Appendix A Critical Values of F. (Source: Levine, 2004)

REFERENCES Brealey, Richard A., Myers, Stewart C., Allen, Franklin, 2006, Corporate Finance 8 th Edition, New York: The McGraw-Hill Company Budiman, Trimulyati, Private Interview by Aryo Fajar Syaifulloh, Bandung: Juni 6 th, 2007 Fabozzi, Frank J. & Modigliani, Franco, 2003, Capital Markets Institutions and Instruments 3 rd Edition, New Jersey: Prentice Hall Jakarta Stock Exchange, 2007, www.jsx.co.id Levine, David M., Krehbiel, Timothy C., Berenson, Mark L., 2004, Business Statistics a First Course 3 rd Edition, India: Pearson Education Inc. Ross, Stephen A., Westerfield, Randolph W., Jordan, Bradford D., 2003, Fundamentals of Corporate Finance 6 th Edition, New York: The McGraw-Hill Company Sekolah Tinggi Teknologi Telkom, Panduan Praktikum Analisis Data Statistik, unpublished document Walpole, Ronald E., 1995, Pengantar Statistika Edisi ke-3, Jakarta, INA: PT Gramedia Pustaka Utama

52

Appendix A Critical Values of F (Source: Levine, 2004)

Appendix B Member of Index periode feb 04 - jul 04 in/out periode agus 04 - jan 05 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ANTM Aneka Tambang ANTM Aneka Tambang 3 ASGR Astra Graphia Tbk out ASII Astra 4 ASII Astra AUTO Astra Otoparts out 5 AUTO Astra Otoparts BBCA Bank Central Asia 6 BBCA Bank Central Asia BDMN Bank Danamon Tbk in 7 BBNI Bank Negara out BLTA Berlian Laju out 8 BLTA Berlian Laju BNBR Bakrie & Brothers 9 BNBR Bakrie & Brothers BNGA Bank Niaga Tbk in 10 BRPT Barito Pacific BNII Bank International Ind. in 11 BUMI Bumi Resources BRPT Barito Pacific 12 DNKS Dankos BUMI Bumi Resources 13 EPMT Enseval Putra CTRS Ciputra Surya Tbk in 14 GGRM Gudang Garam Tbk DNKS Dankos out 15 GJTL Gajah Tunggal Tbk EPMT Enseval Putra 16 HMSP H M Sampoerna Tbk GGRM Gudang Garam Tbk 17 IDSR Indosiar Visual GJTL Gajah Tunggal Tbk 18 INAF Indofarma Tbk out HMSP H M Sampoerna Tbk 19 INCO International Nickel IDSR Indosiar Visual out 20 INDF Indofood Sukses INCO International Nickel 21 INKP Indah Kiat Pulp & INDF Indofood Sukses 22 INTP Indocement INKP Indah Kiat Pulp & 23 ISAT Indosat Tbk INTP Indocement 24 JIHD Jakarta Int l ISAT Indosat Tbk 25 KAEF Kimia Farma Tbk out JIHD Jakarta Int l 26 KLBF Kalbe Farma Tbk KIJA Kawasan Industri in 27 LMAS Limas Stokhomindo KLBF Kalbe Farma Tbk 28 MEDC Medco Energi out LMAS Limas Stokhomindo out 29 MPPA Matahari Putra LPBN Bank Lippo Tbk in/out 30 NISP Bank NISP Tbk MPPA Matahari Putra out 31 PNBN Bank Pan NISP Bank NISP Tbk out 32 PNIN Panin Insurance PNBN Bank Pan 33 PTBA Tambang Batubara PNIN Panin Insurance out 34 RALS Ramayana Lestari PTBA Tambang Batubara 35 RMBA Bentoel RALS Ramayana Lestari 36 SMCB Semen Cibinong RMBA Bentoel 37 SMGR Semen Gresik SMCB Semen Cibinong 38 SMRA Summarecon Agung SMGR Semen Gresik out 39 TINS Timah Tbk SMRA Summarecon Agung out 40 TKIM Pabrik Kertas TINS Timah Tbk 41 TLKM Telekomunikasi TKIM Pabrik Kertas

