Date

2/1/2006
3/1/2006
4/3/2006
5/1/2006
6/1/2006
7/3/2006
8/1/2006
9/1/2006
10/2/2006
11/1/2006
12/1/2006
1/2/2007
2/1/2007
3/1/2007
4/2/2007
5/1/2007
6/4/2007
7/2/2007
8/1/2007
9/3/2007
10/1/2007
11/1/2007
12/3/2007
1/2/2008
2/1/2008
3/3/2008
4/1/2008
5/2/2008
6/2/2008
7/1/2008
8/1/2008
9/1/2008
10/6/2008
11/3/2008
12/1/2008
1/5/2009
2/2/2009
3/2/2009
4/1/2009
5/1/2009
6/1/2009
7/1/2009
8/3/2009
9/1/2009
10/1/2009
11/2/2009

jkse
tlkm
bcca
bumi
asii
mppa
-0.0013
-0.0159
-0.0069
-0.0118
-0.0577
-0.1505
0.0750
0.1129
0.1597
0.0595
0.1684
0.3165
0.1069
0.0942
0.0479
0.0225
0.0437
-0.0436
-0.0918
-0.0662
-0.0629
-0.0879
-0.1799
-0.2577
-0.0148
0.0426
0.0459
-0.0607
0.0340
0.0417
0.0316
0.0445
0.0183
0.0779
-0.0154
0.0933
0.0589
0.0604
0.0898
-0.0964
0.1562
-0.0732
0.0722
0.0696
0.0604
-0.0133
0.1216
0.0921
0.0313
-0.0059
-0.0363
0.0405
0.0884
-0.1205
0.0861
0.1786
0.1398
0.0519
0.1903
0.0137
0.0504
0.0202
-0.0189
0.1111
-0.0157
0.0811
-0.0267
-0.0644
-0.0192
0.2000
-0.0541
-0.1125
-0.0093
-0.0582
-0.0343
0.1204
-0.0539
-0.0141
0.0517
0.1067
0.0355
0.0992
-0.0605
-0.0143
0.0919
0.0660
0.0392
0.0376
0.0909
0.0290
0.0426
-0.0905
-0.0094
0.2681
0.1389
0.0855
0.0264
0.0314
0.0843
0.3311
0.0490
0.0658
0.0979
0.1632
0.1560
0.1868
0.1095
-0.0370
-0.0657
-0.0312
-0.0476
-0.0422
-0.0480
0.0256
0.0751
0.0138
0.0250
0.4020
0.0784
-0.0375
0.1205
-0.0227
0.1870
0.3427
0.3379
-0.0260
0.0170
-0.0514
-0.0122
0.1771
-0.0234
-0.1333
0.0214
0.0000
0.0282
0.0619
0.0920
0.0616
-0.0432
-0.0887
-0.0274
0.0667
-0.0018
-0.1739
0.0360
0.0595
0.0070
0.2031
0.0220
0.0702
-0.1009
-0.0153
-0.0909
-0.1948
-0.1293
-0.0328
-0.0583
-0.0829
-0.0769
0.0726
-0.1753
-0.0323
0.0607
-0.0847
-0.0750
0.2105
0.0500
-0.0536
-0.0390
-0.0988
-0.0860
0.0186
-0.0833
0.0000
-0.0190
0.0990
0.2222
-0.1710
0.1714
0.0755
-0.0601
0.0390
0.0496
-0.1852
-0.0776
-0.0175
-0.1539
-0.1062
-0.0079
-0.4182
-0.1779
0.0536
-0.3142
-0.2331
-0.1429
-0.3203
-0.4298
0.0000
-0.0121
0.0833
0.0000
-0.5356
0.0909
0.1187
0.0917
0.1795
0.2037
-0.0990
0.0343
-0.0455
-0.0168
-0.0870
-0.1430
-0.4396
0.2322
-0.1111
-0.0354
0.0000
-0.1455
0.5098
-0.1308
-0.0536
0.1156
0.1984
0.3191
0.0649
0.2611
0.0566
0.2013
0.0397
0.0806
0.8049
0.2632
0.0357
0.1126
-0.0510
0.0075
0.3243
0.1556
0.0690
0.0574
0.0067
0.0618
-0.0510
0.1729
0.1613
0.1463
0.2813
0.0709
0.5408
0.2311
0.2222
0.0079
-0.0615
0.1258
0.0357
0.0290
-0.0114
0.0538
0.0298
0.0882
0.1121
0.1061
0.1839
-0.0405
-0.0289
-0.0108
-0.2636
-0.0529
-0.1359
0.0203
0.0714
0.0580
-0.0105
0.0335
-0.0112

