menghitung return yang diharapkan

untuk aset tunggal (stand alone)

1 menghitung rata-rata dari semua return yang mungkin terjadi

berdasar skenario kondisi ekonomi weighted average
kondisi ekonomi probabilitas return Expected Return
baik 0.25 0.4 0.1
sedang 0.5 0.25 0.125
buruk 0.25 0.1 0.025
1 0.25

2 Arithmetic mean
return AFFA selama lima tahun
tahun
2015 15
2016 -20
2017 -22
2018 24
2019 30
expected return (%) 5.4
arithmetic mean %
5.4
jika pola distribusi return sangat flukuatif metode ini bisa menyesatkan

3 Geometric Mean {[(1+R1)(1+R2)(1+R3)…(1+Rn)]^1/n} - 1

perhitungan compounding dari aliran return selama periode tertentu
tahun return (%) return relatif (1+Return)
2015 15 1.15 1.1567712
2016 -20 0.8 1.029554861
2017 -22 0.78 0.029554861
2018 24 1.24 2.955486113
2019 30 1.3 geometric mean

=GEOMEAN(1+r)-1
2.95548611 % 0.029554861
demand for probability of this rate of return on stock if this state occurs
the company'demand occuring Martin Products US Electric
strong 0.3 1 0.2
normal 0.4 0.15 0.15
weak 0.3 -0.7 0.1

Calculation of Expected Rates of Return

demand for probability of this
the company'demand occuring Martin Products US Electric Expctd R MarExpctd R US Electric
strong 0.3 1 0.2 0.3 0.06
normal 0.4 0.15 0.15 0.06 0.06
weak 0.3 -0.7 0.1 -0.21 0.03
A B 0.15 0.15
0.15 0.15
the tighter the probability distribution, the lower risk assigned to a stock

Calculation Martin Products' Standard Deviation

ki-kbar = x-xb(ki-kbar)^2 (ki-kbar)^2Pi
0.85 0.7225 0.21675
0 0 0
-0.85 0.7225 0.21675
0.4335 variance martin
0.65840716885526 standard deviation

Calculation US Electric' Standard Deviation

ki-kbar (ki-kbar)^2 (ki-kbar)^2Pi
0.05 0.0025 0.00075
0 0 0
-0.05 0.0025 0.00075
0.0015 variance
0.03872983346207 standard deviation

koefisien varian (coefficient of variation)Martin US Electric

resiko relatif 4.38938112570174 0.25819889
resiko per unit return yang diharapkan
= standar deviasi return / return yang diharapkan untuk mendapatkan return 1%
portfolio dari saham Martin, seorang
diversifikasi investor harus menanggung resiko
1. diversifikasi random sebesar 4.389%
2. diversifikasi Markowitz
kovarians
 tingkat keuntungan
saham A expected return?
0.1 -0.1 standard deviation?
0.2 0.02 coefficient of variation?
0.4 0.12
0.2 0.2
0.1 0.38
pctd R US Electric
expected stdev
return
-0.01 0.00484
0.004 0.002
0.048 7.70372E-35
0.04 0.00128
0.038 0.00676
0.12 0.01488 varians
0.12 0.12198361 stdev=12.20%

koefisien variasi = 1.01653005

TOTAL RETURN CALCULATION
BOND TOTAL RETURN = (I + (Pe-Pb))/Pb
contoh :
NOMINAL 10000000
Pb = Pt-1 9600000
Pe = Pt 10200000
I 0.1
TR 0.1667
TR= yield (%) capital gain (%)
(10.000.000x10%)/9.600. (10.200.000-9.600.000)/9.600.000
1.000.000/9.600.000 600.000 / 9.600.000
10.4166666666667 6.25 %
16.6666666666667 %
I = the interest payment(s) received during the period
Pb and Pe = the beginning and ending prices, respectively

STOCK TOTAL RETURN

STOCK TOTAL RETURN = YIELD + CAPITAL GAIN Pt = Pe = Price ending
= (D + (Pe-Pb))/Pb
= D/Pb + (Pe-Pb)/Pb Pt-1 = Pb = price beginning
100 lembar saham dibeli Rp. 300000 per lembar
satu tahun kemudian dijual Rp 260000 per lembar
dividen yang diterima Rp 20000 per lembar

Stock TR = -0.0666666666666667
TR -6.66666666666667 %

YIELD 6.66666666666667 %
-40000
CAPITAL LOSS -0.133333333333333
CAPITAL LOSS -13.3333333333333 %

Total Return -6.66666666666667 %

WARRANT TOTAL RETURN = (Ci + (Pe-Pb))/Pb

Ci = any cash payment received by the warrant holder during period.
Because warrant pay no dividends, the only return to investor from
owning a warrant is the change in price during period
warrant = opsi untuk membeli saham
diterbitkan bersama saham atau obligasi sebagai pemanis
 Pt-1 = Pb = Price beginning
Pt = Pe = Price ending
I = interest

= Pe = Price ending

-1 = Pb = price beginning

20.000/300.000
-0.13333333
(260.000-300.000)/300.000

estor from