Untuk mencari saham prospek yang bagus untuk di masukan ke dalam portofolioEmiten ELsaLiabilities (Mill. Rp)Equity (Mill. Rp)Outstanding Shares (Mill.)Revenue (Mill. Rp)Net Profit (Mill. Rp)Last Price Book Value/share(Rp.) #DIV/0!EPS (Rp.) #DIV/0!PER (x) #DIV/0!PBV (x) #DIV/0!DER (x) #DIV/0!ROE (%) #DIV/0!NPM (%) #DIV/0!Fair Value (Rp)Margin of Safety

gjtl asii inds asri Price SMA Price SGROPrice WSKTapln klbf1680 6800 2675 430 7850 2000 405 215 1250

1885 6425 2495 510 7100 1795 540 227 1405

2190 6950 2700 575 7000 1875 665 232 1450

2125 7375 2700 595 7150 2135 760 283 1465

1915 7425 2725 530 6675 2445 745 263 1545

1755 7075 2850 500 6350 2360 720 268 1540

1830 7275 2950 442 6475 2335 680 280 1660

1815 7725 2350 510 6350 2130 810 335 1730

1770 7575 2250 510 6600 2110 905 378 1660

1550 7050 2000 455 6725 2005 830 343 1700

1440 6775 2100 464 7900 2100 970 352 1705

1305 7125 1650 560 8000 2275 1045 361 1750

1425 7425 1600 560 7850 2050 1510 335 1830

kaef590 1930690 1655

750 2070

900 2210

915 2450

1050 2310

990 2315

1230 2100

1320 1870

1150 1900

1155 1945

1390 1985

1465 1890

Return WSKT Return KAEFt PI Rit Rit-Ri t PI Rit

0 405 0 590

1 540 0.333333333333 0.20705163591 0.04287038 1 690 0.16949152542 665 0.231481481481 0.10519978406 0.01106699 2 750 0.08695652173 760 0.142857142857 0.01657544544 0.00027475 3 900 0.24 745 -0.01973684211 -0.1460185395 0.02132141 4 915 0.01666666675 720 -0.03355704698 -0.1598387444 0.02554842 5 1050 0.14754098366 680 -0.05555555556 -0.181837253 0.03306479 6 990 -0.05714285717 810 0.191176470588 0.06489477317 0.00421133 7 1230 0.24242424248 905 0.117283950617 -0.0089977468 8.09594E-05 8 1320 0.07317073179 830 -0.08287292818 -0.2091546256 0.04374566 9 1150 -0.1287878788

10 970 0.168674698795 0.04239300138 0.00179717 10 1155 0.004347826111 1045 0.077319587629 -0.0489621098 0.00239729 11 1390 0.203463203512 1510 0.444976076555 0.31869437914 0.10156611 12 1465 0.0539568345

∑ Rit 1.515380369039 ∑ Rit 1.0120877997(RI) 0.12628169742 (RI) 0.08434065∑ Rit-(RI)² 0.28794526 ∑ Rit-(RI)²Variance 0.02399544 Variance std deviasi 0.01199772 std deviasi

0

Expected Return Portofolio Varian PortopolioSAHAM (RI) std deviasi xi Rp AWSKT 13% 1.2% 50 6.31408487 A 0.36 KAEF 8% 0.6% 25 2.10851625 B 0.09 APLN 4% 0.5% 25 1.04742374 C 0.07

∑return portofolio 9.47002486

Xa 1 0.75 0.5 0.25Rp 0.13 0.11 0.09 0.08 Op 0.00007 0.00004 0.00002 0.00000

Rit-Ri²

- 0.00002 0.00004 0.00006 0.00008 -

0.02

0.04

0.06

0.08

0.10

0.12

0.14

Portofolio

Portofolio

- 0.00002 0.00004 0.00006 0.00008 -

0.02

0.04

0.06

0.08

0.10

0.12

0.14

Portofolio

Portofolio

Return APLNRit-Ri t PI Rit Rit-Ri

0 2150.0851508754 0.00725067158940903 1 227 0.0558139535 0.0139170039 0.0001936830.0026158718 6.84278507789909E-06 2 232 0.0220264317 -0.0198705179 0.0003948375

0.11565935 0.0133770852478307 3 283 0.2198275862 0.1779306366 0.0316593114-0.0676739833 0.00457976801703585 4 263 -0.0706713781 -0.1125683277 0.01267162840.0632003336 0.00399428217093539 5 268 0.0190114068 -0.0228855428 0.0005237481

-0.1414835071 0.0200175827868272 6 280 0.0447761194 0.0028791698 8.289619E-060.1580835924 0.024990422201146 7 335 0.1964285714 0.1545316218 0.0238800221

