Tugas Manajemen Investasi

Bayu Putradana (1806160964)

Yosep Erjuandi Silaban (1806249680)

1. Calculate the monthly excess returns, rM -rf , on the market portfolio.

2. MSFT is not currently paying dividend. The closing price in December 1990
(adjusted for stock splits) was $16.72. calculate the monthly excess returns,
rMSFT -rf , on Microsoft common stock.
3. a. Estimate the β for MSFT using the linear regression model
b. What is the adjusted R2 for the regression model (that is, what proportion
of the variation in rMSFT -rf , is explained by variation in rM -rf )?

You can use the CAPM to estimate Microsoft’s required return. You
calculated Microsoft’s beta in
question 3. You will need the following additional information:

Riskless Rate at Year-End Market Risk Premium

1995 (rM -rf)
Short-Term 5,13% 8,40%
Intermediate-Term 5,50% 7,40%
Long-Term 6,00% 7,00%

4. Estimate MSFT’s required return (re) using the CAPM and the short-term
riskless rate.
5. Estimate re using the CAPM and the intermediate-term riskless rate.
6. Estimate re using the CAPM and the long-term riskless rate
7. Compare your answers to questions 4,5, and 6. Can you explain why they
differ?
8. Why is it important to be consistent in choosing the riskless rate and the
market risk premium when you use the CAPM?

Solution :
1. Calculate the monthly excess returns, rM -rf , on the market portfolio.
MSFT Closing Market T-Bill
Month
Price ($) Return Return rm-rf
1/1/91 21,81 4,42% 0,52% 3,90%
2/1/91 23,06 7,16% 3,00% 4,16%
 3/1/91 23,58 2,38% 0,44% 1,94%
4/1/91 22,00 0,28% 0,53% -0,25%
5/1/91 24,39 4,28% 0,47% 3,81%
6/1/91 22,71 -4,57% 0,42% -4,99%
7/1/91 24,50 4,68% 0,49% 4,19%
8/1/91 28,42 2,35% 0,46% 1,89%
9/1/91 29,67 -1,64% 0,46% -2,10%
10/1/91 31,29 1,34% 0,42% 0,92%
11/1/91 32,42 -4,04% 0,39% -4,43%
12/1/91 37,08 11,43% 0,38% 11,05%
1/1/92 40,00 -1,86% 0,34% -2,20%
2/1/92 41,17 1,28% 0,28% 1,00%
3/1/92 39,50 -1,96% 0,34% -2,30%
4/1/92 36,75 2,91% 0,32% 2,59%
5/1/92 40,33 0,54% 0,28% 0,26%
6/1/92 35,00 -1,45% 0,32% -1,77%
7/1/92 36,00 4,03% 0,31% 3,72%
8/1/92 37,13 -2,02% 0,26% -2,28%
9/1/92 40,25 1,15% 0,26% 0,89%
10/1/92 44,38 0,36% 0,23% 0,13%
11/1/92 46,56 3,37% 0,23% 3,14%
12/1/92 42,69 1,31% 0,28% 1,03%
1/1/93 43,25 0,73% 0,23% 0,50%
2/1/93 41,69 1,35% 0,22% 1,13%
3/1/93 46,25 2,15% 0,25% 1,90%
4/1/93 42,75 -2,45% 0,24% -2,69%
5/1/93 46,31 2,70% 0,22% 2,48%
6/1/93 44,00 0,33% 0,25% 0,08%
7/1/93 37,00 -0,47% 0,24% -0,71%
8/1/93 37,56 3,81% 0,25% 3,56%
9/1/93 41,25 -0,74% 0,26% -1,00%
10/1/93 40,06 2,03% 0,22% 1,81%
11/1/93 40,00 -0,94% 0,25% -1,19%
12/1/93 40,31 1,23% 0,23% 1,00%
1/1/94 42,56 3,35% 0,25% 3,10%
2/1/94 41,25 -2,70% 0,21% -2,91%
3/1/94 42,35 -4,35% 0,27% -4,62%
4/1/94 46,25 1,30% 0,27% 1,03%
5/1/94 53,75 1,63% 0,32% 1,31%
6/1/94 51,63 -2,47% 0,31% -2,78%
 7/1/94 51,50 3,31% 0,28% 3,03%
8/1/94 58,13 4,07% 0,37% 3,70%
9/1/94 56,13 -2,41% 0,37% -2,78%
10/1/94 63,00 2,29% 0,38% 1,91%
11/1/94 62,88 -3,67% 0,37% -4,04%
12/1/94 61,13 1,46% 0,44% 1,02%
1/1/95 59,38 2,60% 0,42% 2,18%
2/1/95 63,00 3,88% 0,40% 3,48%
3/1/95 71,13 2,96% 0,46% 2,50%
4/1/95 81,75 2,91% 0,44% 2,47%
5/1/95 84,69 3,95% 0,54% 3,41%
6/1/95 90,38 2,35% 0,47% 1,88%
7/1/95 90,60 3,33% 0,45% 2,88%
8/1/95 92,50 0,27% 0,47% -0,20%
9/1/95 90,50 4,19% 0,43% 3,76%
10/1/95 100,00 -0,35% 0,47% -0,82%
11/1/95 87,13 4,40% 0,42% 3,98%
12/1/95 87,75 1,85% 0,49% 1,36%

