Return and Risk

(Aktiva Tunggal)

Wendy
 Return
O Return. Hasil investasi yang dpt dibagi menjadi
return realisasian (sudah terjadi) dan return
ekspektasian (belum terjadi).
O Realized (actual) return. Telah terjadi, sering
digunakan sbg salah satu pengukur kinerja
perusahaan dan dasar penentuan return
ekspektasian serta risiko di masa depan.
O Expected return. Return yang diharapkan akan
diperoleh pemodal di masa depan (belum terjadi).
O Excess Return.
 Pengukuran Return
O Return Total.
Return = Capital Gain (Loss) + Yield.
Capital Gain/Loss = [(Pt – Pt-1) / Pt-1]
O Return = [(Pt – Pt-1) / Pt-1] + Yield
O Utk saham biasa yg membayar dividen periodik
sebesar Dt rupiah perlembar, maka:
Return saham = [(Pt – Pt-1 + Dt) / Pt-1]
 Risk
O Risk. Markowitz (1950s) defines risk as the
possibility that actual returns will deviate
from the expected return. The higher the
possibility (or the probability), the higher is
the risk.
O Variance (Var) atau (σ2)
O Standard Deviation (SD) atau (σ)
O Coefficient Variation (CV)
 Var – SD - CV
O Var = SD2
𝑛
𝑖=1 (𝑅𝑖 − 𝑅𝑖 )2
O Var (Ri) =
𝑛 −1
O SDi Atau σ = 𝑉𝑎𝑟 (𝑅𝑖)
O CV = Risk / Expected Return
atau: CVi = {σi / (E[Ri])}
 Contoh
t Harga
Return (Rt) (Rt - 𝑹𝒕 ) (Rt - 𝑹𝒕 )2
ke- (P)
1 1750
2 1755
3 1790
4 1810
5 2010
6 1905
7 1920
8 1935
 Contoh
t Harga
Return (Rt) (Rt - 𝑹𝒕 ) (Rt - 𝑹𝒕 )2
ke- (P)
1 1750 - - -
2 1755 0.00286 -0.01256 0.000158
3 1790 0.01994 0.00453 0.000020
4 1810 0.01117 -0.00424 0.000018
5 2010 0.11050 0.09508 0.009040
6 1905 -0.05224 -0.06766 0.004577
7 1920 0.00787 -0.00754 0.000057
8 1935 0.00781 -0.00760 0.000058
𝑹𝒕 0.01542 𝚺 (Rt - 𝑹𝒕 )
2
0.013929
 Var – SD - CV
O Rerata Return = 0.01542
O Variance (Var) atau (σ2)
σ2 = [0.013929 / (7-1)] = 0.00232

O Standard Deviation (SD) atau (σ):

σ= 𝟎. 𝟎𝟎𝟐𝟑𝟐 = 𝟎. 𝟎𝟒𝟖𝟏𝟖

O Coefficient Variation (CV):

CV = [0.04818 / 0.01542] = 3.1252

CV  Semakin kecil angkanya semakin baik kinerja asset

tersebut.
 Latihan:
Kinerja BMRI dan TLKM Minggu I Thn “XX”

Hari BMRI Return (Rt - 𝑹𝒕 )2 TLKM Return (Rt - 𝑹𝒕 )2

Jum 3530 11500

Sen 3600 11850
Sel 3675 12500
Rab 3600 12250
Kam 3700 12000
Jum 3675 12750
𝑹𝒕 𝑹𝒕
𝚺 (Rt - 𝑹𝒕 )2 𝚺 (Rt - 𝑹𝒕 )2
 Diminta:

Saham mana yang Saudara

rekomendasikan untuk dibeli jika
dianalisis dari sisi CV-nya?
 Hubungan Risk-Return Pada
Financial Instruments
E [R]

Future
Opsi
Waran
Saham Biasa
Saham Preferen
Obligasi Perusahaan
Obligasi Pemerintah
Obligasi Pemerintah Daerah
Deposito
RF SBI
Risk
 Risk-Return dan
Perilaku Investor
E [R]

Risk - Lover/Taker

RF
Risk
Risk and Return
(Portfolio)

Wendy
“Do not put all of your eggs in one basket”
 Contoh
Investment “A” Investment “B”

Return Probability Return Probability

0.25 0.2 0.25 0.3

0.15 0.6 0.15 0.4

0.05 0.2 0.05 0.3

Total 1.0 Total 1.0

 Perhitungan Return-Risk
dengan Probability
O Return “A”
E[RA] = (0.25 x 0.2) + (0.15 x 0.6) + (0.05 x 0.2) = 0.15
atau 15%
O Return “B” = ?
E[RB] = ...
O Risk “A”
σA = [0.2 (0.25 – 0.15)2 + 0.6 (0.15 – 0.15)2 + 0.2 (0.05
– 0.15)2]1/2 = 0.063 atau 6.3%
O Risk “B” = ?
σB = ....
 Grafik
E[R]

0.30 Contoh
C

A
0.15 B

Risk
0.063 0.077
 Price and monthly returns of stocks Astra International and Duta Anggada,
January 1995 - December 1996

Year and M ont h A st ra Int ’ l R. A I . Dut a A nggada R. DA .