Appendix B (Contd.) Member of Index periode feb 04 - jul 04 in/out periode agus 04 - jan 05 in/out No. Code Name Code Name 42 TRST Trias Sentosa Tbk out TLKM Telekomunikasi 43 TSPC Tempo Scan TSPC Tempo Scan out 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever periode feb 05 - jul 05 in/out periode agus 05 - jan 06 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ADHI Adhi Karya in ADHI Adhi Karya 3 ANTM Aneka Tambang ADMG GT Petrochem in 4 ASII Astra ANTM Aneka Tambang 5 BBCA Bank Central Asia ASII Astra 6 BBRI Bank Rakyat in BBCA Bank Central Asia 7 BDMN Bank Danamon Tbk BBRI Bank Rakyat 8 BFIN BFI Finance in/out BDMN Bank Danamon Tbk 9 BMRI Bank Mandiri in BLTA Berlian Laju in 10 BNBR Bakrie & Brothers BMRI Bank Mandiri 11 BNGA Bank Niaga Tbk BNBR Bakrie & Brothers 12 BNII Bank BNGA Bank Niaga Tbk 13 BRPT Barito Pacific BNII Bank 14 BUMI Bumi Resources BNLI Bank Permata Tbk in 15 CTRS Ciputra Surya Tbk out BRPT Barito Pacific out 16 ELTY Bakrieland in/out BUMI Bumi Resources 17 ENRG Energi Mega in CMNP Citra Marga in 18 EPMT Enseval Putra out ENRG Energi Mega 19 GGRM Gudang Garam Tbk GGRM Gudang Garam Tbk 20 GJTL Gajah Tunggal Tbk GJTL Gajah Tunggal Tbk 21 HMSP H M Sampoerna Tbk out INCO International 22 INCO International INDF Indofood Sukses 23 INDF Indofood Sukses INKP Indah Kiat Pulp & 24 INKP Indah Kiat Pulp & INTP Indocement 25 INTP Indocement ISAT Indosat Tbk 26 ISAT Indosat Tbk JIHD Jakarta Int l 27 JIHD Jakarta Int l KIJA Kawasan Industri 28 KIJA Kawasan Industri KLBF Kalbe Farma Tbk 29 KLBF Kalbe Farma Tbk LPBN Bank Lippo Tbk in 30 LSIP PP London in LSIP PP London 31 MEDC Medco Energi in MEDC Medco Energi 32 PGAS Perusahaan Gas in PGAS Perusahaan Gas

Appendix B (Contd.) Member of Index periode feb 05 - jul 05 in/out periode agus 05 - jan 06 in/out No. Code Name Code Name 33 PLAS Palm Asia Corpora in PLAS Palm Asia Corpora 34 PNBN Bank Pan PNBN Bank Pan 35 PTBA Tambang Batubara PNLF Panin Life Tbk in 36 RALS Ramayana Lestari PTBA Tambang Batubara 37 RMBA Bentoel out RALS Ramayana Lestari out 38 SMCB Semen Cibinong SMCB Semen Cibinong 39 TINS Timah Tbk SMRA Summarecon Agung in 40 TKIM Pabrik Kertas TINS Timah Tbk 41 TLKM Telekomunikasi TKIM Pabrik Kertas 42 TRIM Trimegah in/out TLKM Telekomunikasi 43 UNSP Bakrie Sumatra in UNSP Bakrie Sumatra 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever period feb 06 - jul 06 in/out period agus 06 - jan 07 in/out No. Code Name Code Name 1 AALI Astra Agro AALI Astra Agro 2 ADHI Adhi Karya ADHI Adhi Karya 3 ADMG Polychem ADMG Polychem 4 ANTM Aneka Tambang ANTM Aneka Tambang 5 ASII Astra APOL Arpeni Pratama in 6 BBCA Bank Central Asia ASII Astra 7 BBRI Bank Rakyat BBCA Bank Central Asia 8 BDMN Bank Danamon Tbk BBRI Bank Rakyat 9 BLTA Berlian Laju BDMN Bank Danamon Tbk 10 BMRI Bank Mandiri BLTA Berlian Laju 11 BNBR Bakrie & Brothers BMRI Bank Mandiri 12 BNGA Bank Niaga Tbk BNBR Bakrie & Brothers 13 BNII Bank BNGA Bank Niaga Tbk 14 BNLI Bank Permata Tbk out BNII Bank 15 BUMI Bumi Resources BRPT Barito Pacific in 16 CMNP Citra Marga BTEL Bakrie Telecom in 17 CTRS Ciputra Surya Tbk in BUMI Bumi Resources 18 ENRG Energi Mega CMNP Citra Marga 19 GGRM Gudang Garam Tbk CTRS Ciputra Surya Tbk 20 GJTL Gajah Tunggal Tbk ENRG Energi Mega 21 INCO International GGRM Gudang Garam Tbk 22 INDF Indofood Sukses GJTL Gajah Tunggal Tbk 23 INKP Indah Kiat Pulp & INCO International

