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    Tugas Manajemen Investasi Kelompok 5

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    Rendi Bima Dwi
    This document contains stock price data for H.M. Sampoerna Tbk and Gudang Garam Tbk over a 12 month period. It then calculates various risk metrics for each stock including expected return, variance, standard deviation, and covariance. It also calculates the expected return, standard deviation and covariance of portfolios containing both stocks. The group members and university are listed for a class project on investment management.

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    Tugas Manajemen Investasi Kelompok 5

    Uploaded by

    Rendi Bima Dwi
    14 views4 pages
    This document contains stock price data for H.M. Sampoerna Tbk and Gudang Garam Tbk over a 12 month period. It then calculates various risk metrics for each stock including expected return, variance, standard deviation, and covariance. It also calculates the expected return, standard deviation and covariance of portfolios containing both stocks. The group members and university are listed for a class project on investment management.

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    Tugas manajemen investasi kelompok 5

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    This document contains stock price data for H.M. Sampoerna Tbk and Gudang Garam Tbk over a 12 month period. It then calculates various risk metrics for each stock including expected return, variance, standard deviation, and covariance. It also calculates the expected return, standard deviation and covariance of portfolios containing both stocks. The group members and university are listed for a class project on investment management.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    14 views4 pages

    Tugas Manajemen Investasi Kelompok 5

    Uploaded by

    Rendi Bima Dwi
    This document contains stock price data for H.M. Sampoerna Tbk and Gudang Garam Tbk over a 12 month period. It then calculates various risk metrics for each stock including expected return, variance, standard deviation, and covariance. It also calculates the expected return, standard deviation and covariance of portfolios containing both stocks. The group members and university are listed for a class project on investment management.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 4

    Tugas Manajemen Investasi

    Dosen : Dewi Kuntari S., S.E., M.M., M.Bus.

    Kelompok 5

    Cindana Sari Dewi 17101003

    Kirana Sari 17101004

    M diki Dermawan 17101012

    Ricky Pratama 17101013

    M Ilham Widyatama 17101020

    Widia Temika Dewi 17101048

    Universitas Trilogi

    2020
    Berdasarkan data 12 bulan terakhir, berikut ini:

    Bulan Close Price H.M. Sampoerna Close Price Gudang Garam


    Tbk Tbk
    Januari (2018) 4.900 81.050
    Februari (2018) 4.820 79.750
    Maret (2018) 3.980 72.475
    April (2018) 3.540 69.325
    Mei (2018) 3.790 68.500
    Juni (2018) 3.580 67.250
    Juli (2018) 3.840 75.150
    Agustus (2018) 3.830 73.000
    September (2018) 3.850 74.050
    Oktober (2018) 3.730 72.300
    November (2018) 3.680 82.000
    Desember (2018) 3.710 83.625
    Januari (2019) 3.830 83.650

    H.M. Sampoerna Tbk


    Rі* Expected Rate Return (ER) * Varians (²) * Standar Deviasi ()*
    -0,01633 -0,00136 0,00001867 0,00432031
    -0,17427 -0,01452 0,00212670 0,04611615
    -0,11055 -0,00921 0,00085582 0,02925435
    0,07062 0,00589 0,00034923 0,01868777
    -0,05541 -0,00462 0,00021498 0,01466226
    0,07263 0,00605 0,00036934 0,01921813
    -0,00260 -0,00022 0,00000047 0,00068911
    0,00522 0,00044 0,00000191 0,00138182
    -0,03117 -0,00260 0,00006803 0,00824786
    -0,01340 -0,00112 0,00001258 0,00354717
    0,00815 0,00068 0,00000465 0,00215722
    0,03235 0,00270 0,00007326 0,00855910
    -0,21477 -0,01790 0,00323001 0,05683316
    Gudang Garam Tbk
    Rі* Expected Rate Return (ER) * Varians (²) * Standar Deviasi ()*
    -0,016039482 -0,00134 0,00001801 0,00424435
    -0,091222571 -0,00760 0,00058270 0,02413921
    -0,043463263 -0,00362 0,00013228 0,01150120
    -0,011900469 -0,00099 0,00000992 0,00314909
    -0,018248175 -0,00152 0,00002332 0,00482881
    0,117472119 0,00979 0,00096630 0,03108534
    -0,028609448 -0,00238 0,00005731 0,00757060
    0,014383562 0,00120 0,00001449 0,00380616
    -0,023632681 -0,00197 0,00003911 0,00625365
    0,134163209 0,01118 0,00126040 0,03550212
    0,019817073 0,00165 0,00002750 0,00524397
    0,000298954 0,00002 0,00000001 0,00007911
    0,053018828 0,00442 0,00019683 0,01402978

    Expected Return on Portfolio H.M. Sampoerna Tbk (ERp) * -0,00895

    Expected Return on Portfolio Gudang Garam Tbk (ERp) * 0,00221


    Covariance and Correlation Coefficient ()* -74,18634606
    Standard Deviasi on Protfolio (p) * -0,007015809
    Covariance ()* -5,2570631

    Keterangan :

     

     √  √
    Expected Return on Portfolio H.M. Sampoerna Tbk (ERp) * = 0,50 -0,01790

    Expected Return on Portfolio Gudang Garam Tbk (ERp) * = 0,50 0,00442


     
     

      

    

     =

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