Na7kkma : Eva yuliana

NIM : 1801103010003
MK : Manajemen Keuangan 1

RETURN INVESTMENT, EXPECTED RETURN, VARIANS, COVARIANS, BETA,

DAN CONDITION RISK

Kondisi Probability Cash Flow Cash Flow Cash Flow Return Market
Ekonomi (Pi) (CF) PT F (CF) PT Q (CF) PT K (Rmi)
Sangat Baik 0.26 $ 921 $ 811 $ 822 22 %
Baik 0,28 $ 834 $ 840 $ 790 19%
Sedang 0.31 $ 725 $ 880 $ 775 14 %
Buruk 0.33 $ 721 $ 761 $ 755 7%
Sangat Buruk 0,34 $ 720 $ 720 $ 786 -2 %

Dimana nilai dari bebas risiko atau Risk free (Rf) = 7,803% atau 0,07803, dan nilai dari Capital
Investment (CI) $ 720, Cost (C) $ 87 untuk perusahaan CF PT F, CF PT Q, dan CF PT K
adalah sama. Berdasarkan data tersebut maka hitunglah Return Investment, Expected Return,
Varians, Covarians, Comparabel Risk, dan Condition Risk.

Penyelesaian
a. Return Investment
 PT F
CF−(CI +C )
RI = x 100 %
CI

RI F ( sangatbaik)=921−(720+87 ) x 100 %
720
921−807
RI F ( sangatbaik)= x100%
720
114
RI F ( sangatbaik )= x100 %
720
RI F ( sangatbaik )=0,1584 x 100%
RI F (sangatbaik)=15,84%
RI F ( Baik )=834−(720+87) x 100 %
720
834−807
RI F ( Baik )= x 100 %
720
27
RI F ( Baik )= x 100 %
720
RI F (Baik )=0,0375 x 100%
RI F ( Baik )=3,75%

RI F ( Sedang )=725−(720+87 ) x 100 %

720
725−807
RI F ( Sedang )= x100 %
720
−82
RI F ( Sedang )= x 100 %
720
RI F( Sedang )=-0,1139 x100%
RI F (Sedang )=−11 ,39%

RI F ( Buruk )=721−(720+87 ) x 100 %

720

RI F ( Buruk )=721−(807 ) x 100 %

720
−86
RI F ( Buruk )= x 100 %
720
RI F(Buruk )=-0,1195 x100%
RI F(Buruk )=−11,95%

RI F ( SangatBuruk )=720−(720+87 ) x 100 %

720
720−807
RI F ( SangatBuruk )= x100 %
720
 0
RI F ( SangatBuruk )= x 100 %
720
RI F ( SangatBuruk )=0 %

 PT Q

RI Q( SangatBaik )=811−(720+87 ) x 100 %

720
811−807
RI Q( SangatBaik )= x 100 %
720
4
RI Q( SangatBaik )= x100 %
720
RI Q(SangatBaik )=0,0056 x 100%
RI Q(SangatBaik )=56 %

RI Q( Baik )=840−(720+87) x 100 %

720
840−807
RI Q( Baik )= x 100 %
720
33
RI Q( Baik )= x 100 %
720
RI Q(Baik )=0,0458 x100%
RI Q(Baik )=4,58%

RI Q( Sedang )=880−(720+87 ) x 100 %

720
880−807
RI Q( Sedang )= x100 %
720
73
RI Q( Sedang )= x100 %
720
RI Q(Sedang )=0,1014 x 100%
RI Q(Sedang )=10,14 %
RI Q( Buruk )=761−(720+87) x 100 %
720
761−807
RI Q( Buruk )= x 100 %
720
−46
RI Q( Buruk )= x 100 %
720
RI Q(Buruk )=-0,0639 x100%
RI Q(Buruk )=-6,39%

RI Q( SangatBuruk )=720−(720+87 ) x 100 %

720
720−807
RI Q( SangatBuruk )= x100 %
720
−87
RI Q( SangatBuruk )= x100 %
720
RI Q( SangatBuruk )=-0,1208 x 100%
RI Q(SangatBuruk )=-12,08%