Appendix B (Contd.) Member of Index period feb 06 - jul 06 in/out period agus 06 - jan 07 in/out No. Code Name Code Name 24 INTP Indocement INDF Indofood Sukses 25 ISAT Indosat Tbk INKP Indah Kiat Pulp & 26 JIHD Jakarta Int l out INTP Indocement 27 KIJA Kawasan Industri ISAT Indosat Tbk 28 KLBF Kalbe Farma Tbk KIJA Kawasan Industri 29 LPBN Bank Lippo Tbk out KLBF Kalbe Farma Tbk 30 LSIP PP London LPKR Lippo Karawaci in 31 MEDC Medco Energi LSIP PP London 32 MLPL Multipolar Tbk in/out MEDC Medco Energi 33 PGAS Perusahaan Gas MPPA Matahari Putra in 34 PLAS Palm Asia Corpora out PGAS Perusahaan Gas 35 PNBN Bank Pan PNBN Bank Pan 36 PNLF Panin Life Tbk PNLF Panin Life Tbk 37 PTBA Tambang Batubara PTBA Tambang Batubara 38 SMCB Holcim Indonesia RALS Ramayana Lestari in 39 SMRA Summarecon Agung SMCB Holcim Indonesia 40 TINS Timah Tbk out SMRA Summarecon Agung 41 TKIM Pabrik Kertas TKIM Pabrik Kertas 42 TLKM Telekomunikasi TLKM Telekomunikasi 43 UNSP Bakrie Sumatra UNSP Bakrie Sumatra 44 UNTR United Tractors UNTR United Tractors 45 UNVR Unilever UNVR Unilever

Appendix C SBI Rate Appendix C SBI Rate Date Monthly Average Interest Rate Jan-02 17.27521739 Feb-02 16.908 Mar-02 16.81714286 Apr-02 16.68045455 May-02 16.0773913 Jun-02 15.185 Jul-02 15.00652174 Aug-02 14.71454545 Sep-02 13.73 Oct-02 13.07695652 Nov-02 13.08 Dec-02 13.02363636 Jan-03 12.83565217 Feb-03 12.5375 Mar-03 11.64904762 Apr-03 11.28227273 May-03 10.79090909 Jun-03 9.964285714 Jul-03 9.229565217 Aug-03 9.02047619 Sep-03 8.753181818 Oct-03 8.532173913 Nov-03 8.4765 Dec-03 8.410434783 Jan-04 8.119090909 Feb-04 7.6805 Mar-04 7.425217391 Apr-04 7.350909091 May-04 7.320952381 Jun-04 7.334545455 Date Monthly Average Interest Rate Jul-04 7.360909091 Aug-04 7.369090909 Sep-04 7.385454545 Oct-04 7.402380952 Nov-04 7.416818182 Dec-04 7.425652174 Jan-05 7.420952381 Feb-05 7.4245 Mar-05 7.435217391 Apr-05 7.573809524 May-05 7.865909091 Jun-05 8.077272727 Jul-05 8.443809524 Aug-05 8.686086957 Sep-05 9.910909091 Oct-05 10.9047619 Nov-05 11.90909091 Dec-05 12.65909091 Jan-06 12.74681818 Feb-06 12.7425 Mar-06 12.72826087 Apr-06 12.7365 May-06 12.57304348 Jun-06 12.5 Jul-06 12.33333333 Aug-06 11.88043478 Sep-06 11.32142857 Oct-06 10.81818182 Nov-06 10.34090909 Dec-06 9.845238095

Property and Real Estate Sector Year 2003 2004 Month Property and Real Estate (monthly) Appendix D Summary of Beta Calculation and Expected Return using and SBI rate jan -7.808-8.724-10.218 0.063 0.262 12.836 11.470 6.802 feb 1.250 2.771 3.701 0.066 0.273 12.538 11.895 10.129 mar -1.220-0.166-0.473 0.068 0.283 11.649 10.845 8.223 apr 12.243 12.737 15.534 0.070 0.290 11.282 11.384 12.517 mei 18.368 9.453 10.692 0.070 0.290 10.791 10.697 10.762 jun 1.154 2.298 2.586 0.069 0.284 9.964 9.432 7.866 jul 12.642 0.588-1.527 0.070 0.285 9.230 8.625 6.169 agust 15.442 4.306 2.366 0.070 0.283 9.020 8.691 7.140 sept 18.667 12.318 15.618 0.074 0.299 8.753 9.016 10.806 okt -7.519 4.684 4.349 0.085 0.348 8.532 8.206 7.076 nov 0.975-1.290-1.329 0.091 0.378 8.477 7.590 4.769 des -1.578 11.542 11.359 0.090 0.377 8.410 8.693 9.523 jan 12.310 8.705 8.326 0.087 0.366 8.119 8.170 8.195 feb 0.439 1.229 0.577 0.077 0.332 7.681 7.184 5.323 mar -9.277-3.204-3.080 0.073 0.319 7.425 6.649 4.069 apr 19.184 6.490 6.771 0.069 0.306 7.351 7.291 7.173 mei -14.155-5.960-6.077 0.068 0.304 7.321 6.413 3.250