2. MSFT is not currently paying dividend. The closing price in December 1990
(adjusted for stock splits) was $16.72. calculate the monthly excess returns,
rMSFT -rf , on Microsoft common stock.
MSFT Closing Market T-Bill
Month
Price ($) Return Return rMSFT rMSFT-rf
1/1/91 21,81 4,42% 0,52% 30,44% 29,92%
2/1/91 23,06 7,16% 3,00% 5,73% 2,73%
3/1/91 23,58 2,38% 0,44% 2,25% 1,81%
4/1/91 22,00 0,28% 0,53% -6,70% -7,23%
5/1/91 24,39 4,28% 0,47% 10,86% 10,39%
6/1/91 22,71 -4,57% 0,42% -6,89% -7,31%
7/1/91 24,50 4,68% 0,49% 7,88% 7,39%
8/1/91 28,42 2,35% 0,46% 16,00% 15,54%
9/1/91 29,67 -1,64% 0,46% 4,40% 3,94%
10/1/91 31,29 1,34% 0,42% 5,46% 5,04%
11/1/91 32,42 -4,04% 0,39% 3,61% 3,22%
12/1/91 37,08 11,43% 0,38% 14,37% 13,99%
1/1/92 40,00 -1,86% 0,34% 7,87% 7,53%
2/1/92 41,17 1,28% 0,28% 2,93% 2,65%
3/1/92 39,50 -1,96% 0,34% -4,06% -4,40%
 4/1/92 36,75 2,91% 0,32% -6,96% -7,28%
5/1/92 40,33 0,54% 0,28% 9,74% 9,46%
6/1/92 35,00 -1,45% 0,32% -13,22% -13,54%
7/1/92 36,00 4,03% 0,31% 2,86% 2,55%
8/1/92 37,13 -2,02% 0,26% 3,14% 2,88%
9/1/92 40,25 1,15% 0,26% 8,40% 8,14%
10/1/92 44,38 0,36% 0,23% 10,26% 10,03%
11/1/92 46,56 3,37% 0,23% 4,91% 4,68%
12/1/92 42,69 1,31% 0,28% -8,31% -8,59%
1/1/93 43,25 0,73% 0,23% 1,31% 1,08%
2/1/93 41,69 1,35% 0,22% -3,61% -3,83%
3/1/93 46,25 2,15% 0,25% 10,94% 10,69%
4/1/93 42,75 -2,45% 0,24% -7,57% -7,81%
5/1/93 46,31 2,70% 0,22% 8,33% 8,11%
6/1/93 44,00 0,33% 0,25% -4,99% -5,24%
7/1/93 37,00 -0,47% 0,24% -15,91% -16,15%
8/1/93 37,56 3,81% 0,25% 1,51% 1,26%
9/1/93 41,25 -0,74% 0,26% 9,82% 9,56%
10/1/93 40,06 2,03% 0,22% -2,88% -3,10%
11/1/93 40,00 -0,94% 0,25% -0,15% -0,40%
12/1/93 40,31 1,23% 0,23% 0,78% 0,55%
1/1/94 42,56 3,35% 0,25% 5,58% 5,33%
2/1/94 41,25 -2,70% 0,21% -3,08% -3,29%
3/1/94 42,35 -4,35% 0,27% 2,67% 2,40%
4/1/94 46,25 1,30% 0,27% 9,21% 8,94%
5/1/94 53,75 1,63% 0,32% 16,22% 15,90%
6/1/94 51,63 -2,47% 0,31% -3,94% -4,25%
7/1/94 51,50 3,31% 0,28% -0,25% -0,53%
8/1/94 58,13 4,07% 0,37% 12,87% 12,50%
9/1/94 56,13 -2,41% 0,37% -3,44% -3,81%
10/1/94 63,00 2,29% 0,38% 12,24% 11,86%
11/1/94 62,88 -3,67% 0,37% -0,19% -0,56%
12/1/94 61,13 1,46% 0,44% -2,78% -3,22%
1/1/95 59,38 2,60% 0,42% -2,86% -3,28%
2/1/95 63,00 3,88% 0,40% 6,10% 5,70%
3/1/95 71,13 2,96% 0,46% 12,90% 12,44%
4/1/95 81,75 2,91% 0,44% 14,93% 14,49%
5/1/95 84,69 3,95% 0,54% 3,60% 3,06%
6/1/95 90,38 2,35% 0,47% 6,72% 6,25%
7/1/95 90,60 3,33% 0,45% 0,24% -0,21%
 8/1/95 92,50 0,27% 0,47% 2,10% 1,63%
9/1/95 90,50 4,19% 0,43% -2,16% -2,59%
10/1/95 100,00 -0,35% 0,47% 10,50% 10,03%
11/1/95 87,13 4,40% 0,42% -12,87% -13,29%
12/1/95 87,75 1,85% 0,49% 0,71% 0,22%

