Download - Tugas Mip Resume
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DATA 2009 - 2013 INCO ITMG PTBA
RERATA Ri (RI) 0.006 0.021 0.010
EXPECTED RETURN (CAP 0.926 1.016 0.784
BETA () 0.738 0.810 0.62
RERATA R! (RM) 0.022 0.022 0.022
RERATA R" (R#) 0.06 0.06 0.06TOTA$ 0.33 1.23 0.97
%ARIANCE 0.011 0.010 0.007
&TANDAR DE%IA&I (') 0.104 0.100 0.08
CO%ARIANCE 0.003 0.003 0.002
OE#I&IEN ORE$A&I 0.443 0.0 0.48
DATA 2009
RERATA Ri (RI) 0.041 0.1068 0.0823
EXPECTED RETURN 0.392 0.691 0.1241
BETA () 0.8193 1.008 0.1886RERATA R! (RM) 0.0662 0.0662 0.0662
RERATA R" (R#) 0.0700 0.0700 0.0700
TOTA$ 0.4960 1.170 0.903
%ARIANCE 0.0040 0.0041 0.0017
&TANDAR DE%IA&I (') 0.063 0.0644 0.0411
CO%ARIANCE 0.0046 0.009 0.0011
OE#I&IEN ORE$A&I 0.963 1.2202 0.3434
DATA 2010
RERATA Ri (RI) 0.0263 0.042 0.0181
EXPECTED RETURN 0.374 0.2489 0.2312
BETA () 1.0924 0.7609 0.7067
RERATA R! (RM) 0.0327 0.0327 0.0327
RERATA R" (R#) 0.060 0.060 0.060
TOTA$ 0.319 0.428 0.2171
%ARIANCE 0.0016 0.0014 0.0006
&TANDAR DE%IA&I (') 0.0403 0.0377 0.0238
CO%ARIANCE 0.0031 0.0021 0.0020
OE#I&IEN ORE$A&I 1.4382 1.0694 1.731
DATA 2011
RERATA Ri (RI) -0.030 -0.0212 -0.014
EXPECTED RETURN -0.004 -0.0047 -0.0068
BETA () 0.21 0.2608 0.3783
RERATA R! (RM) 0.0040 0.0040 0.0040
RERATA R" (R#) 0.068 0.068 0.068
TOTA$ -0.3660 -0.242 -0.1848
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%ARIANCE 0.0006 0.000 0.0010
&TANDAR DE%IA&I (') 0.024 0.0220 0.0308
CO%ARIANCE 0.0011 0.0012 0.0017
OE#I&IEN ORE$A&I 0.662 0.792 0.8224
DATA 2012
RERATA Ri (RI) -0.0211 0.0073 -0.0074EXPECTED RETURN 0.1066 0.0819 0.0702
BETA () 1.2738 0.9788 0.838
RERATA R! (RM) 0.0118 0.0118 0.0118
RERATA R" (R#) 0.077 0.077 0.077
TOTA$ -0.230 0.0882 -0.0891
%ARIANCE 0.0019 0.0007 0.0014
&TANDAR DE%IA&I (') 0.0430 0.0271 0.0373
CO%ARIANCE 0.0017 0.0013 0.0011
OE#I&IEN ORE$A&I 1.091 1.3373 0.8308
DATA 2013
RERATA Ri (RI) 0.0134 -0.0249 -0.0209
EXPECTED RETURN -0.0299 0.0003 -0.0389
BETA () 0.443 -0.0063 0.7083
RERATA R! (RM) 0.0008 0.0008 0.0008
RERATA R" (R#) 0.0648 0.0648 0.0648
TOTA$ 0.1604 -0.298 -0.211
%ARIANCE 0.0018 0.0009 0.0010
&TANDAR DE%IA&I (') 0.0418 0.0294 0.0324
CO%ARIANCE 0.0012 0.0000 0.0016OE#I&IEN ORE$A&I 0.6180 -0.0102 1.0389
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DATA 2009 - 2013 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.0646
IHS 1.00 0.0224
INC! 0."4 0.0060 0.92#6
ITM 0.$1 0.0212 1.0163
PTBA 0.62 0.0101 0."$3$