Property and Real Estate Sector Year 2004 2005 Month Property and Real Estate (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun 1.641 0.120 0.905 0.068 0.302 7.335 6.847 5.394 jul 21.225 3.418 3.102 0.067 0.299 7.361 7.098 6.089 agust 0.741-0.233-0.777 0.068 0.304 7.369 6.852 4.893 sept 6.350 8.408 8.109 0.071 0.316 7.385 7.458 7.614 okt 2.959 4.937 5.552 0.073 0.326 7.402 7.223 6.798 nov 9.209 12.882 13.558 0.074 0.334 7.417 7.823 9.469 des 1.990 2.416 1.603 0.075 0.336 7.426 7.052 5.471 jan 7.840 4.490 4.880 0.075 0.337 7.421 7.202 6.565 feb 3.374 2.732 2.383 0.075 0.338 7.425 7.074 5.721 mar 10.759-0.663-1.183 0.075 0.340 7.435 6.827 4.503 apr -9.844-4.634-4.507 0.078 0.354 7.574 6.624 3.301 mei 1.993 5.624 6.477 0.079 0.359 7.866 7.689 7.367 jun 0.697 3.145 3.691 0.079 0.362 8.077 7.686 6.491 jul 0.200 5.264 5.724 0.079 0.359 8.444 8.193 7.467 agust -21.757-11.423-11.828 0.078 0.354 8.686 7.117 1.415 sept 0.197 2.990 2.588 0.077 0.348 9.911 9.380 7.360 okt -3.063-1.158-3.354 0.075 0.341 10.905 9.998 6.039

Property and Real Estate Sector Year 2005 2006 Month Property and Real Estate (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov -0.369 2.894 4.195 0.073 0.334 11.909 11.248 9.335 des 5.606 5.944 7.062 0.072 0.329 12.659 12.175 10.818 jan 9.639 6.011 6.822 0.070 0.320 12.747 12.275 10.853 feb 1.247-0.067-0.351 0.068 0.310 12.743 11.869 8.679 mar 10.719 7.360 8.046 0.067 0.303 12.728 12.370 11.309 apr 11.656 10.267 10.685 0.065 0.297 12.737 12.575 12.127 mei -8.168-8.965-9.245 0.064 0.292 12.573 11.184 6.212 jun -4.690-1.070-0.917 0.064 0.289 12.500 11.631 8.627 jul 0.155 2.162 2.120 0.063 0.286 12.333 11.689 9.417 agust -0.916 5.399 5.753 0.063 0.282 11.880 11.474 10.154 sept 5.971 7.052 5.866 0.062 0.276 11.321 11.059 9.815 okt 7.630 3.104 2.780 0.060 0.269 10.818 10.355 8.653 nov 14.245 8.378 8.753 0.059 0.266 10.341 10.225 9.918 des 17.145 5.041 4.351 0.059 0.265 9.845 9.563 8.391

Finance Sector Year 2003 2004 Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jan -7.868-8.724-10.218 0.106 0.445 12.836 10.559 2.578 feb 4.356 2.771 3.701 0.100 0.423 12.538 11.566 8.800 mar -5.234-0.166-0.473 0.094 0.404 11.649 10.537 6.751 apr 10.111 12.737 15.534 0.091 0.394 11.282 11.415 12.959 mei 6.830 9.453 10.692 0.091 0.394 10.791 10.669 10.752 jun 7.879 2.298 2.586 0.092 0.394 9.964 9.260 7.054 jul 5.007 0.588-1.527 0.096 0.409 9.230 8.398 4.825 agust 6.727 4.306 2.366 0.104 0.439 9.020 8.530 6.097 sept 6.633 12.318 15.618 0.110 0.464 8.753 9.146 11.941 okt 4.093 4.684 4.349 0.116 0.492 8.532 8.086 6.474 nov 0.750-1.290-1.329 0.120 0.512 8.477 7.300 3.451 des 6.932 11.542 11.359 0.122 0.520 8.410 8.793 9.944 jan 16.877 8.705 8.326 0.122 0.526 8.119 8.191 8.228 feb 2.794 1.229 0.577 0.126 0.545 7.681 6.869 3.810 mar -0.730-3.204-3.080 0.131 0.572 7.425 6.037 1.417 apr 6.933 6.490 6.771 0.135 0.595 7.351 7.235 7.006 mei -7.367-5.960-6.077 0.137 0.609 7.321 5.495-0.844