-0.0111699183 0.000124767074142909 8 378 0.128358209 0.0864612593 0.0074755494-0.2131285288 0.0454237697733198 9 343 -0.0925925926 -0.1344895422 0.018087437-0.0799928239 0.00639885187384273 10 352 0.0262390671 -0.0156578826 0.00024516930.1191225535 0.0141901827491639 11 361 0.0255681818 -0.0163287678 0.0002666287

-0.0303838154 0.00092317624095 12 335 -0.0720221607 -0.1139191103 0.0129775637∑ Rit 0.5027633956(RI) 0.0418969496

0.141277402509681 ∑ Rit-(RI)² 0.10838386810.0117731168758068 Variance 0.009031989

0.00588655843790339 std deviasi 0.00451599451.8041124E-16 -1.110223E-16

Kovarias -1B C korelasi -0.0022157266 0.09 0.07 0.52 0.02 0.02 0.13 0.02 0.01 0.10

varian portofolio 0.74 st deviasi portofolio 0.37

Rit-Ri² Rit-Ri²

- 0.00002 0.00004 0.00006 0.00008 -

0.02

0.04

0.06

0.08

0.10

0.12

0.14

Portofolio

Portofolio

- 0.00002 0.00004 0.00006 0.00008 -

0.02

0.04

0.06

0.08

0.10

0.12

0.14

Portofolio

Portofolio

Price ASRI Price ASII xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

0 430 6800 405

1 510 6425 540

2 575 6950 665

3 595 7375 760

4 530 7425 745

5 500 7075 720

6 442 7275 680

7 510 7725 810

8 510 7575 905

9 455 7050 830

10 464 6775 970

11 560 7125 1045

12 560 7425 1510

xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

Model MarkowitzReturn WSKT Return Market

t PI Rit Rit-Ri IHSG Rmt Rmt-Rm0 405 4274.1761 540 0.333333 0.207052 0.04287 4418.756 0.033826403 0.0167716586 0.00028128852 665 0.231481 0.1052 0.011067 4620.215 0.045591791 0.0285370466 0.0008143633 760 0.142857 0.016575 0.000275 4768.276 0.0320463442 0.0149915997 0.00022474814 745 -0.019737 -0.146019 0.021321 4840.145 0.0150723238 -0.0019824206 3.9299914E-065 720 -0.033557 -0.159839 0.025548 4893.908 0.0111077251 -0.0059470193 3.5367039E-056 680 -0.055556 -0.181837 0.033065 4878.582 -0.0031316486 -0.020186393 0.00040749057 810 0.191176 0.064895 0.004211 5088.801 0.0430901848 0.0260354404 0.00067784428 905 0.117284 -0.008998 8.096E-05 5136.862 0.0094444644 -0.00761028 5.7916362E-059 830 -0.082873 -0.209155 0.043746 5137.579 0.0001395794 -0.016915165 0.0002861228

### 970 0.168675 0.042393 0.001797 5089.546 -0.0093493453 -0.0264040897 0.000697176### 1045 0.07732 -0.048962 0.002397 5149.888 0.0118560673 -0.0051986771 2.7026244E-05### 1510 0.444976 0.318694 0.101566 5226.946 0.0149630439 -0.0020917006 4.3752112E-06

∑ Rit 1.51538 ∑Rmt 0.204656933(RI) 0.126282 (Rm) 0.0170547444∑ Rit-(RI)² 0.287945 ∑ Rit-(RI)² 0.0035176478Variance σ² 0.023995 Variance σ² 0.0002931373std deviasi 0.011998 std deviasi 0.0171212535

∑ Rit-(RI) 0 ∑ Rmt-(Rm) -2.255141E-17

Return Saham individual Ɛi=Rit-RI 1.389099βim= 0ɑi = (RI)-βim(Rm) 0.126282

jadi persamaa RIa= Ra=0.126 + 0 Rm

Resiko saham individual 0.023995

σ²²i = 0.023995

Rit-Ri² Rit-Ri²

σ²ei =

Return KAEFt PI Rit Rit-Ri IHSG Rm Rmt-Rm t

0 590 4274.176 01 690 0.1694915254 0.085151 0.007251 4418.756 0.033826 0.0167717 0.0002813 12 750 0.0869565217 0.002616 6.843E-06 4620.215 0.045592 0.028537 0.0008144 2

