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Presented By: SPA-Accounting Study Division

Mojakoe Investasi dan Pasar Modal

MOJAKOE
INVESTASI DAN PASAR
MODAL

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Presented By: SPA-Accounting Study Division

Mojakoe Investasi dan Pasar Modal

Ujian Tengah Semester Gasal 2011/2012


Manajemen Investasi
Petunjuk: kerjakan hanya 4 (empat) soal saja dari soal-soal berikut.
Soal 1
Berdasarkan pemahaman Anda tentang CAPM, tentukan saham mana saja yang undervalued,
overvalued, dan fairly priced jika suku bunga SBI adalah 7% dan rata-rata premi risiko pasar
adalah 10%? Gambarkan security market line dan posisi keempat saham di atas.
Saham
A
B
C
D

Harga Saat Ini


600
700
800
900

Estimasi Harga
Tahun Depan
630
745
860
980

Expected
Dividend
60
75
90
100

Beta
0,8
1
1,2
1,4

Soal 2
Seorang analis telah mengumpulkan data dari enam saham dan ingin membuat indeks dari
keenam saham tersebut.
31 Desember 20X0
31 Desember 20X1
Saham
Jumlah Saham
Jumlah Saham
Harga/Lembar
Harga/Lembar
Beredar
Beredar
1
Rp 800
20.000
Rp 1.000
20.000
2
Rp 200
5.000
Rp 250
5.000
3
Rp 600
12.000
Rp 400
12.000
4
Rp 150
3.000
Rp 100
9.000*
5
Rp 500
18.000
Rp 800
18.000
6
Rp 250
4.500
Rp 200
4.500
*Stock split 3-1
a. Jika nilai dasar indeks adalah 100, hitung indeks pada 31 Desember 20X1 jika
menggunakan price-weighted index dan value-weighted index.
b. Untuk jenis-jenis instrument keuangan berikut: Surat Utang Negara, Commercial Paper,
Obligasi Swasta, Saham, dan stock option, jelaskan secara ringkas karakteristiknya
termasuk risiko dan return-nya serta urutkan dari yang risikonya paling rendah sampai
risikonya paling tinggi.
Soal 3
Berikut informasi expected return, standar deviasi dan korelasi saham A, B, C, dan D.
Correlations with
E(Ri)
i
A
B
C
A
15%
10%
1.0
B
12%
8%
0.6
1.0
C
30%
20%
0.2
-1.0
1.0
D
22%
16%
0.5
0.3
0.8

1.0

Presented By: SPA-Accounting Study Division

Mojakoe Investasi dan Pasar Modal

a. Jika portofolio X terdiri dari 40% saham A dan sisanya saham B, berapa expected return
dan standar deviasi portofolio tersebut?
b. Jika portofolio Y terdiri dari 20% saha, A, 30% saham C dan sisanya saham D, berapa
expected return dan standar deviasi portofolio tersebut?
c. Jika portofolio X (pada soal b), Y (soal c) dan Z berada pada garis CML, berapa bobot X
dan Y pada portofolio Z agar expected return-nya 35%?
d. Berapa Rf pada garis CML tersebut? 9Petunjuk: hitung terlebih dahulu slope garis CML
menggunakan X dan Y)
Soal 4
Anda adalah seorang investor yang ingin menginvestasikan uang anda pada PT Tjokro Old Pulp
& paper Tbk (TOPP). Harga saham TOPP sekarang di BEI dengan harga Rp 5.000. Akhir tahun
lalu TOPP mengumumkan dividennya sebesar Rp 500/saham. Berdasarkan informasi dari
Bloomberg diketahui bahwa nilai beta TOPP adalah 1,1. Sementara perkiraan ROE dan DPR
TOPP adalah sebagai berikut.
Tahun
ROE
DPR
2011
20%
50%
2012
15%
50%
2013
10%
60%
2014
7%
60%
2015
5%
50%
Suku bunga SBI sebesar 8% dan premi bunga pasar adalah 6%. Melalui serangkaian
perhitungan, diproyeksikan pertumbuhan dividen tahun 2016 dan seterusnya sebesar 3%.
a. Hitunglah harga saham per tanggal 1 Januari 2011!
b. Apa yang akan anda lakukan jika anda adalah investor TOPP? Jelaskan jawaban saudara!
c. Dengan data yang sama, TOPP memutuskan untuk tidak menggunakan growth 3% pada
tahun 2016 dan seterusnya melainkan memberikan dividen tetap senilai Rp 1000/lembar.
Apakah hal ini mempengaruhi keputusan Anda?
d. Menurut pendapat Anda, kapan DDM model tepat digunakan untuk menilai suatu saham?
Jelaskan! Dan metode apa yang digunakan bila perusahaan tidak membagikan dividen
walaupun memperoleh laba.
e. Bila kondisi pasar sedang fluktuatif seperti saat ini maka sebaiknya strategi passive atau
active yang dilakukan investor. Jelaskan!
Soal 5
a. Sule membeli saham INCO pada harga Rp3.600 per saham sebanyak 2.000 lot dengan
marjin awal 50%.
- Jika biaya transaksi diabaikan dan margin call 35%, hitungkah harga margin call.
- Berapa rasio utang dan jumlah uang yang harus disetor jika harga INCO turun
menjadi Rp 2.600?
b. Kanjeng Mami mendapatkan fasilitas marjin dengan marjin awal (setoran jaminan) 50%
dan marjin call 30%. Dia menggunakannya untuk menjual (short) saham PTBA pada
harga Rp 18.000 sebanyak 2000 lot.
- Hitung harga marjin call short untuk transaksi ini.
- Jumlah dana yang harus disetor Kanjeng Mami jika harga PTBA naik menjadi Rp
22.000.