Finance Sector Year 2004 2005 Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun -2.682 0.120 0.905 0.139 0.618 7.335 6.333 3.364 jul 3.504 3.418 3.102 0.139 0.620 7.361 6.812 4.720 agust 0.772-0.233-0.777 0.139 0.618 7.369 6.315 2.337 sept 11.417 8.408 8.109 0.139 0.620 7.385 7.527 7.834 okt 5.181 4.937 5.552 0.139 0.624 7.402 7.059 6.247 nov 15.511 12.882 13.558 0.140 0.630 7.417 8.183 11.283 des 4.613 2.416 1.603 0.141 0.634 7.426 6.720 3.734 jan -0.748 4.490 4.880 0.142 0.642 7.421 7.004 5.790 feb 7.171 2.732 2.383 0.142 0.642 7.425 6.757 4.186 mar -4.542-0.663-1.183 0.142 0.644 7.435 6.284 1.887 apr -6.342-4.634-4.507 0.142 0.646 7.574 5.840-0.229 mei 5.731 5.624 6.477 0.141 0.643 7.866 7.550 6.973 jun 0.513 3.145 3.691 0.141 0.642 8.077 7.383 5.263 jul 6.375 5.264 5.724 0.139 0.634 8.444 8.001 6.720 agust -14.716-11.423-11.828 0.138 0.625 8.686 5.919-4.143 sept 2.053 2.990 2.588 0.137 0.620 9.911 8.966 5.372 okt -7.728-1.158-3.354 0.136 0.616 10.905 9.269 2.125

Finance Sector Year 2005 2006 Month Finance (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov 1.791 2.894 4.195 0.134 0.608 11.909 10.704 7.217 des 8.833 5.944 7.062 0.132 0.602 12.659 11.772 9.287 jan 5.579 6.011 6.822 0.130 0.594 12.747 11.870 9.230 feb -4.751-0.067-0.351 0.128 0.584 12.743 11.099 5.093 mar 9.860 7.360 8.046 0.126 0.573 12.728 12.051 10.044 apr 10.584 10.267 10.685 0.124 0.562 12.737 12.431 11.584 mei -9.667-8.965-9.245 0.122 0.553 12.573 9.940 0.512 jun -1.450-1.070-0.917 0.120 0.541 12.500 10.872 5.245 jul 1.891 2.162 2.120 0.119 0.534 12.333 11.127 6.876 agust 8.011 5.399 5.753 0.117 0.528 11.880 11.120 8.646 sept 12.503 7.052 5.866 0.116 0.522 11.321 10.825 8.473 okt 4.714 3.104 2.780 0.116 0.520 10.818 9.925 6.642 nov 8.053 8.378 8.753 0.116 0.522 10.341 10.113 9.513 des 1.274 5.041 4.351 0.117 0.525 9.845 9.285 6.964

Miscellaneous Sector Year 2003 2004 Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jan -9.481-8.724-10.218 0.173 0.722 12.836 9.104-3.816 feb 5.067 2.771 3.701 0.165 0.694 12.538 10.925 6.401 mar 4.075-0.166-0.473 0.159 0.676 11.649 9.766 3.458 apr 9.676 12.737 15.534 0.154 0.658 11.282 11.507 14.079 mei 8.169 9.453 10.692 0.153 0.656 10.791 10.587 10.726 jun -0.538 2.298 2.586 0.157 0.677 9.964 8.758 4.969 jul 2.625 0.588-1.527 0.166 0.706 9.230 7.798 1.631 agust 1.953 4.306 2.366 0.174 0.737 9.020 8.199 4.114 sept 11.764 12.318 15.618 0.179 0.759 8.753 9.391 13.966 okt 0.486 4.684 4.349 0.185 0.788 8.532 7.821 5.234 nov -4.299-1.290-1.329 0.184 0.787 8.477 6.678 0.759 des 8.028 11.542 11.359 0.182 0.780 8.410 8.981 10.711 jan 3.917 8.705 8.326 0.173 0.748 8.119 8.220 8.274 feb 1.822 1.229 0.577 0.162 0.707 7.681 6.636 2.659 mar -2.217-3.204-3.080 0.154 0.680 7.425 5.793 0.286 apr 5.340 6.490 6.771 0.150 0.668 7.351 7.222 6.963 mei 0.662-5.960-6.077 0.146 0.654 7.321 5.381-1.448

Miscellaneous Sector Year 2004 2005 Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate jun -3.953 0.120 0.905 0.147 0.660 7.335 6.274 3.091 jul 1.120 3.418 3.102 0.148 0.664 7.361 6.779 4.534 agust 8.488-0.233-0.777 0.146 0.656 7.369 6.259 2.024 sept 5.781 8.408 8.109 0.146 0.659 7.385 7.535 7.862 okt 9.573 4.937 5.552 0.149 0.670 7.402 7.036 6.163 nov 11.804 12.882 13.558 0.154 0.696 7.417 8.259 11.690 des 3.852 2.416 1.603 0.158 0.715 7.426 6.634 3.265 jan 5.235 4.490 4.880 0.165 0.746 7.421 6.937 5.525 feb 7.929 2.732 2.383 0.170 0.770 7.425 6.627 3.544 mar -1.058-0.663-1.183 0.176 0.798 7.435 6.009 0.554 apr -1.346-4.634-4.507 0.181 0.823 7.574 5.367-2.364 mei 8.930 5.624 6.477 0.185 0.845 7.866 7.450 6.692 jun 7.123 3.145 3.691 0.190 0.866 8.077 7.141 4.279 jul 3.161 5.264 5.724 0.198 0.902 8.444 7.815 5.992 agust -19.567-11.423-11.828 0.203 0.923 8.686 4.608-10.241 sept -2.107 2.990 2.588 0.204 0.928 9.911 8.498 3.117 okt -3.233-1.158-3.354 0.204 0.926 10.905 8.446-2.305

