session 7 risk and return & portofolio
TRANSCRIPT
![Page 1: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/1.jpg)
![Page 2: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/2.jpg)
• Investor’s view of risk
–Risk Averse–Risk Neutral–Risk Seeking
![Page 3: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/3.jpg)
• Hukum dasar dalam Investasi :
“Semakin tinggi tingkat keuntungan investasi, maka risikonya semakin tinggi”
![Page 4: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/4.jpg)
Kondisi Yang Tidak Pasti (Probabilistik)
Keputusan Investasi
Keputusan Dividen(Dividen Policy)
Keputusan Pendanaan(Financing Decision)
Keputusan Investasi(Investement Decision)
![Page 5: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/5.jpg)
MENGUKUR RISIKO & RETURN
EXPECTED RETURNUKURAN RETURN :
?DEVIASI STANDARUKURAN RISIKO :
![Page 6: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/6.jpg)
Dominance Principle
1
2 3
4
Expected Return
Risk
• 2 dominates 1; has a higher return• 2 dominates 3; has a lower risk• 4 dominates 3; has a higher return
![Page 7: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/7.jpg)
Risk and Rates of ReturnRisk and Rates of Return
• Expected Return CalculationExampleExampleYou are evaluating ASII’s common stock. You estimate the following returns given different states of the economy
State of Economy Probability Return
Economic Downturn .10 –5%Zero Growth .20 5%Moderate Growth .40 10%High Growth .30 20%
![Page 8: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/8.jpg)
Expected Return Calculation
State of Economy Probability Return
Economic Downturn .10 –5%Zero Growth .20 5%Moderate Growth .40 10%High Growth .30 20%
xxxx
E(r) = ?
![Page 9: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/9.jpg)
Expected Return Calculation
State of Economy Probability Return
Economic Downturn .10 –5%Zero Growth .20 5%Moderate Growth .40 10%High Growth .30 20%
= –0.5%= 1%= 4%= 6%
E(r) =10.5%
xxxx
ExampleExampleYou are evaluating ASII’s common stock. You estimate the following returns given different states of the economy
Expected (or average) rate of return on stock is 10.5%
Expected (or average) rate of return on stock is 10.5%
![Page 10: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/10.jpg)
Measuring RiskMeasuring Risk
ExampleExampleCompute the standard deviation on ASII common stock. the mean E (r) was previously computed as 10.5%
State of Economy Probability Return
Economic Downturn .10 –5%Zero Growth .20 5%Moderate Growth .40 10%High Growth .30 20%
Risk (σ) = ?
![Page 11: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/11.jpg)
Risk and Rates of ReturnRisk and Rates of Return
State of Economy Probability Return
Economic Downturn .10 –5%Zero Growth .20 5%Moderate Growth .40 10%High Growth .30 20%
xxxx
((((
– 10.5%)2 = 24.025%– 10.5%)2 = 6.05%– 10.5%)2 = 0.10%– 10.5%)2 = 27.075%
2 = 57.25% = 57.25% = 7.57%
Higher standard deviation, higher riskHigher standard deviation, higher risk
• Measuring Risk– Standard Deviation () measure the
dispersion of returns.
![Page 12: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/12.jpg)
Relative DispersionCoefficient of Variation
• CV expresses how much dispersion exists relative to the mean of a distribution and allows for direct comparison of dispersion across different data sets.
CV = E (r)
![Page 13: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/13.jpg)
Coefficient of Variation
• Investment A has an E (r ) of 7% and a of .05• Investment B has an E (r ) of 12% and a of .07• Which is riskier?
A’s CV is .05/.07 = .714
B’s CV is .07/.12 = .583
A has .714 units of risk for each unit of return while B has .583 units of risk for each unit of return. A is riskier, it has more risk per unit of return.
CV = ?
![Page 14: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/14.jpg)
Risiko Sistematis dan Tidak Sistematis
• Unsystematic Risk (Risiko Tidak Sistematis) Risiko yang dapat dihilangkan melalui diversifikasi
Misal : pemogokkan buruh, perubahan manajemen, inovasi, kebakaran, dan sebagainya
• Systematic Risk (Risiko Sistematis) Risiko yang tidak dapat dihilangkan melalui diversifikasi
Misal : peraturan pemerintah, kenaikkan pajak, resesi, evaluasi, dan sebagainya
![Page 15: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/15.jpg)
• Total Risiko = Risiko tidak sistematis + Risiko sistematis
Risiko Portofolio
Jumlah Saham dalam Portofolio
Risiko Total
Risiko tidak sistematis
Risiko sistematis
![Page 16: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/16.jpg)
Hubungan Risiko dan Keuntungan Menurut CAPM
• CAPM (Capital Asset Pricing Model)
Teori Ini mendefinisikan hubungan antara risiko dengan tingkat keuntungan aktiva pada kondisi equilibrium
![Page 17: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/17.jpg)
ki = krf + (km – krf) . bi (untuk saham individu)
kp = krf + (km – krf) . bp (untuk saham portofolio)
Bermanfaat untuk mengevaluasi rencana keuntungan dengan membandingkan expected rate of return (keuntungan yang diharapkan) dengan required rate of return (keuntungan yang disyaratkan)
CAPM
![Page 18: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/18.jpg)
Contoh Soal
• Jika diketahui expected rate of return sebesar 22 %. Saham ini memiliki beta 1,5 dan tingkat keuntungan portofolio pasar (IHSG) 20% serta tingkat keuntungan bebas risiko 10%.
• Untuk mengambil keputusan membeli saham atau tidak, maka harus menghitung tingkat keuntungan yang diisyaratkan.
• Apabila tingkat keuntungan yang disyaratkan (required rate of return) lebih besar dari tingkat keuntungan yang diharapkan (expected rate of return), maka saham tersebut sebaiknya ditolak
![Page 19: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/19.jpg)
Jawaban
• Ki = krf + (km – krf) . Bi
= 10% + (20% - 10%) . 1,5
= 25%
Keuntungan yang disyaratkan 25% lebih besar dari keuntungan yang diharapkan 22 %, maka saham tersebut ditolak untuk dibeli
![Page 20: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/20.jpg)
Latihan Soal
• Saham x mempunyai beta 0,8 suku bunga bebas risiko 8% dan tingkat keuntungan yang disyaratkan pada portofolio pasar adalah 13%
a) Berapa premi risiko pasar ?b) Berapa required rate of return ?c) Kembali pada suku bunga bebas risiko 8%, berapa
required of return jika tingkat keuntungan yang disayaratkan pada portofolio pasar naik 7% ?
d) Kembali pada premi risiko pasar 5%, berapa required of return jika beta naik 1,2 ?
![Page 21: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/21.jpg)
WANT TO MINIMIZE RISK?
Don’t put your eggs in
one basket
Put your eggs in one basket
and WATCH IT!
OR
![Page 22: Session 7 risk and return & portofolio](https://reader036.vdocuments.us/reader036/viewer/2022081514/5566bfd4d8b42aac288b4a24/html5/thumbnails/22.jpg)
Pemilihan Alternatif Investasi
Expected Return
Risk
Risk
Free Rate
Obligasi Pemerintah
Tabungan
Deposito
Obligasi Corporasi
Saham Preferen
Saham Konvertibel
Mutual Fund
Saham Biasa
Properti/real asset
Opsi
Derivatives