3. a. Estimate the β for MSFT using the linear regression model

b. What is the adjusted R2 for the regression model (that is, what proportion
of the variation in rMSFT -rf , is explained by variation in rM -rf )?

SUMMARY OUTPUT

Regression Statistics
Multiple R 0,36293
R Square 0,131718
Adjusted R Square 0,116748
Standard Error 0,077485
Observations 60

ANOVA
Significance
df SS MS F
F
Regression 1 0,052826 0,052826 8,798574 0,004372
Residual 58 0,348231 0,006004
Total 59 0,401058

Standard Upper Lower Upper

Coefficients Error t Stat P-value Lower 95% 95% 95,0% 95,0%
Intercept 0,017418 0,010547 1,65143 0,104056 -0,00369 0,038529 -0,00369 0,038529
Excess Return Market 1,061849 0,357978 2,966239 0,004372 0,345278 1,778419 0,345278 1,778419

a. β = 1,061849
b. Adjusted R Square = 0,131718

4. Estimate MSFT’s required return (re) using the CAPM and the short-term
riskless rate.
𝑅𝑖 = 𝑅𝑓 + 𝛽 (𝑅𝑀−𝑅𝑓)
𝑅𝑓 = 5,13%
𝑅𝑀−𝑅𝑓= 8.14%
𝛽 = 1,061849
 𝐸𝑅𝑖 = 5,13% + 1, 061849 (8,14%)
= 13,77%

5. Estimate re using the CAPM and the intermediate-term riskless rate.

𝑅𝑖 = 𝑅𝑓 + 𝛽 (𝑅𝑀−𝑅𝑓)
𝑅𝑓 = 5,50%
𝑅𝑀−𝑅𝑓= 7.40%
𝛽 = 1,061849

𝐸𝑅𝑖 = 5,50% + 1, 061849 (7,40%)

= 13,36%

6. Estimate re using the CAPM and the long-term riskless rate

𝑅𝑖 = 𝑅𝑓 + 𝛽 (𝑅𝑀−𝑅𝑓)
𝑅𝑓 = 6,00%
𝑅𝑀−𝑅𝑓= 7.00%
𝛽 = 1,061849

𝐸𝑅𝑖 = 6,00% + 1, 061849 (7,00%)

= 13,43%

7. Apa perbedaan diantara expected return diantara no 4,5 dan 6?

dalam hasil diatas menunjukan bahwa nilai beta sangat menentukan tingkat
retrun yang diharapakan. Selain beta nilai dari expected return juga
dipengaruhi oleh risk yang dimiliki investasi tersebut yang dimana dalam soal
ini adalah Microsoft (MSFT). Resiko yang mempengaruhi nilai expected
return sesuai dengan hasil diatas yaitu risk free rate dan risk dari market.
Sehingga waktu investasi sangat menentukan nilai dari expected return yang
diharapkan.

8. Pentingnya konsisten dalam memilih riskless rate dan market risk premium
dalam menggunakan CAPM adalah dikarenakan riskless rate dan market risk
premium pada CAPM mempunyai nilai-nilai yang berubah-rubah dan dari
hasil diatas dapat disimpulkan bahwa hubungan antara resiko dengan return
adalah positif yang artinya semakin besar resiko yang dimiliki sebuah
investasi semakin besar return yang didapat.