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# Session 7 risk and return & portofolio

## by iyandri tiluk wahyono on Sep 11, 2010

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## Session 7 risk and return & portofolioPresentation Transcript

• Risk And Return
• Investor’s view of risk
• Risk Averse
• Risk Neutral
• Risk Seeking
• Hukum dasar dalam Investasi :
• “ Semakin tinggi tingkat keuntungan investasi, maka risikonya semakin tinggi ”
• Kondisi Yang Tidak Pasti (Probabilistik)
• Keputusan Investasi
Keputusan Dividen (Dividen Policy) Keputusan Pendanaan (Financing Decision) Keputusan Investasi (Investement Decision) Analisis Risk and Return
• MENGUKUR RISIKO & RETURN EXPECTED RETURN UKURAN RETURN : DEVIASI STANDAR UKURAN RISIKO : ?
• 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
• Risk and Rates of Return
• Expected Return Calculation
Example You 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%
• Expected Return Calculation
E(r) = ? State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% x x x x
• 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% x x x x Example You 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%
• Measuring Risk Example Compute 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 ) = ?
• Risk and Rates of Return
• Measuring Risk
• Standard Deviation (  ) measure the dispersion of returns.
State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% x x x x ( ( ( ( – 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 risk
• Relative Dispersion Coefficient 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) 
• 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 = ?
• 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
• Total Risiko = Risiko tidak sistematis + Risiko sistematis
Risiko Portofolio Jumlah Saham dalam Portofolio Risiko Total Risiko tidak sistematis Risiko sistematis
• Hubungan Risiko dan Keuntungan Menurut CAPM
• CAPM (Capital Asset Pricing Model)
• Teori Ini mendefinisikan hubungan antara risiko dengan tingkat keuntungan aktiva pada kondisi equilibrium
• 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
• 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
• 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
• Latihan Soal
• Saham x mempunyai beta 0,8 suku bunga bebas risiko 8% dan tingkat keuntungan yang disyaratkan pada portofolio pasar adalah 13%
• Berapa premi risiko pasar ?
• Berapa required rate of return ?
• Kembali pada suku bunga bebas risiko 8%, berapa required of return jika tingkat keuntungan yang disayaratkan pada portofolio pasar naik 7% ?
• Kembali pada premi risiko pasar 5%, berapa required of return jika beta naik 1,2 ?
• WANT TO MINIMIZE RISK?
• Don’t put your eggs in