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    Latihan CAPM CAL

    Uploaded by

    anwarchoi
    This document contains daily historical price data and return statistics for two stocks, BBCA and GOTO, from December 29, 2023 to March 18, 2024. It also includes summary statistics for the stocks, various portfolio weights and resulting portfolio statistics, and charts showing the efficient frontier and capital allocation line based on the stock return data and risk free rate of 0.118%. The optimal portfolio allocation is 130% to BBCA and -30% to GOTO, resulting in a return of 0.282% and standard deviation of 1.55%.

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    Latihan CAPM CAL

    Uploaded by

    anwarchoi
    14 views6 pages
    This document contains daily historical price data and return statistics for two stocks, BBCA and GOTO, from December 29, 2023 to March 18, 2024. It also includes summary statistics for the stocks, various portfolio weights and resulting portfolio statistics, and charts showing the efficient frontier and capital allocation line based on the stock return data and risk free rate of 0.118%. The optimal portfolio allocation is 130% to BBCA and -30% to GOTO, resulting in a return of 0.282% and standard deviation of 1.55%.

    Original Description:

    Training CAPM CAL for beginner

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    This document contains daily historical price data and return statistics for two stocks, BBCA and GOTO, from December 29, 2023 to March 18, 2024. It also includes summary statistics for the stocks, various portfolio weights and resulting portfolio statistics, and charts showing the efficient frontier and capital allocation line based on the stock return data and risk free rate of 0.118%. The optimal portfolio allocation is 130% to BBCA and -30% to GOTO, resulting in a return of 0.282% and standard deviation of 1.55%.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    14 views6 pages

    Latihan CAPM CAL

    Uploaded by

    anwarchoi
    This document contains daily historical price data and return statistics for two stocks, BBCA and GOTO, from December 29, 2023 to March 18, 2024. It also includes summary statistics for the stocks, various portfolio weights and resulting portfolio statistics, and charts showing the efficient frontier and capital allocation line based on the stock return data and risk free rate of 0.118%. The optimal portfolio allocation is 130% to BBCA and -30% to GOTO, resulting in a return of 0.282% and standard deviation of 1.55%.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 6

    Date Historical Prices r BBCA r GOTO

    BBCA GOTO Summary Statistics


    12/29/2023 9400 86 BBCA
    1/2/2024 9425 87 0.27% 1.16% Mean 0.159%
    1/3/2024 9350 88 -0.80% 1.15% Standard Deviation 1.058%
    1/4/2024 9475 87 1.34% -1.14% Covariance 0.012%
    1/5/2024 9575 86 1.06% -1.15% Risk Free Rate 0.118%
    1/8/2024 9575 86 0.00% 0.00%
    1/9/2024 9625 88 0.52% 2.33%
    1/10/2024 9550 87 -0.78% -1.14%
    1/11/2024 9575 91 0.26% 4.60%
    1/12/2024 9700 91 1.31% 0.00%
    1/15/2024 9725 91 0.26% 0.00%
    1/16/2024 9700 90 -0.26% -1.10%
    1/17/2024 9750 87 0.52% -3.33%
    1/18/2024 9675 87 -0.77% 0.00%
    1/19/2024 9625 86 -0.52% -1.15%
    1/22/2024 9625 87 0.00% 1.16%
    1/23/2024 9600 85 -0.26% -2.30%
    1/24/2024 9525 84 -0.78% -1.18%
    1/25/2024 9500 84 -0.26% 0.00%
    1/26/2024 9350 82 -1.58% -2.38%
    1/29/2024 9550 78 2.14% -4.88%
    1/30/2024 9650 87 1.05% 11.54%
    1/31/2024 9550 88 -1.04% 1.15%
    2/1/2024 9700 90 1.57% 2.27%
    2/2/2024 9700 90 0.00% 0.00%
    2/5/2024 9575 84 -1.29% -6.67%
    2/6/2024 9625 84 0.52% 0.00%
    2/7/2024 9700 84 0.78% 0.00%
    2/12/2024 9800 86 1.03% 2.38%
    2/13/2024 9725 86 -0.77% 0.00%
    2/15/2024 9850 85 1.29% -1.16%
    2/16/2024 9950 83 1.02% -2.35%
    2/19/2024 9875 84 -0.75% 1.20%
    2/20/2024 10025 83 1.52% -1.19%
    2/21/2024 9975 80 -0.50% -3.61%
    2/22/2024 9875 79 -1.00% -1.25%
    2/23/2024 9825 79 -0.51% 0.00%
    2/26/2024 9800 78 -0.25% -1.27%
    2/27/2024 9875 80 0.77% 2.56%
    2/28/2024 10000 75 1.27% -6.25%
    2/29/2024 9875 71 -1.25% -5.33%
    3/1/2024 9825 69 -0.51% -2.82%
    3/4/2024 9750 64 -0.76% -7.25%
    3/5/2024 9800 63 0.51% -1.56%
    3/6/2024 9950 74 1.53% 17.46%
    3/7/2024 10125 70 1.76% -5.41%
    3/8/2024 10150 70 0.25% 0.00%
    3/13/2024 10000 67 -1.48% -4.29%
    3/14/2024 10325 70 3.25% 4.48%
    3/15/2024 10150 71 -1.69% 1.43%
    3/18/2024 10150 73 0.00% 2.82%
    Summary Statistics Portfolio Weights Portfolio Statistics Capital Allocation Line
    GOTO BBCA GOTO Return St Dev Sharpe Ratio Weight Return St Dev
    -0.249% 130% -30% 0.282% 1.55% 10.56% 0% 0.12% 0.00%
    4.041% 120% -20% 0.241% 1.30% 9.50% 100% 0.28% 1.55%
    110% -10% 0.200% 1.12% 7.37% 200% 0.45% 3.11%
    100% 0% 0.159% 1.06% 3.93%
    90% 10% 0.118% 1.14% 0.07%
    80% 20% 0.078% 1.33% -3.02% effi
    70% 30% 0.037% 1.59% -5.09%
    0.500%
    60% 40% -0.004% 1.90% -6.42%
    0.400%
    50% 50% -0.045% 2.23% -7.29%
    0.300%
    40% 60% -0.086% 2.58% -7.89%
    0.200%
    30% 70% -0.127% 2.93% -8.32%
    0.100%
    20% 80% -0.167% 3.30% -8.64%
    0.000%
    10% 90% -0.208% 3.67% -8.88% 0.00% 1.00%
    -0.100%
    0% 100% -0.249% 4.04% -9.07%
    -0.200%
    -10% 110% -0.290% 4.42% -9.23%
    -0.300%
    -20% 120% -0.331% 4.79% -9.35%
    -30% 130% -0.371% 5.17% -9.46% -0.400%

    Optimal Portfolio: 0.282% 1.55% 10.56% -0.500%


    efficient frontier & CAL
    0.500%
    0.400%
    0.300%
    0.200%
    0.100%
    0.000%
    0.00% 1.00% 2.00% 3.00% 4.00% 5.00% 6.00%
    -0.100%
    -0.200%
    -0.300%
    -0.400%
    -0.500%

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