Upcoming SlideShare
×

# Session 7 risk and return & portofolio

13,047 views

Published on

1 Comment
4 Likes
Statistics
Notes
• Full Name
Comment goes here.

Are you sure you want to Yes No
• like

Are you sure you want to  Yes  No
Views
Total views
13,047
On SlideShare
0
From Embeds
0
Number of Embeds
2
Actions
Shares
0
411
1
Likes
4
Embeds 0
No embeds

No notes for slide
• MM Unair - IFPI PP-RFP
• MM Unair - IFPI PP-RFP
• ### Session 7 risk and return & portofolio

1. 1. Risk And Return
2. 2. <ul><li>Investor’s view of risk </li></ul><ul><ul><li>Risk Averse </li></ul></ul><ul><ul><li>Risk Neutral </li></ul></ul><ul><ul><li>Risk Seeking </li></ul></ul>
3. 3. <ul><li>Hukum dasar dalam Investasi : </li></ul><ul><li>“ Semakin tinggi tingkat keuntungan investasi, maka risikonya semakin tinggi ” </li></ul>
4. 4. <ul><li>Kondisi Yang Tidak Pasti (Probabilistik) </li></ul><ul><li>Keputusan Investasi </li></ul>Keputusan Dividen (Dividen Policy) Keputusan Pendanaan (Financing Decision) Keputusan Investasi (Investement Decision) Analisis Risk and Return
5. 5. MENGUKUR RISIKO & RETURN EXPECTED RETURN UKURAN RETURN : DEVIASI STANDAR UKURAN RISIKO : ?
6. 6. 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
7. 7. Risk and Rates of Return <ul><li>Expected Return Calculation </li></ul>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%
8. 8. <ul><li>Expected Return Calculation </li></ul>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
9. 9. <ul><li>Expected Return Calculation </li></ul>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%
10. 10. 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 ) = ?
11. 11. Risk and Rates of Return <ul><li>Measuring Risk </li></ul><ul><ul><li>Standard Deviation (  ) measure the dispersion of returns. </li></ul></ul>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
12. 12. Relative Dispersion Coefficient of Variation <ul><li>CV expresses how much dispersion exists relative to the mean of a distribution and allows for direct comparison of dispersion across different data sets. </li></ul>CV =   E (r) 
13. 13. Coefficient of Variation <ul><li>Investment A has an E (r ) of 7% and a  of .05 </li></ul><ul><li>Investment B has an E (r ) of 12% and a  of .07 </li></ul><ul><li>Which is riskier? </li></ul><ul><li>A’s CV is .05/.07 = .714 </li></ul><ul><li>B’s CV is .07/.12 = .583 </li></ul><ul><li>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. </li></ul>CV = ?
14. 14. Risiko Sistematis dan Tidak Sistematis <ul><li>Unsystematic Risk (Risiko Tidak Sistematis) </li></ul><ul><li> Risiko yang dapat dihilangkan melalui diversifikasi </li></ul><ul><li>Misal : pemogokkan buruh, perubahan manajemen, inovasi, kebakaran, dan sebagainya </li></ul><ul><li>Systematic Risk (Risiko Sistematis) </li></ul><ul><li> Risiko yang tidak dapat dihilangkan melalui diversifikasi </li></ul><ul><li>Misal : peraturan pemerintah, kenaikkan pajak, resesi, evaluasi, dan sebagainya </li></ul>
15. 15. <ul><li>Total Risiko = Risiko tidak sistematis + Risiko sistematis </li></ul>Risiko Portofolio Jumlah Saham dalam Portofolio Risiko Total Risiko tidak sistematis Risiko sistematis
16. 16. Hubungan Risiko dan Keuntungan Menurut CAPM <ul><li>CAPM (Capital Asset Pricing Model) </li></ul><ul><li>Teori Ini mendefinisikan hubungan antara risiko dengan tingkat keuntungan aktiva pada kondisi equilibrium </li></ul>
17. 17. <ul><li>ki = krf + (km – krf) . bi </li></ul><ul><li>(untuk saham individu) </li></ul><ul><li>kp = krf + (km – krf) . bp </li></ul><ul><li>(untuk saham portofolio) </li></ul><ul><li>Bermanfaat untuk mengevaluasi rencana keuntungan dengan membandingkan expected rate of return (keuntungan yang diharapkan) dengan required rate of return (keuntungan yang disyaratkan) </li></ul>CAPM
18. 18. Contoh Soal <ul><li>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%. </li></ul><ul><li>Untuk mengambil keputusan membeli saham atau tidak, maka harus menghitung tingkat keuntungan yang diisyaratkan. </li></ul><ul><li>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 </li></ul>
19. 19. Jawaban <ul><li>Ki = krf + (km – krf) . Bi </li></ul><ul><li>= 10% + (20% - 10%) . 1,5 </li></ul><ul><li>= 25% </li></ul><ul><li>Keuntungan yang disyaratkan 25% lebih besar dari keuntungan yang diharapkan 22 %, maka saham tersebut ditolak untuk dibeli </li></ul>
20. 20. Latihan Soal <ul><li>Saham x mempunyai beta 0,8 suku bunga bebas risiko 8% dan tingkat keuntungan yang disyaratkan pada portofolio pasar adalah 13% </li></ul><ul><li>Berapa premi risiko pasar ? </li></ul><ul><li>Berapa required rate of return ? </li></ul><ul><li>Kembali pada suku bunga bebas risiko 8%, berapa required of return jika tingkat keuntungan yang disayaratkan pada portofolio pasar naik 7% ? </li></ul><ul><li>Kembali pada premi risiko pasar 5%, berapa required of return jika beta naik 1,2 ? </li></ul>
21. 21. WANT TO MINIMIZE RISK? <ul><li>Don’t put your eggs in </li></ul><ul><li>one basket </li></ul>Put your eggs in one basket and WATCH IT! OR
22. 22. 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