 PT K

RI K ( SangatBaik )=822−(720+87) x 100 %

720
822−807
RI K ( SangatBaik )= x 100 %
720
15
RI K ( SangatBaik )= x 100 %
720
RI K (SangatBaik )=0,0208 x 100%
RI K (SangatBaik )=2,8%

RI K ( Baik )=790−(720+87 ) x 100 %

720
790−807
RI K ( Baik )= x 100 %
720
 −17
RI K ( Baik )= x 100 %
720
RI K (Baik )=-0,0236 x100%
RI K ( Baik )=-2,36%

RI K ( Sedang )=775−(720+87) x 100 %

720
775−807
RI K ( Sedang )= x 100 %
720
−32
RI K ( Sedang )= x 100 %
720
RI K (Sedang )=-0,0444 x 100%
RI K (Sedang )=-4,44%

RI K ( Buruk )= 755−(720+87) x 100 %

720
755−807
RI K ( Buruk )= x 100 %
720
−52
RI K ( Buruk )= x 100 %
720
RI K (Buruk )=-0,0722 x 100%
RI K ( Buruk )=-7,22%

RI KSangatBuruk )=786−(720+87) x 100 %

720
786−807
RI K ( SangatBuruk )= x100 %
720
−21
RI K (SangatBuruk )= x 100%
720
RI K (SangatBuruk )=-0,0292 x100 %
RI K (SangatBuruk )=-2,92%
b. Menyusun kembali tabel dari hasil hitungan
Kondisi Probability RI PT F RI PT Q RI PT K Return
Ekonomi Market
(Rmi)
Sangat Baik 0,26 18,84% 5,6% 2,8% 22%
Baik 0,28 3,75% 4,58% -2,36% 19%
Sedang 0,31 -11,39% 10,14% -4,44% 14%
Buruk 0,33 -11,95% -6,39% -7,22% 7%
Sangat Buruk 0,34 - -12,08% -2,92% -2%

c. Expected Return RI PT F, RI PT Q dan RI PT K serta Expected Return market

(E(RM)
 RI PT F
E(RF) =  (Pi1) (RF1) + (Pi2) (RF2) + (Pi3) (RF3) + (Pi4) (RF4) + (Pi5) (RF5)
E(RF) = (0,26) (18,84%) + (0,28) (3,75%) + (0,31) (-11,39%) + (0,33) (-11,95%) + (0,34) (0)
E(RF) = 0,0489 + 0,0105 + -0,0353 + -0,0394 + 0
E(RF) = -0,0153 = -1,53%

 RI PT Q
E(RQ) =  (Pi1) (RQ1) + (Pi2) (RQ2) + (Pi3) (RQ3) + (Pi4) (RQ4) + (Pi5) (RQ5)
E(RQ) = (0,26) (5,6%) + (0,28) (4,58%) + (0,31) (10,14%) + (0,33) (-6,39%) + (0,34) (-12,08%)
E(RQ) = 0,1456 + 0,0128 + 0,0314 + -0,0210 + -0,0410
E(RQ) = 0,1278 = 12,78%

 RI PT K
E(RK) =  (Pi1) (RK1) + (Pi2) (RK2) + (Pi3) (RK3) + (Pi4) (RK4) + (Pi5) (RK5)
E(RK) = (0,26) (2,8%) + (0,28) (-2,36%) + (0,31) (-4,44%) + (0,33) (-7,22%) + (0,34) (-2,92%)
E(RK) = 0,0072 + -0,0066 + -0,0137 + -0,0238 + -0,0099
E(RK) = -0,0468 = 4,68%
E(RM) =  (Pi1) (Rm1) + (Pi2) (Rm2) + (Pi3) (Rm3) + (Pi4) (Rm4) + (Pi5) (Rm5)
E(RM) = (0,26) (22%) + (0,28) (19%) + (0,31) (14%) + (0,33) (7%) + (0,34) (-2%)
E(RM) = 0,0572 + 0,0532 + 0,0434 + 0,0231 + -0,0068
E(RM) = 0,1701 = 17,01%

d. Varian Return Market (Ϭ2Rmi)

