Imbal Hasil Dan Risiko Risk and Return PDF
Imbal Hasil Dan Risiko Risk and Return PDF
5-1
Imbal Hasil dan Risiko
(Risk and Return)
Definisi risiko dan imbal hasil
menggunakan distribusi probabilitas
untuk mengukur risiko
Sikap terhadap risiko
Risiko dan imbal hasil dalam konteks
portofolio
Diversifikasi
Dt + (Pt - Pt-1 )
R=
Pt-1
5-3
Contoh : Imbal Hasil
(Return Example)
5-4
Contoh : Imbal Hasil
(Return Example)
Harga saham untuk saham A adalah $ 10
per saham 1 tahun yang lalu . saham saat
ini diperdagangkan pada $ 9,50 per
saham , dan pemegang saham saja
menerima dividen $ 1. Apa imbal hasil itu
diperoleh selama tahun lalu
n
R = S ( Ri )( Pi )
i=1
Stock BW
Ri Pi (Ri)(Pi) The
expected
-.15 .10 -.015 return, R,
-.03 .20 -.006 for Stock
BW is .09
.09 .40 .036 or 9%
.21 .20 .042
.33 .10 .033
Sum 1.00 .090
5-8
Menentukan Standar Deviasi / Ukuran
Risiko (Determining Standard
Deviation) (Risk Measure)
n
s = S ( Ri - R )2( Pi )
i=1
5-9
Cara Menentukan Imbal Hasil yang
diharapkan dan Standar Deviasi (How to
Determine the Expected Return and
Standard Deviation)
Stock BW
Ri Pi (Ri)(Pi) (Ri - R )2(Pi)
-.15 .10 -.015 .00576
-.03 .20 -.006 .00288
.09 .40 .036 .00000
.21 .20 .042 .00288
.33 .10 .033 .00576
Sum 1.00 .090 .01728
5-10
Menentukan Standar Deviasi /
Ukuran Risiko (Determining
Standard Deviation) (Risk Measure)
n
s= S ( Ri - R )2( Pi )
i=1
s= .01728
s= .1315 or 13.15%
5-11
Koefisien variasi
(Coefficient of Variation)
CV = s / R
CV of BW = .1315 / .09 = 1.46
5-12
Diskrit (berlainan) vs Distribusi
Kontinu (Discrete vs. Continuous
Distributions)
Discrete Continuous
0.035
0.4
0.35
0.03
0.3 0.025
0.25 0.02
0.2 0.015
0.15
0.01
0.1
0.05 0.005
0 0
13%
22%
31%
40%
49%
58%
67%
4%
-50%
-41%
-32%
-23%
-14%
-5%
-15% -3% 9% 21% 33%
5-13
Menentukan Imbal Hasil yang diharapkan /
Distribusi berkelanjutan (Determining
Expected Return (Continuous Dist.)
n
R = S ( Ri ) / ( n )
i=1
5-14
n adalah jumlah total pengamatan
Penentuan Standar Deviasi / Ukuran
Risiko (Determining Standard
Deviation (Risk Measure)
n
s= S ( Ri - R )2
i=1
(n)
5-15
Masalah Distribusi kontinu
(Continuous Distribution Problem)
2nd Data
9.6 ENTER
-15.4 ENTER
26.7 ENTER
5-17
Mari Gunakan Kalkulator!
(Let’s Use the Calculator!)
5-19
Sikap risiko
(Risk Attitudes)
Kepastian Equivalent (Certainty
Equivalent /CE) adalah jumlah uang
tunai seseorang akan membutuhkan
dengan pasti di suatu titik waktu untuk
membuat acuh tak acuh individual
antara jumlah tertentu dan jumlah yang
diharapkan akan diterima dengan risiko
pada titik yang sama dalam waktu .
5-20
Sikap risiko
(Risk Attitudes)
Certainty equivalent > Expected value
Risk Preference
Certainty equivalent = Expected value
Risk Indifference
Certainty equivalent < Expected value
Risk Aversion
Most individuals are Risk Averse.