900 0.2 0.115659 0.013377 4768.276 0.032046 0.0149916 0.0002247 34 915 0.0166666667 -0.067674 0.00458 4840.145 0.015072 -0.0019824 3.93E-06 45 1050 0.1475409836 0.0632 0.003994 4893.908 0.011108 -0.005947 3.5367E-05 56 990 -0.0571428571 -0.141484 0.020018 4878.582 -0.003132 -0.0201864 0.0004075 67 1230 0.2424242424 0.158084 0.02499 5088.801 0.04309 0.0260354 0.0006778 78 1320 0.0731707317 -0.01117 0.000125 5136.862 0.009444 -0.0076103 5.7916E-05 89 1150 -0.1287878788 -0.213129 0.045424 5137.579 0.00014 -0.0169152 0.0002861 9

10 1155 0.0043478261 -0.079993 0.006399 5089.546 -0.009349 -0.0264041 0.0006972 1011 1390 0.2034632035 0.119123 0.01419 5149.888 0.011856 -0.0051987 2.7026E-05 1112 1465 0.0539568345 -0.030384 0.000923 5226.946 0.014963 -0.0020917 4.3752E-06 12

∑ Rit 1.0120877997 ∑Rm 0.204657(RI) 0.08434065 (Rm) 0.017055∑ Rit-(RI)² 0.141277 ∑ Rit-(RI)² 0.0035176Variance σ² 0.011773 Variance σ² 0.0002931std deviasi 0.005887

∑ Rit-(RI) 1.804E-16 ∑ Rmt-(Rm -2.255E-17

Return Saham individual Ɛi=Rit-RI 0.9277471497βim= -1.387925E-29ɑi = (RI)-βim(Rm) 0.084341

jadi persamaa RIb= Ra=0.084 + -1.38 Rm0.0117731169

σ²²i = 5.6468115E-62

Rit-Ri² Rit-Ri²

σ²ei =

Return APLNPI Rit Rit-Ri IHSG Rm Rmt-Rm

215 4274.176227 0.05581395 0.013917 0.000194 4418.756 0.033826 0.016772 0.000281232 0.02202643 -0.019871 0.000395 4620.215 0.045592 0.028537 0.000814283 0.21982759 0.177931 0.031659 4768.276 0.032046 0.014992 0.000225263 -0.0706714 -0.112568 0.012672 4840.145 0.015072 -0.001982 3.93E-06268 0.01901141 -0.022886 0.000524 4893.908 0.011108 -0.005947 3.537E-05280 0.04477612 0.002879 8.29E-06 4878.582 -0.003132 -0.020186 0.000407335 0.19642857 0.154532 0.02388 5088.801 0.04309 0.026035 0.000678378 0.12835821 0.086461 0.007476 5136.862 0.009444 -0.00761 5.792E-05343 -0.0925926 -0.13449 0.018087 5137.579 0.00014 -0.016915 0.000286352 0.02623907 -0.015658 0.000245 5089.546 -0.009349 -0.026404 0.000697361 0.02556818 -0.016329 0.000267 5149.888 0.011856 -0.005199 2.703E-05335 -0.0720222 -0.113919 0.012978 5226.946 0.014963 -0.002092 4.375E-06

∑ Rit 0.5027634 ∑Rm 0.204657(RI) 0.04189695 (Rm) 0.017055∑ Rit-(RI)² 0.108384 ∑ Rit-(RI)² 0.003518Variance σ² 0.009032 Variance σ² 0.000293std deviasi 0.004516

∑ Rit-(RI) -1.11E-16 ∑ Rmt-(Rm -2.26E-17

Return Saham individual Ɛi=Rit-RI 0.46086645βim= 8.5411E-30ɑi = (RI)-βim(Rm) 0.041897

jadi persamaa RIc= Ra=0.041+ 8.54 Rm0.00903199

σ²²i = 2.1384E-62

Rit-Ri² Rit-Ri²

σ²ei =

t P Rit Rit-RI Pm Rmt Rmt-Rt0 405 4274.1761 540 0.333333 0.21 0.04 4418.756 0.0338 0.016772 665 0.231481 0.11 0.01 4620.215 0.0456 0.028543 760 0.142857 0.02 0.00 4768.276 0.0320 0.014994 745 -0.019737 -0.15 0.02 4840.145 0.0151 -0.001985 720 -0.033557 -0.16 0.03 4893.908 0.0111 -0.005956 680 -0.055556 -0.18 0.03 4878.582 -0.0031 -0.020197 810 0.191176 0.06 0.00 5088.801 0.0431 0.026048 905 0.117284 -0.01 0.00 5136.862 0.0094 -0.007619 830 -0.082873 -0.21 0.04 5137.579 0.0001 -0.01692

10 970 0.168675 0.04 0.00 5089.546 -0.0093 -0.0264011 1045 0.07732 -0.05 0.00 5149.888 0.0119 -0.0052012 1510 0.444976 0.32 0.10 5226.946 0.0150 -0.00209