Miscellaneous Sector Year 2005 2006 Month Miscellaneous (monthly) Appendix D (Contd.) Summary of Beta Calculation and Expected Return using and SBI rate nov -1.751 2.894 4.195 0.202 0.918 11.909 10.092 4.825 des 5.702 5.944 7.062 0.200 0.913 12.659 11.317 7.549 jan 2.356 6.011 6.822 0.197 0.902 12.747 11.417 7.405 feb -4.000-0.067-0.351 0.194 0.883 12.743 10.259 1.175 mar 10.352 7.360 8.046 0.189 0.860 12.728 11.713 8.701 apr 5.375 10.267 10.685 0.184 0.837 12.737 12.281 11.019 mei -16.228-8.965-9.245 0.180 0.813 12.573 8.700-5.164 jun -0.965-1.070-0.917 0.173 0.779 12.500 10.154 2.052 jul -0.444 2.162 2.120 0.168 0.755 12.333 10.627 4.620 agust 12.178 5.399 5.753 0.163 0.734 11.880 10.822 7.384 sept 9.788 7.052 5.866 0.160 0.716 11.321 10.640 7.417 okt 5.876 3.104 2.780 0.157 0.702 10.818 9.610 5.179 nov 13.914 8.378 8.753 0.155 0.694 10.341 10.037 9.239 des 0.157 5.041 4.351 0.153 0.688 9.845 9.109 6.063

Property and Real Estate Sector Appendix E F-Test, Variance Calculation d d Variance d Variance d -0.6941-0.9978 0.8098 0.4082-16.0529-15.2039 1.2474 1.5041-9.8595-8.1281 0.0922 0.0884-5.7844-4.8191 0.0536 0.0188-15.6842-13.0592 1.1415 0.8927-18.9314-15.5384 2.2345 1.6138-21.9460-18.1552 3.5746 2.6048-17.9413-14.5505 1.8627 1.3010-18.0427-14.6408 1.8992 1.3282-23.4530-18.3708 4.3619 2.6970-6.7948-5.7416 0.0098 0.0003-4.1440-3.6469 0.1997 0.0847-20.1943-15.5266 2.7577 1.6099-9.1239-7.3580 0.0429 0.0385-11.0106-8.3889 0.2068 0.1099 1.3528 0.2196 1.3657 0.6380-1.2441-1.3094 0.6850 0.3576-7.1341-5.5684 0.0029 0.0015-8.0362-5.5807 0.0041 0.0014-4.3850-2.8343 0.1724 0.1582 3.3016 1.5118 2.0293 0.9379-3.5223-2.3923 0.2793 0.2078-8.8795-6.0584 0.0306 0.0007 2.8489 2.0185 1.8635 1.0712 0.5348 0.5096 1.1262 0.7003-5.9545-4.0941 0.0437 0.0540-9.8531-7.2732 0.0917 0.0343-0.8010-0.6829 0.7847 0.4628-12.3734-9.2099 0.4016 0.1931-6.7269-5.2738 0.0116 0.0060-3.6801-2.6713 0.2578 0.1757-7.0851-5.1257 0.0037 0.0094 0.9502 0.7938 1.2449 0.7642-2.2858-1.8610 0.4773 0.2762 5.0592 3.4129 2.7400 1.4837-4.6365-3.0551 0.1461 0.1360-2.7117-2.0744 0.4031 0.2476-4.3414-2.9887 0.1772 0.1425-7.4900-5.1657 0.0001 0.0084-11.2577-7.9349 0.2374 0.0740-2.0650-1.7427 0.5182 0.2928-4.5407-3.3460 0.1558 0.1093-2.9288-2.2029 0.3678 0.2311-18.5397-12.8377 2.0833 0.8386-6.3896-4.3702 0.0231 0.0385-11.1560-7.1972 0.2245 0.0307-8.3544-6.4415 0.0112 0.0058