Presented By: SPA-Accounting Study Division

Mojakoe Investasi dan Pasar Modal

PEMBAHASAN
Soal 1
Diketahui: Rf = 7%; (Rm-Rf) = 10%
Saham A
Total Return A

= Capital Gain + Dividend


= (630-600) + 60
=

x 100%

= 15%
VoA

= 600

= Rf + (Rm-Rf)
= 7% + 0.8 (10%)
= 15%
Conclusion: Fairly priced since actual and expected return (15%) shows the sampe percentage
and Vo equals So (600=600). Hence, market value (Po) equals to intrinsic value (Vo)
E(RA)

Saham B
Total Return B

= Capital Gain + Dividend


= (745-700) + 75
=

x 100%

= 17.43%
VoB

= 709,56

= Rf + (Rm-Rf)
= 7% + 1 (10%)
= 17%
Conclusion: Undervalued, since expected return shows is less than actual return (17% < 17.43%)
and market value (Po) less than intrinsic value (Vo) (700 < 709.56) BUY
E(RB)

Saham C
Total Return C

= Capital Gain + Dividend


= (860-800) + 90
=

x 100%

= 18.75%

VoC

E(RC)

= Rf + (Rm-Rf)
= 7% + 1.2 (10%)
= 19%

= 782.61

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Mojakoe Investasi dan Pasar Modal

Conclusion: Overvalued, since expected return shows larger percentage than actual return (19%
> 18.75%) and market value (Po=800) is above intrinsic value (Vo = 782.61) SELL
Saham D
Total Return D
= Capital Gain + Dividend
= (980-900) +100
=

x 100%

= 20%
VoD

= 825.76

= Rf + (Rm-Rf)
= 7% + 1.4 (10%)
= 21%
Conclusion: Overvalued, since expected return shows larger percentage than actual return (21%
> 20%) and market value (Po=900) is larger than intrinsic value (Vo = 825.76) SELL
E(RD)

By drawing security market line (SML)


which shows relationship betwwen
systematic risk () at x-axis and
expected return (E(R)) at y-axis, we
could see distribution of stocks whether
they are undervalued, overvalued, and
fairly priced. Fairly priced stock lied
along the SML. Undervalued stock lied
above the SML then overvalued stock
lied below the SML. Undervalued stock
will be bought till its expected return
decrease and near down then finally lied
along the SML. Meanwhile, the
overvalued stock will be sold and
increase its expected return until lied
along the SML.