BI Rate
Rmrf
0.008125
-0.0095
0.008125
0.0669
0.008125
0.0988
0.008125
-0.0999
0.008125
-0.0230
0.008125
0.0235
0.008125
0.0508
0.008125
0.0641
0.008125
0.0232
0.008125
0.0780
0.008125
0.0422
0.006667
-0.0334
0.006667
-0.0159
0.006667
0.0450
0.006667
0.0852
0.006667
0.0359
0.006667
0.0197
0.006667
0.0912
0.006667
-0.0724
0.006667
0.0685
0.006667
0.1138
0.006667
0.0103
0.006667
0.0147
0.007733
-0.0509
0.007733
0.0283
0.007733
-0.1086
0.007733
-0.0661
0.007733
0.0529
0.007733
-0.0467
0.007292
-0.0263
0.0075
-0.0676
0.007708
-0.1617
0.007917
-0.3221
0.007917
-0.0200
0.007708
0.0840
0.007292
-0.0241
0.006875
-0.0423
0.006458
0.1091
0.00625
0.1951
0.006042
0.1066
0.005833
0.0515
0.005625
0.1406
0.005417
0.0025
0.005417
0.0484
0.005417
-0.0459
0.005417
0.0149

12/1/2009
1/4/2010
2/1/2010
3/1/2010
4/1/2010
5/3/2010
6/1/2010
7/1/2010
8/2/2010
9/1/2010

0.0491
0.0302
-0.0237
0.0896
0.0698
-0.0587
0.0417
0.0534
0.0041
0.0173

0.0531
-0.0106
-0.1123
-0.0301
-0.0248
-0.0127
-0.0065
0.0974
0.0237
0.0405
0.714291
0.010582
0.0137

0.0104
0.0309
-0.0250
0.1282
-0.0091
0.0183
0.0858
0.0000
-0.0252
0.0431
-0.00255

0.0319
0.0206
-0.0909
0.0000
0.0556
-0.1474
-0.0716
-0.0701
-0.0349
0.0241

0.0726
0.0360
0.0083
0.1559
0.1253
-0.0848
0.1194
0.0497
-0.0611
0.1239

0.0000
0.3977
-0.1870
0.2400
-0.0114
-0.0094
0.0733
-0.0323
0.0222
0.0109
0.117028

0.005417
0.005417
0.005417
0.005417
0.005417
0.005417
0.005417
0.005417
0.005417
0.005417