Ϭ2Rmi =  Pi1 {E(RM) – Rmi1}2 + Pi2 {E(RM) – Rmi2}2 + Pi3 {E(RM) – Rmi3}2 + Pi4 {E(RM) –
Rmi4}2 + Pi5 {E(RM) – Rmi5}2
Ϭ2Rmi = 0,26 {17,01% – 22%}2 + 0,28 {17,01% – 19%}2 + 0,31 {17,01% – 14%}2 + 0,33
{17,01% – 7%}2 + 0,34 {17,01% – -2%}2
Ϭ2Rmi = 0,26 {0,0025} + 0,28 {0,0004} + 0,31 {0,0009} + 0,33 {0,2807} + 0,34 {0,1369}
Ϭ2Rmi = 0,0096 + 0,0014 + 0,0029 + 0,8506 + 0,4026
Ϭ2Rmi = 1,2671

Ϭ2 RIF = Pi1 {E(RF) – RIF1}2 + Pi2 {E(RF) – RIF2}2+ Pi3 {E(RF) – RIF3}2+ Pi4 {E(RF) – RIF4}2+ Pi5
{E(RF) – RIF5}2
Ϭ2 RIF = 0,26 {(-1,53%) – 18,84%}2 + 0,28 {(-1,53%) – 3,75%}2+ 0,31{(-1,53%) –(-11,39%)}2+
0,33 {(-1,53%) – (-11,95%)}2+ 0,34 {(-1,53%) – 0%}2
Ϭ2 RIF = 0,26 { 0,0415} + 0,28 { 0,0028}+ 0,31{ 0,0097}+ 0,33 { 0,0108}+ 0,34 { 0,0002}
Ϭ2 RIF = 0,0107 + 0,0007 + 0,0030 + 0,0035 + 0
Ϭ2 RIF = 0,0179

Ϭ2 RIQ = Pi1 {E(RQ) – RIQ1}2 + Pi2 {E(RQ) – RIQ2}2+ Pi3 {E(RQ) – RIQ3}2+ Pi4 {E(RQ) – RIQ4}2+
Pi5 {E(RQ) – RIQ5}2
Ϭ2 RIQ = 0,26 {12,78% – 5,6%%}2 + 0,28 {12,78% – 4,58%}2+ 0,31 {12,78% – 10,14%}2+ 0,33
{12,78% – (-6,39%)}2+ 0,34 {12,78% – (-12,08%)}2
Ϭ2 RIQ = 0,26 { 0,0149} + 0,28 { 0,0067}+ 0,31 { 0,0007}+ 0,33 { 0,0367}+ 0,34 { 0,0000}
Ϭ2 RIQ = 0,0038 + 0,0018 + 0,0002 + 0,0121 + 0
Ϭ2 RIQ = 0,0179
Ϭ2 RIK = Pi1 {E(RK) – RIK1}2 + Pi2 {E(RK) – RIK2}2+ Pi3 {E(RK) – RIK3}2+ Pi4 {E(RK) – RIK4}2+
Pi5 {E(RK) – RIK5}2
Ϭ2 RIK = 0,26 {4,68% – 2,8%}2 + 0,28 {4,68% – (-2,36%)}2+ 0,31 {4,68% – (-4,44%)}2+ 0,33
{4,68% – (-7,22%)}2+ 0,34 {4,68% – (-2,92%)}2
Ϭ2 RIK = 0,26 { 0,0006} + 0,28 { 0,0049}+ 0,31 { 0,0083}+ 0,33 { 0,0141}+ 0,34 { 0,0057}
Ϭ2 RIK = 0,0001 + 0,0013 + 0,0025 + 0,0046 + 0,0019
Ϭ2 RIK = 0,0104