Soal 2
a) Price-wighted index
31 Desember 20X0

x 100%

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Mojakoe Investasi dan Pasar Modal

x 100%

= 100
31 Desember 20X1

x 100%

x 100%

= 110 not fair since it is happened due to stock split


3-for-1, not real increase in stock value
=

x 100%

= 0.98

Value weighted index

31 Desember 20X0

x 100%

x 100%

= 100

31 Desember 20X1

x100%

x 100%

= 121.5 not fair since its happened due to stock split


3-for-1, not real increase in stock value

=
= 101.08

x100%

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b)

Mojakoe Investasi dan Pasar Modal

Surat Utang Negara (SUN) included in money market as bonds, which is


traded by the government to public. SUN is a risk-free asset (0%) because
it is guaranteed with the countrys assets. Government bankruptcy
probability is very low, thus the risk rate is considered as zero and
becomes a starting point for risk assessment for other assets. Due to its
low risk, SUN also has low return.
Commercial paper is classified in money market as short term investment,
liquid, and relatively has low risk. Commercial paper usually has duration
for 270 days and has low risk in losing its value or has different value
significantly from the principal value. Risk for commercial paper is
relatively low.
Municipal bonds are bonds which are issued by private company in
capital market. It has high risk, higher than market risk then it gives
higher return. It can be sold at premium, par value, or discount.
Investment duration has time range between 3 5 years.
Stocks are ownership evidence in a company which is traded in capital
market. It has relatively high risks, thus it gives risk premium for each
additional risk (Rm-Rf). It also has return in forms of capital gain
(difference between selling and buying price) and dividend.
Stock option is a right to buy or sell stocks in future time at certain price
and has time duration. It consists of puts and calls, which is traded in
derivative market. The main difference between stock option and future
contracts, option is a right, meanwhile future contracts are an obligation
and has limited liability. It has high risk and used for hedging.
Order based on smallest risk: (1) SUN, (2) Commercial Paper, (3) Municipal
Bonds, (4) Stocks, (5) Stock Option

Soal 3
a) Portfolio X
Diketahui WA = 40%; WB = 60%
E(Rp)
= (WA x RA) + (WB x RB)
= (40% x 15%) + (60% x 12%)
= 13.2%
Px
= [(WA2 x A2) + (WB2 x B2) + (2 x WA x WB x A x
B x AB)]1/2
= [(0.42 x 0.12) + (0.62 x 0.082) + (2 x 0.4 x 0.6 x 0.1 x 0.08 x
0.6)]1/2

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Mojakoe Investasi dan Pasar Modal

= [0.0016 + 0.002304 + 0.0002304]1/2


= [0.006208]1/2 = 0.0788 = 7.88%
b) Portfolio Y
Diketahui WA = 20%; WC = 30%; WD = 50%
E(Rp)
= (WA x RA) + (WC x RC) + (WD x RD)
= (20% x 15%) + (30% x 30%) + (50% x 22%)
= 23%
Py
= [(WA2 x A2) + (WC2 x C2) + (WD2 x D2) +
(2 x WA x WC x A x C x AC) +
(2 x WA x WD x A x D x AD) +
(2 x WC x WD x C x D x CD)]1/2
= [(0.22 x 0.12) + (0.32 x 0.22) + (0.52 x 0.162) +
(2 x 0.2 x 0.3 x 0.1 x 0.2 x 0.2) +
(2 x 0.2 x 0.5 x 0.1 x 0.16 x 0.5) +
(2 x 0.3 x 0.5 x 0.2 x 0.16 x 0.8)]1/2
= [0.0004 + 0.0036 + 0.0064 + 0.00048 + 0.0016 + 0.00768]1/2
= [0.02016]1/2 = 14.20%
c) Z
= X + Y;
E(RZ) = 35%
35%
= (WX x 13.2%) + (1-WX) x 23%
0.35
= 0.132 WX + 0.23 0.23 WX
0.12
= - 0.098 WX
WX
= - 1.22
WY
= 1 (- 1.22) = 2.22
Short sale portfolio X for 122 % to get portfolio Y for 222 % at required
return for 35%.
d) Slope CML =

==

Rf

= 1.55

= (-1.22)2(7.88%)2 + (2.22)2(14.2%)2 + 2(-1.22)(2.22)(7.88%)


(14.20%)(1.55)
= 0.1173 + 0.0994 0.0606
= 0.1561 = 15.61%
= E(RZ) (Z x slopeCML)
= 35% - (15.61% x 1.55)
= 0.0847 = 8.47%

Presented By: SPA-Accounting Study Division

Mojakoe Investasi dan Pasar Modal

Soal 4
Diketahui: So = Rp5.000; Do = Rp 500/saham; = 1.1; Rf = 8%; (Rm-Rf) = 6%;
g tahun 2016 dst = 3%
a) Rk
= Rf + (Rm-Rf)
= 8% + 1.1(6%) = 0.146 = 14.6%
g
= ROE x (1-DPR)
g1
= 20% x (1-50%) = 10%
g2
= 15% x (1-50%) = 7.5%
g3
= 10% x (1-60%) = 4%
g4
= 7% x (1-60%) = 2.8%
g5
= 5% x (1-50%) = 2.5%
g6
= 3%
D1
D2
D3
D4
D5
D6
b) Vo