0.0436
0.0247
-0.0291
0.0841
0.0644
-0.0641
0.0363
0.0480
-0.0013
0.0119
0.0134

tlkmrf
bccarf
bumirf
asiirf
mpparf
-0.0240
-0.0150
-0.0199
-0.0658
-0.1587
0.1048
0.1516
0.0514
0.1602
0.3083
0.0861
0.0398
0.0144
0.0355
-0.0518
-0.0743
-0.0710
-0.0960
-0.1880
-0.2659
0.0344
0.0378
-0.0688
0.0258
0.0336
0.0364
0.0102
0.0698
-0.0235
0.0852
0.0523
0.0817
-0.1045
0.1481
-0.0813
0.0615
0.0523
-0.0215
0.1135
0.0840
-0.0140
-0.0444
0.0324
0.0803
-0.1286
0.1704
0.1317
0.0438
0.1822
0.0056
0.0121
-0.0270
0.1030
-0.0238
0.0729
-0.0710
-0.0259
0.1933
-0.0608
-0.1192
-0.0649
-0.0410
0.1137
-0.0605
-0.0207
0.1001
0.0289
0.0925
-0.0672
-0.0209
0.0593
0.0325
0.0309
0.0842
0.0223
-0.0971
-0.0161
0.2614
0.1322
0.0788
0.0247
0.0776
0.3245
0.0424
0.0591
0.1565
0.1493
0.1801
0.1028
-0.0437
-0.0379
-0.0543
-0.0489
-0.0547
0.0190
0.0072
0.0183
0.3953
0.0718
-0.0442
-0.0294
0.1803
0.3360
0.3313
-0.0326
-0.0581
-0.0189
0.1704
-0.0301
-0.1400
-0.0067
0.0215
0.0553
0.0853
0.0549
-0.0964
-0.0351
0.0589
-0.0096
-0.1816
0.0517
-0.0007
0.1954
0.0143
0.0624
-0.0230
-0.0986
-0.2025
-0.1370
-0.0405
-0.0906
-0.0847
0.0648
-0.1830
-0.0400
-0.0925
-0.0827
0.2028
0.0423
-0.0613
-0.1065
-0.0937
0.0109
-0.0911
-0.0077
0.0917
0.2149
-0.1782
0.1641
0.0682
0.0315
0.0421
-0.1927
-0.0851
-0.0250
-0.1140
-0.0156
-0.4259
-0.1856
0.0458
-0.2410
-0.1508
-0.3282
-0.4377
-0.0079
0.0754
-0.0079
-0.5435
0.0830
0.1107
0.1718
0.1960
-0.1067
0.0266
-0.0532
-0.0942
-0.1503
-0.4469
0.2249
-0.1184
-0.0069
-0.1523
0.5029
-0.1376
-0.0605
0.1920
0.3127
0.0585
0.2546
0.0502
0.0335
0.0744
0.7986
0.2569
0.0295
-0.0570
0.0014
0.3183
0.1495
0.0629
0.0009
0.0560
-0.0569
0.1671
0.1555
0.2757
0.0653
0.5352
0.2255
0.2166
-0.0669
0.1204
0.0303
0.0236
-0.0168
0.0243
0.0828
0.1067
0.1007
0.1785
-0.0343
-0.0162
-0.2690
-0.0583
-0.1413
0.0660
0.0526
-0.0159
0.0281
-0.0166

0.0176
-0.0588
-0.0907
0.1080
0.0311
-0.0153
-0.0426
-0.0560
-0.0150
-0.0699
-0.0341
0.0401
0.0226
-0.0383
-0.0786
-0.0293
-0.0130
-0.0845
0.0790
-0.0618
-0.1072
-0.0036
-0.0081
0.0587
-0.0206
0.1164
0.0738
-0.0452
0.0544
0.0336
0.0751
0.1694
0.3301
0.0279
-0.0763
0.0314
0.0492
-0.1027
-0.1888
-0.1006
-0.0457
-0.1350
0.0030
-0.0430
0.0513
-0.0095

0.0081

0.0476
-0.0160
-0.1177
-0.0355
-0.0303
-0.0182
-0.0119
0.0920
0.0183
0.0350

0.0050
0.0255
-0.0304
0.1228
-0.0145
0.0129
0.0803
-0.0054
-0.0306
0.0377

0.0265
0.0152
-0.0963
-0.0054
0.0501
-0.1528
-0.0770
-0.0755
-0.0403
0.0187

0.0672
0.0306
0.0029
0.1504
0.1199
-0.0903
0.1139
0.0443
-0.0666
0.1185

-0.0054
0.3923
-0.1924
0.2346
-0.0168
-0.0148
0.0679
-0.0377
0.0168
0.0055

-0.0382
-0.0193
0.0345
-0.0787
-0.0590
0.0695
-0.0309
-0.0426
0.0067
-0.0065
-0.0134