1.51538 0.00 0.00 0.2047(RI) 0.13 Rm 0.0171

0.29Variance 0.026177 Variancestd deviasi 0.54 std deviasi

eiRivarians ResidualRisiko saham

Xa 0.5 Xb 0.3 Xc 0.2969.814 647.7165 321.7588

-16.41365 -10.9623 -5.445617varians Residual -300.7452 varians Res-133.3501 varians Res-32.13789bp 743.5737

-12.58464varians Residual -196.8052Ri 0.096822Risiko portofolio 16622.45

Rit-Ri²

Ʃrit Ʃrmt

Ʃrit-Ri² Ʃrit-Ri²

ba,mai

ba,m bb,m bc,maa ab ac

ap

t RI Rit Rit-RI Pm0 590 4274.176

0.00028 1 690 0.169492 0.04 0.00 4418.7560.00081 2 750 0.086957 -0.04 0.00 4620.2150.00022 3 900 0.2 0.07 0.01 4768.2760.00000 4 915 0.016667 -0.11 0.01 4840.1450.00004 5 1050 0.147541 0.02 0.00 4893.9080.00041 6 990 -0.057143 -0.18 0.03 4878.5820.00068 7 1230 0.242424 0.12 0.01 5088.8010.00006 8 1320 0.073171 -0.05 0.00 5136.8620.00029 9 1150 -0.128788 -0.26 0.07 5137.5790.00070 10 1155 0.004348 -0.12 0.01 5089.5460.00003 11 1390 0.203463 0.08 0.01 5149.8880.00000 12 1465 0.053957 -0.07 0.01 5226.946

1.012088 -0.50 0.25(PI) 0.08 Rm

0.00352 0.160.00032 Variance 0.81193 Variance

0.017883 std deviasi 0.40 std deviasi969.814

-16.41365 1.39 ei 1.5154 Ri-300.7452 varians Residual0.026177 Risiko saham

(Rmt-Rm)² Rit-Ri²

Ʃrit Ʃrmt

Ʃrit-Ri² Ʃrit-Ri²

bi,mai

Rmt Rmt-Rt t RI Rit Rit-RI0 215

0.0338 0.01677 0.00028 1 227 0.055814 -0.07 0.000.0456 0.02854 0.00081 2 232 0.022026 -0.10 0.010.0320 0.01499 0.00022 3 283 0.219828 0.09 0.010.0151 -0.00198 0.00000 4 263 -0.070671 -0.20 0.040.0111 -0.00595 0.00004 5 268 0.019011 -0.11 0.01

-0.0031 -0.02019 0.00041 6 280 0.044776 -0.08 0.010.0431 0.02604 0.00068 7 335 0.196429 0.07 0.000.0094 -0.00761 0.00006 8 378 0.128358 0.00 0.000.0001 -0.01692 0.00029 9 343 -0.092593 -0.22 0.05

-0.0093 -0.02640 0.00070 10 352 0.026239 -0.10 0.010.0119 -0.00520 0.00003 11 361 0.025568 -0.10 0.010.0150 -0.00209 0.00000 12 335 -0.072022 -0.20 0.040.2047 0.502763 -1.01 1.030.0171 (PI) 0.04

0.00352 0.190.00032 Variance 0.969166

std deviasi 0.017883 std deviasi 0.44647.7165-10.9623

0.93 1.0121

varians Residual -133.3501Risiko saham 0.81193

(Rmt-Rm)² Rit-Ri²

Ʃrit

Ʃrit-Ri²

Pm Rmt Rmt-Rt4274.1764418.756 0.0338 0.01677 0.000284620.215 0.0456 0.02854 0.000814768.276 0.0320 0.01499 0.000224840.145 0.0151 -0.00198 0.000004893.908 0.0111 -0.00595 0.000044878.582 -0.0031 -0.02019 0.000415088.801 0.0431 0.02604 0.000685136.862 0.0094 -0.00761 0.000065137.579 0.0001 -0.01692 0.000295089.546 -0.0093 -0.02640 0.000705149.888 0.0119 -0.00520 0.000035226.946 0.0150 -0.00209 0.00000

0.2047Rm 0.0171

0.00352Variance 0.00032std deviasi 0.017883

321.7588-5.445617

ei 0.46 Ri 0.5028 varians Residual -32.13789Risiko saham 0.969166

(Rmt-Rm)²

Ʃrmt

Ʃrit-Ri²

bi,mai

CML SMLDik DIKRf 0.075 Rf 0.075Rm 0.017055 Rm 0.017055σm 0.017883 σ²m 0.000293Xf 0.2σp 0.014306slope CML -3.240321

Rp 0.028644