= Do (1+g1) = 500(1+ 10%) = 510


= D1(1+g2) = 510(1+7.5%) = 548.25
= D2(1+g3) = 548.25(1+4%) = 570.18
= D3(1+g4) = 570.18(1+2.8%) = 586.15
= D4(1+g5) = 586.15(1+2.5%) = 600.80
= D5(1+g6) = 600.80(1+3%) = 618.82
=

+
+

+(

+(
+

+
)

= 445.03 + 417.45 + 378.84 + 339.84 + 303.95 + 2,355.04


= Rp 4,240.15
Conclusion: Intrinsic value (Vo= Rp 4,240.15) is less than market value (Po = Rp5.000),
thus the stock is overvalued. As an investor in PT TOPP, I would like to sell the stock.
c) Vo

+
+
+

= Rp 8,734.43

+
+

+
+

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Mojakoe Investasi dan Pasar Modal

Conclusion: Intrinsic value (Vo= Rp 8,734.43) is above than market value (Po= Rp5.000)
Thus the stock is undervalued. As an investor in PT TOPP, I would like to buy the stock.
d) Dividend Discount Model (DDM) is appropriate to asses the value of stocks, when
assumptions bellow are fulfilled:
Company pays dividend for its shareholder
Company gives stable dividend and the estimate of dividend is known
Dividend growth rate is known
When company does not give dividend to its shareholder, we can use capital asset pricing
model (CAPM) Rk = Rf + (Rm-Rf). CAPM considers risks of the industry in the
market (systematic risks) and risks premium compared to risk-free asset (Rm-Rf).
e) When market is fluctuative, it is better to use active strategy since there is possibility of
taking advantage from fluctuative price. It will create possibility to have differential
between selling price and buying price, so there will be capital gain. However, investor
needs to asses information availability in the market. Information in the market are
reflected in stock price, thus bad information will result capital loss and decline in stock
value.
Soal 5

Ket. : 1lot = 500


a) Stock value = Rp 3,600 x 2,000 lot x 500 = Rp 3,600,000,000
Initial margin = 50%; margin call = 35%
(1)
Assets

Assets
Rp 3,600,000,000

Liabilities + OE
Liabilities
Rp 1,800,000,000
Equity
Rp 1,800,000,000*

*equity = 50% x Rp 3,600,000,000; 50% is initial margin


Margin call price =
=
= Rp 2,769,230.769 / (2000lot x 500)
= Rp 2,769.23
(2) Liablity Ratio and Given Funds
Assets
Cash
Stock Portfolio
Debt Ratio

x
Rp 2,600,000,000
=

Liabilities + OE
Liabilities
Rp 1,800,000,000
Equity
Rp 800,000,000 + x

x 100% = 69,23 %

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Mojakoe Investasi dan Pasar Modal

Equity Ratio

= 35 %

Margin

800,000,000 + x
800,000,000 + x
0.65x
x

= 35% (2,600,000,000 + x)
= 910,000,000 + 0.35x
= 110,000,000
= Rp 169,230,769.2

x 100% = 30, 77% < 35%

b) Short sale value = Rp 18,000 x 2,000 lot x 500


= Rp 18,000,000,000
Initial margin
= 50%;
margin call = 30%
(1)
Assets
Liabilities + OE
Assets
Rp 27,000,000,000
Liabilities
Rp 18,000,000,000
Equity
Rp 9,000,000,000*

*equity = 50% x Rp 18,000,000,000; 50% is initial margin


Margin call price =
=
=
= Rp 20,769,230.770 / (2000lot x 500) = Rp 20,769.23
(2)
Assets
Assets

Rp 27,000,000,000

Liabilities + OE
Liabilities
Rp 22,000,000,000*
Equity
Rp 5,000,000,000

*liabilities= Rp22,000 x 2,000 lot x 500


Margin

x 100%

= 18.52 < 30%


= 30%
5,000,000,000 + x
0.7x
x

= 6,600,000,000 + 0.3x
= 1,600,000,000
= Rp 2,285,714,286