e. Covarians
CovRIF = Pi1 {E(RM) – Rmi1} . {E(RF) – RIF1} + Pi2 {E(RM) – Rmi2} . {E(RF) – RIF2} + Pi3
{E(RM) – Rmi3} . {E(RF) – RIF3} + Pi4 {E(RM) – Rmi4} . {E(RF) – RIF4} + Pi5 {E(RM) – Rmi5} .
{E(RF) – RIF5}
CovRIF = 0,26 {17,01% – 22%} . {(-1,53%) – 18,84%} + 0,28 {17,01% – 19%} . {(-1,53%) –
3,75%} + 0,31 {17,01% – 14%} . {(-1,53%) – (-11,39%)} + 0,33 {17,01% – 7%} . {(-1,53%) –
(-11,95%)} + 0,34 {17,01% – (-2%)} . {(-1,53%) – 0}
CovRIF = 0,26 {0,0301}.{-0,2037} + 0,28 {-0,0199}.{-0,0222} + 0,31{0,0301}.{0,0986} + 0,33
{-0,5299}.{0,1042} + 0,34 {0,3701}.{-0,0153}
CovRIF = -0,0015 + 0,0001 + 0,0009 + -0,0182 + -0,0019
CovRIF = -0,0205

CovRIQ = Pi1 {E(RM) – Rmi1} . {E(RQ) – RIQ1} + Pi2 {E(RM) – Rmi2} . {E(RQ) – RIQ2} + Pi3
{E(RM) – Rmi3} . {E(RQ) – RIQ3} + Pi4 {E(RM) – Rmi4} . {E(RQ) – RIQ4} + Pi5 {E(RM) – Rmi5}
. {E(RQ) – RIQ5}
CovRIQ = 0,26 {17,01% – 22%} . {12,78% – 5,6%} + 0,28 {17,01% – 19%} . {12,78% –
4,58%} + 0,31 {17,01% – 14%}.{12,78% – 10,14%} + 0,33 {17,01% – 7%}.{12,78% – (-
6,39%)} + 0,34 {17,01% – (-2%)} . {12,78% – (-12,08%)}
CovRIQ = 0,26 { -0,0499}.{ 0,1222} + 0,28 { -0,0199}.{ 0,082} + 0,31{ 0,0301}.{ 0,0264} +
0,33 {-0,5299}.{ 0,0639} + 0,34 {0,3701}.{ 0,2486}
CovRIQ = -0,0015 + -0,0005 + 0,0002 + -0,0111 + 0,0312
CovRIQ = 0,0405
CovRIK = Pi1 {E(RM) – Rmi1} . {E(RK) – RIK1} + Pi2 {E(RM) – Rmi2} . {E(RK) – RIK2} + Pi3
{E(RM) – Rmi3} . {E(RK) – RIK3} + Pi4 {E(RM) – Rmi4} . {E(RK) – RIK4} + Pi5 {E(RM) – Rmi5}
. {E(RK) – RIK5}
CovRIK = 0,26 {17,01% – 22%} . {4,68% – 2,8%} + 0,28 {17,01% – 19%} . {4,68% – (-
2,36%)} + 0,31 {17,01% – 14%}.{4,68% – (-4,44%)} + 0,33 {17,01% – 7%}.{4,68% – (-
7,22%)} + 0,34 {17,01% – (-2%)} . {4,68% – (-2,92%)}
CovRIK = 0,26 {-0,0499}.{0,026} + 0,28 {-0,0199}.{0,0232} + 0,31{ -0,0301}.{0,0912} + 0,33
{-0,5299}.{-0,0258} + 0,34 {0,3701}.{0,076}
CovRIK = -0,0003 + -0,0001 + -0,0008 + 0,0045 + 0,0095
CovRIK = 0,0128

f. Comparable risk corporate (CRC)

CovRI F
CRC F =
σ 2 Rmi
−0 , 0205
CRC F =
0 , 0179
CRC F =-1,15
CovRI Q
CRC Q=
σ 2 Rmi
CRC Q =0 , 0405
0 , 0179
CRC Q =2,26
CovRI K
CRC K =
σ 2 Rmi
0 , 0128
CRC K =
0 , 0104
CRC K =1,23

g. Condition Risk (CR)

CRVY = CRCVY {E(RM) – Rf}
CRVY = 19,2 {0,0442 – 0,0522}
CRVY = 19,2 (0,0418)
CRVY = 0,8025 atau 80,25%