DATA 2009 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.0"00
IHS 1.00 0.0662
INC! 0.$2 0.04#1 0.#392
ITM 1.0# 0.106$ 0.691#
PTBA 0.19 0.0$23 0.1241
DATA 2010 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.06#0
IHS 1.00 0.032"
INC! 1.09 0.0263 0.3#"4
ITM 0."6 0.04#2 0.24$9
PTBA 0."1 0.01$1 0.2312
DATA 2011 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.06#$
IHS 1.00 0.0040
INC! 0.2# -0.030# -0.004#
ITM 0.26 -0.0212 -0.004"
PTBA 0.3$ -0.01#4 -0.006$
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DATA 2012 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.0#""IHS 1.00 0.011$
INC! 1.2" -0.0211 0.1066
ITM 0.9$ 0.00"3 0.0$19
PTBA 0.$4 -0.00"4 0.0"02
DATA 2013 BETA ACTUAL RETURN EXPECTED RETURN (CAPM)
BI Rate 0.00 0.064$
IHS 1.00 0.000$
INC! 0.#4 0.0134 -0.0299
ITM -0.01 -0.0249 0.0003
PTBA 0."1 -0.0209 -0.03$9
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DATA 2009 - 2013 ALPHA %ETERANAN
INC! -0.920 !&ER&ALUE
ITM -0.99# !&ER&ALUE
PTBA -0.""4 !&ER&ALUE
DATA 2009 ALPHA %ETERANAN
INC! -0.494 !&ER&ALUE
ITM -0.#$# !&ER&ALUE
PTBA -0.042 !&ER&ALUE
DATA 2010 ALPHA %ETERANAN
INC! -0.331 !&ER&ALUE
ITM -0.204 !&ER&ALUE
PTBA -0.213 !&ER&ALUE
DATA 2011 ALPHA %ETERANAN
INC! -0.026 !&ER&ALUE
ITM -0.016 !&ER&ALUE
PTBA -0.009 !&ER&ALUE
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DATA 2012 ALPHA %ETERANAN
INC! -0.12$ !&ER&ALUE
ITM -0.0"# !&ER&ALUE
PTBA -0.0"$ !&ER&ALUE
DATA 2013 ALPHA %ETERANAN
INC! 0.043 UNDER&ALUE
ITM -0.02# !&ER&ALUE
PTBA 0.01$ UNDER&ALUE
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T*+, D/ / P+!*/ Ei+/ #5/i+5
NO BETA RERATA RETURN XPECTED RETUR
INCO 0.44312261 0.013362666 -0.019884138
ITMG -0.0062999832 -0.024871731 0.0603488
PTBA 0.708331441 -0.020921146 -0.038889212
R"
0.077083333
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a'a *+ E,,e/t /te
R
-0.2 0 0.2
-0.06
-0.04
-0.02
0
0.02
0.04
0.06
0.08
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0.4 0.6 0.8 1 1.2
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RERATA Ri (RI) 0.013363 -0.024872 -0.02092
EXPECTED RETURN -0.029884 0.000346 -0.038889
BETA () 0.44312 -0.0063 0.708331
RERATA R! (RM) 0.000824 0.000824 0.000824
RERATA R" (R#) 0.064792 0.064792 0.064792
TOTA$ 0.16031 -0.298461 -0.21101
%ARIANCE 0.00171 0.000862 0.001049&TANDAR DE%IA&I (') 0.041849 0.0293 0.032394
CO%ARIANCE 0.001229 -1.4E-00 0.00199
OE#I&IEN ORE$A&I 0.617973 -0.010197 1.038893