5-21
Contoh Sikap Risiko
(Risk Attitude Example)
5-22
Contoh Sikap Risiko
(Risk Attitude Example)
m
RP = S ( Wj )( Rj )
j=1
RP is the expected return for the portfolio,
Wj is the weight (investment proportion)
for the jth asset in the portfolio,
Rj is the expected return of the jth asset,
m is the total number of assets in the
5-24
portfolio.
Menentukan Deviasi Standar Portfolio
(Determining Portfolio Standard
Deviation)
m m
sP = SS
j=1 k=1
Wj Wk s jk
Wj is the weight (investment proportion)
for the jth asset in the portfolio,
Wk is the weight (investment proportion)
for the kth asset in the portfolio,
sjk is the covariance between returns for
the jth and kth assets in the portfolio.
5-25
Apa Kovarian?
(What is Covariance?)
s jk = sj sk r jk
5-26
Koefisien korelasi
(Correlation Coefficient)
5-27
Ringkasan Return Portofolio dan
Perhitungan Risiko (Summary of the
Portfolio Return and Risk Calculation)
Combination
SECURITY E SECURITY F E and F
INVESTMENT RETURN
Unsystematic risk
Total
Risk
Systematic risk
Unsystematic risk
Total
Risk
Systematic risk
5-41
Asumsi CAPM
(CAPM Assumptions)
1) Pasar modal yang efisien .
2) Harapan investor homogen selama
periode waktu tertentu .
3) Kembali aset bebas risiko (Risk-free
asset return) adalah tertentu (
penggunaan short untuk jangka
menengah Treasuries sebagai proxy ) .
4) Portofolio Market hanya risiko
sistematis ( penggunaan 500 Indeks S &
P atau mirip sebagai proxy ) .
5-42
Jalur karakteristik
(Characteristic Line)
Narrower spread
EXCESS RETURN is higher correlation
ON STOCK
Rise
Beta = Run
EXCESS RETURN
ON MARKET PORTFOLIO
Characteristic Line
5-43
Menghitung "Beta"? Di Kalkulator
Anda (Calculating “Beta”
on Your Calculator)
Time Pd. Market My Stock Pasar dan
Return
1 9.6% 12% saham saya
adalah
2 -15.4% -5% "pengembali
3 26.7% 19% an
kelebihan"
4 -.2% 3% dan memiliki
tingkat
5 20.9% 13% tanpa risiko
6 28.3% 14% sudah
dikurangi.
7 -5.9% -9%
8 3.3% -1%
9 12.2% 12%
10 10.5% 10%
5-44
Menghitung "Beta"? Di Kalkulator
Anda (Calculating “Beta”
on Your Calculator)
5-45
Menghitung "Beta"? Di Kalkulator
Anda (Calculating “Beta”
on Your Calculator)
5-48
Garis karakteristik dan Beta
Berbeda (Characteristic Lines
and Different Betas)
EXCESS RETURN Beta > 1
ON STOCK (aggressive)
Beta = 1
Each characteristic
line has a Beta < 1
different slope. (defensive)
EXCESS RETURN
ON MARKET PORTFOLIO
5-49
Jalur Pasar Keamanan
(Security Market Line)
Rj = Rf + bj(RM - Rf)
Rj is the required rate of return for stock j,
Rf is the risk-free rate of return,
bj is the beta of stock j (measures
systematic risk of stock j),
RM is the expected return for the market
5-50
portfolio.
Jalur Pasar Keamanan
(Security Market Line)
Rj = Rf + bj(RM - Rf)
Required Return
RM Risk
Premium
Rf
Risk-free
Return
bM = 1.0
Systematic Risk (Beta)
5-51
Penentuan Diperlukan Rate of Return
(Determination of the Required Rate of
Return)
5-52
BWs Diperlukan Rate of Return
(BWs Required Rate of Return)
5-53
Penentuan Intrinsik Nilai BW
(Determination of the Intrinsic Value of
BW)
Intrinsic $0.50
=
Value 10.8% - 5.8%
= $10
5-55
Jalur Pasar Keamanan
(Security Market Line)
Stock X (Underpriced)
Required Return
Direction of
Movement Direction of
Movement
Rf Stock Y (Overpriced)
Small-firm Effect
Price / Earnings Effect
January Effect
End Chapter 5
5-58