Property and Real Estate Sector Appendix E (Contd.) F-Test, Variance Calculation d d Variance d Variance d -6.2309-4.8742 0.3727 0.2323-6.2635-4.8415 0.3780 0.2282-11.9368-8.7468 1.8489 0.9811-5.0099-3.9482 0.2027 0.1299-2.3078-1.8601 0.0091 0.0074-20.1489-15.1768 5.9440 3.3664-12.7010-9.6966 2.1318 1.2437-9.5268-7.2555 1.0884 0.6315-6.0755-4.7548 0.3482 0.2174-4.0064-2.7621 0.1014 0.0419-7.2511-5.5491 0.5542 0.3256-1.8463-1.5396 0.0012 0.0019-1.5814-1.2035 12.9805 7.4074 F 1.7524 Finance Sector d d Variance d Variance d -0.6629-1.7677 0.6949 0.0584-15.1524-11.9497 1.1426 1.1999-9.2851-6.1628 0.0891 0.1126-5.1230-2.4616 0.0615 0.0226-13.6951-5.2749 0.7702 0.0479-16.4756-5.4962 1.5443 0.0615-19.1891-7.2303 2.5568 0.2263-15.9167-6.1154 1.3673 0.1084-16.4579-8.3261 1.5385 0.3839-22.0232-11.8994 3.8853 1.1855-6.4507-4.5465 0.0054 0.0152-3.9570-3.1028 0.1609 0.0044-19.2833-11.3028 2.5965 1.0210-8.7946-6.0291 0.0548 0.1011-10.7025-6.9166 0.2349 0.1888 1.3213-0.2223 1.1972 0.1976-1.2159-1.2992 0.5791 0.0919-6.9620-4.7559 0.0000 0.0227-7.8097-4.2366 0.0110 0.0068-4.2242-1.7908 0.1340 0.0569 3.1720 0.3769 1.7880 0.2737-3.4021-1.7906 0.2246 0.0569-8.5895-4.7409 0.0429 0.0221

Appendix E (Contd.) F-Test, Variance Calculation Finance Sector d d Variance d Variance d 2.7491 1.5978 0.6599 0.1789 0.5137 0.4766 0.2692 0.0761-5.6403-2.5808 0.0837 0.0158-9.2410-4.6210 0.5807 0.1549-0.7445-0.5154 0.1250 0.0212-11.4550-5.1163 1.1083 0.2103-6.2129-3.2442 0.1328 0.0453-3.3946-1.3022 0.0000 0.0018-6.5477-2.5698 0.1668 0.0154 0.8804 0.5739 0.3214 0.0833-2.1215-1.3098 0.0299 0.0017 4.6995 1.5990 1.1415 0.1791-4.3042-1.3187 0.0130 0.0016-2.5133-1.2997 0.0147 0.0018-4.0248-1.4539 0.0060 0.0005-6.9467-2.5498 0.2123 0.0148-10.4734-4.4044 0.8536 0.1333-1.9258-1.3493 0.0394 0.0013-4.2381-2.1176 0.0111 0.0042-2.7372-1.4558 0.0085 0.0005-17.3414-7.2796 3.3332 0.5515-5.9760-2.3818 0.1111 0.0099-10.4272-3.2834 0.8424 0.0475-7.8107-4.3230 0.3298 0.1256-5.8281-3.3425 0.0985 0.0509-5.8590-3.2182 0.1011 0.0438-11.1665-5.1601 1.0300 0.2156-4.6911-2.6835 0.0271 0.0194-2.1639-1.3174 0.0280 0.0016-18.9052-9.4771 4.1251 1.0634-11.9424-6.3152 1.2472 0.3795-8.9649-4.7140 0.5268 0.1647-5.7210-3.2470 0.0899 0.0454-3.7728-1.4206 0.0019 0.0007-6.8213-3.5385 0.1974 0.0632-1.7349-1.1343 0.0500 0.0041-3.4374-1.6237 17.9170 3.9287 F 4.5606

Appendix E (Contd.) F-Test, Variance Calculation Mining Sector d d Variance d Variance d -0.6351-2.4413 0.2432 1.8504-14.9731-11.3226 1.9308 6.3831-9.6163-7.2297 0.4708 3.9564-5.3856-3.4030 0.0171 2.2100-14.3704-7.9508 1.7171 4.3420-17.9331-11.5027 3.1619 6.5032-20.4046-12.2002 4.4214 6.9787-15.9439-6.5935 2.3012 3.6310-15.2792-4.1849 2.0440 2.5258-18.5715 2.7371 3.4670 0.4629-5.1831-0.4072 0.0108 1.1951-3.1314-0.8768 0.0273 1.3338-15.2600 5.9759 2.0368 0.0651-6.9712 0.6446 0.1148 0.9122-8.5895 1.9293 0.3039 0.6185 1.0775-3.1506 0.5156 2.1125-0.9930-1.2318 0.1991 1.4436-5.6992 0.1921 0.0295 1.0293-6.5473 2.0060 0.0802 0.6027-3.6498 1.3624 0.0095 0.7411 2.7252-2.9955 0.8731 2.0537-2.8125 0.7791 0.0430 0.8788-6.5292 3.7676 0.0788 0.2971 1.9768-1.4160 0.6991 1.5023 0.3160 0.1845 0.3820 1.0313-2.9121 10.1968 0.0377 0.0895-4.1771 16.9392 0.0008 1.4030-0.2978 0.7942 0.2889 0.8751-4.4565 25.8061 0.0001 5.5166-2.4763 11.4178 0.0632 0.2111-1.3345 8.5222 0.1611 0.0063-2.4814 16.6860 0.0629 1.3253 0.3231-1.1740 0.3831 1.4254-0.7483 3.2736 0.2288 0.3720 1.5267-14.3100 0.6038 8.5191-1.3804 13.8834 0.1563 0.6134-0.8169 5.2978 0.2202 0.1184-1.2885 11.7640 0.1659 0.2550-2.1854 20.3052 0.0839 2.6453-3.2684 27.9077 0.0217 6.8891-0.6001 2.3816 0.2478 0.5286-1.3161 9.7005 0.1630 0.0547-0.8345 5.9382 0.2181 0.0676-5.2628 48.6176 0.0131 28.5588-1.8036 17.6332 0.1154 1.6271

