885 -0.05175054 -0.001026755 -0.050723785 0.002572902
2/27/2019 Rp 3,250 Rp 6,525 0.0317 -0.0023 -0.0027 0.0004064220 0.0000001652 0.052656934 -0.001026755 0.05368369 0.002881939
2/28/2019 Rp 3,300 Rp 6,443 0.0154 -0.0126 -0.0027 -0.0098670498 0.0000973587 0.034353832 -0.001026755 0.035380587 0.001251786
3/1/2019 Rp 3,320 Rp 6,499 0.0061 0.0087 -0.0027 0.0113916033 0.0001297686 0.029047708 -0.001026755 0.030074463 0.000904473
3/4/2019 Rp 3,180 Rp 6,488 -0.0422 -0.0017 -0.0027 0.0010074319 0.0000010149 -0.021144181 -0.001026755 -0.020117426 0.000404711
3/5/2019 Rp 3,180 Rp 6,441 0.0000 -0.0072 -0.0027 -0.0045441430 0.0000206492 0.019975246 -0.001026755 0.021002001 0.000441084
3/6/2019 Rp 3,050 Rp 6,457 -0.0409 0.0025 -0.0027 0.0051840863 0.0000268748 -0.019066622 -0.001026755 -0.018039867 0.000325437
3/8/2019 Rp 2,830 Rp 6,383 -0.0721 -0.0115 -0.0027 -0.0087604305 0.0000767451 -0.05295278 -0.001026755 -0.051926025 0.002696312
3/11/2019 Rp 2,770 Rp 6,366 -0.0212 -0.0027 -0.0027 0.0000366755 0.0000000013 -0.000360393 -0.001026755 0.000666362 4.44039E-07
-0.1967 -0.0244 0.0003775664 -0.009240797 0.011479088

6. error i =Ri - α - β * Rm
error i1 -0.05175054
1. E (Ri) = -0.0219 3. Return Aset Bebas Resiko error i2 0.052656934
2. E (Rm) = -0.0027 RBR = 0,018% error i3 0.034353832
α= -0.021344 RBR = 0.00018 error i4 0.029047708
β= -0.189 4. Beta Saham=
βi error i5 -0.021144181
βi = -0.189
error i6 0.019975246
5. Ri = α + β * Rm
-0.02186
error i7 -0.019066622
α= Ri+( β * Rm) error i8 -0.05295278
α= -0.021344389 error i9 -0.000360393
Varian Sekuritas
δm² 4.72E-05
δei² 0.001435

Excess Return to Beta Ratio

ERBi = 0.116602
Hitung A

A = 2.902766
Hitung B

B = 24.89466
Hitung C
C

c = 0.001312
 5. Saham PT. Pembangunan Perumahan
Return Saham Return Pasar E (RM) RM - E (RM) RM - E (RM) 2 Koevarian β α Error E(ei) ei - E(ei) ei - E(ei)^(2) Varian ei

-0,004901961 0,002298851 -0,002716284 0,005015134 0,000025152 -8,159893684 -7,13531 50,912633438

0,009852217 -0,002293578 -0,002716284 0,000422706 0,000000179 0,009852217 1,034437 1,070059859
-0,024390244 -0,01256705 -0,002716284 -0,009850766 0,000097038 -0,024390244 1,000195 1,000389070
0,01 0,008691603 -0,002716284 0,011407887 0,000130140 0,01 1,034585 1,070365626
0,00990099 -0,001692568 -0,002716284 0,001023716 0,000001048 0,00990099 1,034486 1,070160768
-0,019607843 -0,007244143 -0,002716284 -0,004527859 0,000020502 -0,019607843 1,004977 1,009978604
0,005 0,002484086 -0,002716284 0,00520037 0,000027044 0,005 1,029585 1,060044778
-0,017412935 -0,011460431 -0,002716284 -0,008744147 0,000076460 -0,017412935 1,007172 1,014395085
-0,010126582 -0,002663324 -0,002716284 0,000052959 0,000000003 -0,010126582 1,014458 1,029125395
-0,004631818 -0,002716284 Varian 0,000377564 0,000047195 1.627 4,414762 -8,196678082 -1,02458476 59,237152623 7,404644

Varian Sekuritas
-0,004631818 δm² 4,71955E-05
-0,002716284
0,0018 δei² 7,404644078
-2,423
7,404644078 Excess Return to Beta Ratio
)
0,000047195
𝛽

ERBi = -3,95318E-06
{ ) }𝛽
Hitung A
𝛿

A= -1,413243791
𝛽
Hitung B
𝛿

B= 357495,7786
𝛿
Hitung C C
𝛿

c= 1,296457345
Ranking Berdasarkan ERB Tertinggi

ERB A B ∑A ∑B C ERB>C
Saham PT Indosat 0,116601938 2,902765706 24,89466079 2,902766 24,89466 0,001312 YES
Saham PT Smartfren -0,002452768 -9,43702355 3847,500065 -6,53426 3872,395 0,182451 NO
Saham PT Telkomsel -0,003266479 -19,6074757 5882,580351 -26,1417 9754,975 0,426596 NO
Saham PT XL Axiata -0,004976148 -20,45548641 4110,707145 -46,5972 13865,68 0,652199 NO
Saham PT Pembangunan Perumahan -3,95318E-06 -1,413243791 357495,7786 -48,0105 27517,95 1,296457 NO

Jadi saham yang ada di portofolio hanya saham PT Indosat