SESSION 5:

CH. 6, 7

RETURN AND RISK FROM

INVESTING
(INDIVIDUAL &
PORTFOLIO)

CHAPTER OUTLINE
RETURN AND RISK FOR FINANCIAL ASSET
VALUATION RETURN AND RISK
ESTIMATING FUTURE RETURN AND RISK
PORTFOLIO INVESTING
RETURN AND RISK PORTFOLIO INVESTMENT

RETURN
HASIL YANG DIPEROLAH DARI SUATU INVESTASI
YIELD
CASH FLOW DARI SUATU INVESTASI YANG DITERIMA OLEH
INVESTOR SECARA PERIODIK SELAMA UMUR INVESTASI
(INTEREST/COUPON, DIVIDENDS)
YIELD 0 ATAU +
CAPITAL GAIN (LOSS)
APRESIASI ATAU DEPRESIASI DARI NILAI ASSET YANG
DIMILIKI OLEH INVESTOR (PERUBAHAN NILAI ASSET)
PERUBAHAN HARGA ASSET + ATAU -

RISIKO
RISIKO PERUBAHAN/PERBEDAAN HASIL YANG
DIHARAPKAN DARI SUATU INVESTASI (EXPECTED
RETURN) DAN HASIL RIIL YANG DIPEROLEH INVESTOR
(REALIZED RETURN)
SUMBER RISIKO
INTEREST RATE RISK
MARKET RISK
INFLATION RISK
BUSINESS RISK
FINANCIAL RISK
LIQUIDITY RISK
EXCHANGE RATE RISK
COUNTRY RATE RISK

TYPE RISK
GENARAL RISK/MARKET RISK/SYSTEMATIC RISK
RISIKO PERUBAHAN RETURN YANG DIEKSPEKTASIKAN KARENA
FAKTOR MAKRO EKONOMI (INFLASI, INTEREST RATE, POLITIK,
DSB.)
NON DIVERSIABLE RISK
RISIKO YANG TIDAK DAPAT DIHINDARI

SPECIFIC RISK/ISSUER RISK/NONSYSTEMATIC RISK

RISIKO UNIEK DAN SPESIFIK YANG BERKAITAN DENGAN FAKTOR
BISNIS PERUSAHAAN
DIVERSIABLE RISK
RISIKO YANG DAPAT DIHINDARI DENGAN MELAKUKAN
PORTOFOLIO

CARA MENGHITUNG RETURN

PERIODE

TOTAL CASH FLOW + PERUBAHAN HARGA SELAMA

TERTENTU

TOTAL RETURN =
------------------------------------------------------------------HARGA PEMBELIAN ASSET

TOTAL CASH FLOW = SEMUA HASIL YANG DIPEROLEH SELAMA

UMUR INVESTASI
PERUBAHAN HARGA = HARGA JUAL ASSET HARGA BELI ASSET
HARGA BELI ASSET = HARGA PEROLEHAN ASSET

TR = [CF + (PE PB)] / PB

TR = [CF + (PC)] / PB

TOTAL RETURN
BONDS = [IT + PC] / PB
STOCKS = [DT + PC] / PB
WARRANT = [CT + PC] / PB
RETURN RELATIVE (RR) PERBANDINGAN
RELATIF KESELURUHAN HASIL INVESTASI DENGAN
HARGA AWAL INVESTASI
BONDS = [IT + PE] / PB
STOCKS = [DT + PE] / PB
WARRANT = [CT + PE] / PB

CUMULATIVE WEALTH INDEX

CUMULATIVE EFFECT RETURN INVESTASI YANG
DINIKMATI PADA KURUN WAKTU TERTENTU
CWIN = WI0 (1 + TR1)(1 + TR2) (1 + TRN)
CWI = CUMULATIVE WEALTH INDEX
WI0 = BEGINNING INDEX VALUE
TR1,N = PERIODICAL TRS
TR = [CWIN / CWIN-1] 1