Appendix E (Contd.) F-Test, Variance Calculation Mining Sector d d Variance d Variance d -3.0445 36.2818 0.1096 17.0928-2.2115 17.4332 0.0491 2.7536-1.6448 12.5184 0.0217 1.0283-1.6821 13.4934 0.0231 1.3043-3.2615 31.5410 0.1292 12.3330-1.3709 10.4586 0.0124 0.5529-0.6222 4.4860 0.0002 0.0017-5.4491 52.1138 0.4183 38.6037-3.4767 31.4070 0.1504 12.2098-2.6299 23.9380 0.0765 6.3178-1.6769 13.9562 0.0229 1.4468-1.1250 13.7801 0.0062 1.3917-2.1281 18.4119 0.0444 3.1966-0.5650 3.1219 0.0000 0.0483-0.5235 4.7956 1.0641 98.2813 F 0.0108 Miscellaneous Sector d d Variance d Variance d -0.6276-2.6270 0.6198 0.0074-13.8628-7.3096 0.9037 0.4909-9.2781-5.9951 0.1215 0.2788-5.1448-2.5289 0.0377 0.0053-13.3657-4.0121 0.7838 0.0717-15.7781-2.6597 1.4451 0.0081-18.4680-4.3748 2.4190 0.0994-15.1860-3.1305 1.2642 0.0231-15.5166-4.7043 1.3637 0.1286-20.3663-4.6819 3.2565 0.1265-5.9590-2.9072 0.0076 0.0150-3.6585-2.2790 0.1515 0.0016-17.8285-4.9083 2.1649 0.1485-8.1543-3.6301 0.0404 0.0473-9.9316-3.6238 0.1887 0.0470 1.2298-1.3420 1.0632 0.0069-1.1336-1.2733 0.5196 0.0085-6.4602-2.6717 0.0005 0.0084-7.2099-1.0422 0.0059 0.0150-3.8931 0.1922 0.1285 0.0809 2.9261-1.6489 1.5722 0.0018-3.1370-0.5507 0.2095 0.0349-7.9677-2.0484 0.0312 0.0001

Appendix E (Contd.) F-Test, Variance Calculation Miscellaneous Sector d d Variance d Variance d 2.5608 0.8310 0.5830 0.0454 0.4840 0.4306 0.2409 0.0257-5.4074-1.4301 0.0799 0.0070-8.9970-3.4904 0.5686 0.1256-0.7318-0.4731 0.1097 0.0017-11.3407-4.5124 1.1275 0.2387-6.1545-2.9708 0.1450 0.0819-3.3614-1.1166 0.0002 0.0018-6.4916-2.2573 0.1807 0.0371 0.8726 0.5457 0.2936 0.0308-2.0989-1.2255 0.0230 0.0033 4.6232 1.1926 1.0699 0.0679-4.2177-0.8492 0.0160 0.0001-2.4470-1.0344 0.0112 0.0010-3.8945-0.8124 0.0071 0.0000-6.6724-1.2171 0.2015 0.0031-10.0005-2.2694 0.7847 0.0377-1.8264-1.0686 0.0351 0.0013-3.9955-1.1337 0.0095 0.0020-2.5506-0.7277 0.0085 0.0001-16.0309-1.1818 2.8146 0.0026-5.5083-0.1264 0.0876 0.0076-9.6048 1.1469 0.6954 0.0648-7.1984-1.9311 0.2682 0.0224-5.3723-1.6048 0.0774 0.0114-5.4053-1.3935 0.0798 0.0063-10.3263-1.2423 0.8624 0.0035-4.3530-1.3404 0.0208 0.0052-2.0141-0.7522 0.0265 0.0000-17.6654-3.8006 3.5808 0.1561-11.2243-3.1218 1.0953 0.0937-8.4646-2.4577 0.4681 0.0479-5.4230-1.9849 0.0811 0.0246-3.5878-0.3648 0.0019 0.0031-6.5065-2.0749 0.1824 0.0284-1.6593-0.8606 0.0439 0.0001-3.2541-0.7912 15.8818 1.1900 F 13.3462