Risk Parameters of the Investable Universe

SD of Excess
return
JKSE
AUTO
BBRI
MTDL
ASRI
MAIN
PTBA

SD of Systematic
Components

Beta
0.05
0.18
0.09
0.15
0.13
0.29

0.05
0.07
0.06
0.07
0.08
-0.02
0.06

1
1.56
1.35
1.47
1.79
-0.38
1.27

0.09

SD of Residuals
0.000
0.162
0.064
0.130
0.102
0.288
0.075

The Index Model Covariance Matrix

JKSE
Beta
JKSE
AUTO
BBRI
MTDL
ASRI
MAIN
PTBA

AUTO
1.00

1.00
1.56
1.35
1.47
1.79
-0.38
1.27

BBRI
1.56
0.0033
0.031
0.0047
0.0071
0.0086
-0.0058
0.0025

0.0021
0.0033
0.0028
0.0031
0.0038
-0.0008
0.0027

1.35
0.0028
0.0047
0.0078
0.0031
0.006
-0.0016
0.0029

Macro Forecast and Forecasts of Alpha Value

JKSE
Alpha
Risk Prenium
Beta
Expected return

AUTO
BBRI
MTDL
0.026945387
-0.002764107
0.007484122
0
0.01035
0.0161724
0.0139347
0.0150765
1.00
1.57
1.35
1.46
0.0152
0.0479
0.016
0.0275

Computation of the Optimal Risky Portfolio

JKSE

Active Pf A

s (e)
a/s2(e)
0
W (i)
[W0(i)]2
aA

AUTO

BBRI
0.0264

0.0041

3.6955

1.0209

-0.6770

1.0000

0.2763

-0.1832

0.0763

0.0336

0.0441

0.0074

0.0005

A
s2(eA)

1.2372

0.4324

-0.2466

0.0078

0.0020

0.0001

W0

1.1477
0.4358

-0.2890

W
Beta* (see fn)
Risk premium*

-0.5775
1
0.010

1.5775
1.2374
0.0570

SD
Sharpe Ratio
Expected Return

0.0463
0.2235

0.0111
5.1363

Correlation with
JKSE

JKSE

1.00
0.39
0.71
0.42
0.58
-0.07
0.65
MTDL

0.0152

ASRI
1.47
0.0031
0.0071
0.0031
0.021
0.0085
-0.004
0.0027

ASRI
0.022655224
0.0185293
1.79
0.046

MTDL

AUTO

MAIN
1.79
0.0038
0.0086
0.006
0.0085
0.0169
0.0005
0.0028

BBRI
0.0479

MTDL
ASRI
0.016
0.0275
0.046

PTBA
-0.38
-0.0008
-0.0058
-0.0016
-0.004
0.0005
0.0814
0.0814

1.27
0.0027
0.0025
0.0029
0.0027
0.0028
0.0814
0.0088

0.002144

-0.09476

MAIN
PTBA
0.079674574 -0.019164872
0.0038886
0.0131904
-0.38
1.27
0.0806
-0.0012

ASRI

MAIN

Overall Pf

PTBA

0.0168

0.0104

0.0827

0.0827

0.4450

2.1753

0.9629

-0.2316

0.1204

0.5886

0.2606

-0.0627

0.0145

0.3465

0.0679

0.0039

0.0009

0.0133

0.0208

0.0012

0.1754

1.0538

-0.0979

-0.0799

0.0002

0.0036

0.0056

0.0000

0.1899

0.9286

0.4110

-0.0989
1.3745
0.0839

Index
AUTO
BBRI

0.0584
1.4369

-0.00878

MTDL
ASRI
MAIN
PTBA
Total

MAIN

PTBA
0.0806
-0.0012

0.006042

*
Weight Calculation W

1-1.5775
1.5775*0.2763
1.5775*-0.1832

-0.5775
0.4358
-0.2890

W*E(r_
0.0152 -0.00878
0.0479 0.020875
0.016 -0.00462

1.5775*0.1204
1.5775*0.5886
1.5775*0.2606
1.5775*-0.0627
Total

0.1899
0.9286
0.4110
-0.0989
1

0.0275 0.005223
0.046 0.042713
-0.0806 -0.03313
-0.0012 0.000119
0.0224