INTERNATIONAL RETURN AND

CURRENCY RISK
TOTAL RETURN IN DOMESTIC TERMS
= [RR (FCE FCB)] 1,0
FCE = FOREIGN CURRENCY ENDING
FCB = FOREIGN CURRENCY BEGINNING

INFLATIONADJUSTED RETURN
= TRI,A = [(1 + TR)/1(1 + IF)] - 1
TRI,A = THE INFLATION ADJUSTED TOTAL RETURN
IF = THE RATE OF INFLATION

MEAN RETURN FOR N

ARITHMETIC MEAN
MEAN RETURN = RIT / N
= [R1 + R2 + R3 + RN] / N

GEOMETRIC MEAN
MEAN RETURN = G = [(1+TR1)(1+TR2)(1+TR3).
.(1+TRN)]1/N 1

ARITHMETIC VS GEOMETRIC MEAN

ARITHMETIC BETTER MEASURE OF AVERAGE
PERFORMANCE OVER SINGLE PERIOD
GEOMETRIC BETTER MEASURE OF THE CHANGE IN
WEALTH OVER TIME (MULTIPLE PERIODS). MEASURE THE
REALIZED COMPOUND RATE OF RETURN AT WHICH
MONEY GREW.

MEASURE RISK (STATISTIC

APPROACH)
RISK DEVIATION BETWEEN EXPECTED
RETURN AND REALIZED RETURN
STATISTIC APPROACH STANDARD
DEVIATION
STANDARD DEVIATION () A MEASURE
OF THE DISPERSION IN OUTCOMES
X EXPECTED VALUE
AROUND THE
2 = [(X
= 2

)2] / (N 1)

RISK PREMIUM
RISK PREMIUM IS THE ADDITIONAL RETURN
INVESTOR EXPECT TO RECEIVE OR DID NOT
RECEIVE, BY TAKING ON INCREASING AMOUNT OF
RISK
EQUITY RISK PREMIUM THE DIFFERENCE
BETWEEN STOCK RETURN (EXPECTED) AND A
RISK FREE RATE RETURN
ERT = [(1+TRCS)/(1+RF)] 1
ERT = EQUITY RISK PREMIUM
TRCS= TOTAL RETUR OF COMMON STOCK
RF = RISK FREE RATE

EXPECTED RETURN AND RISK

INDIVIDUAL INVESTMENT
RETURN EKSPEKTASI HASIL INVESTASI YANG DI
HARAPKAN BERDASARKAN KONDISI KETIDAK-PASTIAN
(UNDER UNCERTAINTY CONDITION ASSUMPTION)
RISIKO EKSPEKTASI EKSPEKTASI KETIDAKPASTIAN HASIL DARI SUATU INVESTASI
SALAH SATU PENDEKATAN KONDISI KETIDAKPASTIAN, UNTUK HASIL INVESTASI DIEKSPEKTASI
DENGAN MENGGUNAKAN PENDEKATAN
PROBABILITAS
PROBABILITAS
TERJADINYA SUATU PERISTIWA TERTENTU DARI
SERANGKAIAN PERISTIWA YANG MUNGKIN TERJADI

EXPECTED RETURN
EKSPEKTASI HASIL SUATU INVESTASI PADA
MASA YANG AKAN DATANG DENGAN
MEMPERTIMBANGKAN BERBAGAI
KEMUNGKINAN YANG MEMPENGARUHI RETURN,
DENGAN MENGGUNAKAN PENDEKATAN
PROBABILITAS
E(R) = (RI)PI
E(R) = EXPECTED RETURN SECURITY
RI
= THE ITH POSSIBLE RETURN
PI
= THE PROBABILITY OF THE ITH RETURN

CONTOH
POSSIBLE RETURN (RI)
PROBABILITY (PI)
-----------------------------------------------------0,010,2
0,070,2
0,080,3
0,100,1
0,150,2
-----------------1,0
----------------------------------------------------

EXPECTED RETURN
POSSIBLE RETURN PROBABILITY
EXPECTED RETURN
(RI)
(PI)
E(RI) = RIPI
----------------------------------------------------------------------------------0,01
0,2
0,002
0,07
0,2
0,014
0,08
0,3
0,024
0,10
0,1
0,010
0,15
0,2
0,030
------------------------1,0
(RI)PI = 0,080
-----------------------------------------------------------------------------------

RISK
VARIABILITAS DARI EXPECTED RETURN YANG
DICERMINKAN OLEH VARIANCE ATAU STANDARD DEVIASI
VARIANCE SPREAD ATAU DISPERSI RETURN DARI DISTRIBUSI
PROBABILITAS RANDOM VARIABLE DI SEKITAR NILAI RATA-RATA
STANDARD DEVIASI VARIANCE

2 = [RI E(R)]2PI
RI = POSSIBLE RETURN I
E(R) = AVERAGE RETURN (EXPECTED RETURN)
PI = PROBABILITY I CONDITION

= 2

EXPECTED RETURN PORTFOLIO

PORTFOLIO KOMBINASI INVESTASI PADA
BERBAGAI JENIS ASSET DENGAN TUJUAN UNTUK
MENURUNKAN RISIKO SUATU INVESTASI
RETURN PORTFOLIO RATA-RATA TERTIMBANG
HASIL INVESTASI DARI SEKUMPULAN JENIS INVESTASI
E(RP) = WI E(RI)
E(RP) = EXPECTED RETURN PORTFOLIO
WI = PORTFOLIO WEIGHT FOR THE ITH SECURITY
E(RI) = EXPECTED RETURN ON THE ITH SECURITY

RISK PORTFOLIO
RISK REDUCTION PORTOFOLIO DILAKUKAN UNTUK
MENGURANGI RISIKO INVESTASI PADA SATU JENIS ASSET

ASUMSI
SEMAKIN BANYAK JENIS INVESTASI AKAN SEMAKIN
DAPAT MENURUNKAN (MEMPERKECIL) RISIKO
INVESTASI
RISIKO ANTAR INDIVIDUAL INVESTASI MEMPUNYAI
KARAKTERISTIK YANG INDEPENDEN
P = I/N

RISK PORTFOLIO
DIVERSIFICATION
1. RANDOM DIVERSIFICATION
INVESTOR MELAKUKAN DIVERSIFIKASI
INVESTASI SECARA ACAK, TANPA
MEMPERHATIKAN KARAKTERISTIK DARI MASINGMASING SEKURITAS
2. INTERNATIONAL DIVERSIFICATION
INVESTOR MELAKUKAN DIVERSIFIKASI
INVESTASI PADA PASAR INTERNASIONAL

RISK PORTFOLIO
3. MARKOWITZ DIVERSIFICATION
DIVERSIFIKASI INVESTASI DILAKUKAN DENGAN MEMPERTIMBANGKAN ARAH DARI SETIAP RISIKO INVESTASI INDIVIDUAL SEBAGAI
DASAR UNTUK MELAKUKAN SELEKSI SEKURITAS DALAM
PORTOFOLIO
CO-MOVEMENT SECURITY RETURN
INDEPENDENSI DARI BERBAGAI ALTERNATIF PILIHAN INVESTASI
ANTAR SEKURITAS ATAU ASSET INVESTASI DAPAT DIUKUR
DENGAN KORELASI (COEFFICIENT OF CORRELATION AMONG
SECURITIES)
KOEFISIEN KORELASI
= 1 KORELASI POSITIF SEMPURNA
= -1 KORELASI NEGATIF SEMPURNA
= 0 TIDAK TERJADI KORELASI

CONTOH 1
DIVERSIFICATION IN TWO ASSET (INVESTMENT 50% STOCK A, 50%
STOCKS B)
--------------------------------------------------------------------------------------------YEARSTOCK A
STOCK B
PORTFOLIO AB
--------------------------------------------------------------------------------------------2000 0,36
0,36
0,36
2001 -0,12
-0,12
-0,12
2002 -0,10
-0,10
-0,10
2003 0,34
0,34
0,34
2004 -0,06
-0,06
-0,06
2005 0,30
0,30
0,30
--------------------------------------------------------------------------------------------AVG RETURN
0,120 0,120 0,120
SD
0,215 0,215 0,215
---------------------------------------------------------------------------------------------

CONTOH 2
DIVERSIFICATION IN TWO ASSET (50% INVESTMEN STOCK A, 50%
STOCKS B)
-------------------------------------------------------------------------------------------YEARSTOCK A
STOCK B
PORTFOLIO AB
-------------------------------------------------------------------------------------------2000
0,36
-0,12
0,12
2001 -0,12
0,36
0,12
2002 -0,10
0,34
0,12
2003 0,34
-0,10
0,12
2004 -0,06
0,30
0,12
2005
0,30
-0,06
0,12
-------------------------------------------------------------------------------------------AVG RETURN
0,12
0,120 0,120
SD
0,215 0,215 0,000
--------------------------------------------------------------------------------------------

CONTOH 3
DIVERSIFICATION IN TWO ASSET (50% INVESTMEN STOCK A, 50%
STOCKS B)
--------------------------------------------------------------------------------------------YEARSTOCK A
STOCK B
PORTFOLIO AB
--------------------------------------------------------------------------------------------2000
0,36
0,25
0,305
2001 -0,12
0,13
0,005
2002 -0,10
0,19
0,045
2003 0,34
0,28
0,310
2004 -0,06
-0,35
-0,205
2005
0,30
0,22
0,260
--------------------------------------------------------------------------------------------AVG RETURN
0,120 0,120 0,120
SD
0,215 0,215 0,180
----------------------------------------------------------------------------------------------

COVARIANCE AND CALCULATING

PORTFOLIO RISK

COVARIANCE

THE EXTEND TO WHICH TWO RANDOM VARIABLES

COVARY OVER TIME
ABSOLUTE MEASURE OF THE DEGREE OF ASSOCIATION
BETWEEN THE RETURN FOR A PAIR OF SECURITIES

AB = [RA,I E(RA)][RB,I E(RB)]PRI

AB= COVARIANCE BETWEEN SECURITIES A AND B

RA,I = ONE POSSIBLE RETURN ON SECURITIES A
E(RA)= EXPECTED VALUE OF THE RETURN A
RB,I = ONE POSSIBLE RETURN ON SECURITIES B
E(RB)= EXPECTED VALUE OF THE RETURN B
PRI= PROBABILITY ITH CONDITION

RELATION COEFFICIENT CORRELATION

WITH COVARIANCE
AB = AB / [AB]

AB = ABAB
AB = CORRELATION COEFFICIENT A AND B
AB = COVARIANCE BETWEEN A AND B
A = STANDARDR DEVIATION A
B = STANDARD DEVIATION B

PORTFOLIO RISK (2 SECURITIES)

P = [W112 + W222 + 2(W1)(W2)(1,2)12]1/2

P = RISK PORTFOLIO
W1 = PORTION INVESTMENT IN SECURITIES 1
12 = VARIANCE SECURIES 1
1,2 = COEFFICIENT CORRELATION BETWEEN
SECURITIES 1 AND 2
1 = STANDARD DEVIATION SECURITIES 1
2 = STANDARD DEVIATION SECURITIES 1

PORTFOLIO N - SECURITIES
P2 = WI2I2 + WIWJIJ
P2 = THE VARIANCE OF RETURN ON THE PORTFOLIO
I2 = THE VARIANCE OF RETURN FOR SECURITY I
WI2 = THE PORTFOLIO WEIGHTS OR PERCENTAGE OF
INVESTABLE
FUNDS INVESTED IN SECURITY I
IJ = THE COVARIANCE BETWEEN THE RETURNS FOR
SECURITIES
I AND J
= ALL POSSIBLE PAIR OF VALUES FOR I AND J

THE MESSAGE PORTFOLIO RISK

THE WEIGHTED RISK OF EACH INDIVIDUAL SECURITY
THE WEIGHTED COVARIANCES AMONG ALL PAIRS OF
SECURITIES