1995.01 2,625 0.0189 I, 2 5 0 0.1988
1995.02 2,675 -0 . 0 8 7 8 I, 5 2 5 -0 . 0 6 7 8
1995.03 2,450 -0 . 0 9 6 3 I, 4 2 5 -0 . 0 7 2 7
1995.04 2,225 0.0963 I, 3 2 5 0.2492
1995.05 2,450 -0 . 0 6 3 1 I, 7 0 0 0.0571
1995.06 2,300 -0 . 0 1 0 9 I, 8 0 0 0.0137
1995.07 2,275 0.0638 I, 8 2 5 -0 . 1 1 6 0
1995.08 2,425 0.1074 I, 6 2 5 -0 . 0 6 9 6 8
1995.09 2,700 0.3150 I, 4 7 5 -0 . 0 3 4 4
1995.10 3,700 -0 . 0 7 7 2 I, 4 2 5 -0 . 1 7 1 8
1995.11 3,425 0.0358 I, 2 0 0 -0 . 0 8 7 0
1995.12 3,550 -0 . 0 1 4 1 I, 1 0 0 0.0659
1996.01 3,500 -0 . 1 9 6 7 I, 1 7 5 0.0416
1996.02 2,875 0.0086 I, 2 2 5 0.1512
1996.03 2,900 0.0255 I, 4 2 5 0.0840
1996.04 2,975 -0 . 0 8 7 7 I, 5 5 0 0.0160
1996.05 2,725 -0 . 0 7 6 2 I, 5 7 5 0.0157
1996.06 2,525 -0 . 1 3 7 7 I, 6 0 0 0.3070
1996.07 2,200 0.0765 2,175 -0 . 0 5 9 1
1996.08 2,375 0.4700 2,050 -0 . 0 5 0 0
1996.09 3,800 0.0698 i, 9 5 0 0.0976
1996.10 4,075 0.2815 2,150 0.0995
1996.11 5,400 -0 . 0 2 3 4 2,375 -0 . 0 7 6 5
1996.12 5,275 0.1696 2,200 0.000
1997.01 6,250 NA 2,200 NA
Ex pect ed ret urn 0.0361 0.0235
SD of ret urn 0.1523 0.1188

18
Risk and return of Duta Anggada and Astra Int’l

O We can plot the data of Table 1 to the following figure:

E(R)

0.0361 * AI

0.0235 * DA


0.1188 0.1523

E(R) and  of Duta Anggada and Astra International

19
 Constructing portfolios
O Now let’s assume that investors would like to form the following
portfolios
Composition .
Portfolios Astra International Duta Anggada Sum .
DA 0.00 1.00 1.00
#1 0.20 0.80 1.00
#2 0.40 0.60 1.00
#3 0.60 0.40 1.00
#4 0.80 0.20 1.00
AI 1.00 0.00 1.00

O The E(R) and  of those portfolios, together with 100% investment in

DA and 100% investment in AI, are as follows:

20
 Returns of DA, AI, and the portfolios consisting those two assets
January 1995 - December 1996

Year and Month R.DA . R.PORT1 R.PORT2 R.PORT3 R.PORT4 R.AI .

1995.01 0.1988 0.1628 0.1268 0.0908 0.0548 0.0189
1995.02 -0.0678 -0.0718 -0.0758 -0.0798 -0.0838 -0.0878
1995.03 -0.0727 -0.0774 -0.0821 -0.0869 -0.0916 -0.0963
1995.04 0.2492 0.2186 0.1880 0.1574 0.1269 0.0963
1995.05 0.0571 0.0330 0.0090 -0.0150 -0.0391 -0.0631
1995.06 0.0137 0.0088 0.0039 -0.0010 -0.0059 -0.0109
1995.07 -0.1160 -0.0800 -0.0441 -0.0081 0.0278 0.0638
1995.08 -0.0968 -0.0559 -0.0151 0.0257 0.0665 0.1074
1995.09 -0.0344 0.0354 0.0153 0.1752 0.2451 0.3150
1995.10 -0.1718 -0.1529 -0.1340 -0.1150 -0.0961 -0.0772
1995.11 -0.0870 -0.0624 -0.0378 -0.0132 0.0112 0.0358
1995.12 0.0659 0.0499 0.0339 0.0178 0.0018 -0.0141
1996.01 0.0416 -0.0060 -0.536 -0.1013 -0.1490 -0.1967
1996.02 0.1512 0.1227 0.0942 0.0656 0.0371 0.0086
1996.03 0.0840 0.0723 0.0606 0.0489 0.0372 0.0255
1996.04 0.0160 -0.0047 -0.0255 -0.0462 -0.0670 -0.0877
1996.05 0.0157 -0.0026 -0.0210 -0.0394 -0.0578 -0.0762
1996.06 0.3070 0.2180 0.1291 0.0401 -0.0488 -0.1377
1996.07 -0.0591 -0.0320 -0.0048 0.0222 0.0493 0.0765
1996.08 -0.0500 0.0539 0.1579 0.2619 0.3660 0.4700
1996.09 0.0976 0.0920 0.0865 0.0809 0.0754 0.0698
1996.10 0.0995 0.1359 0.1723 0.2087 0.2451 0.2815
1996.11 -0.0765 -0.0659 -0.0552 -0.0446 -0.0340 -0.0234
1996.12 0.000 0.0339 0.0678 0.1017 0.1356 0.1696
Expected return 0.0235 0.0260 0.0286 0.0311 0.0336 0.0361
SD of return 0.1188 0.0967 0.0888 0.0985 0.1217 0.1523

21
 E(R) and  of Duta Anggada, Astra International,
and portoflios consisting those stcoks

E(R)
0.040

0.035

0.030

0.025

0.020

0.015


0 0.06 0.08 0.10 0.12 0.14 0.16

O Could you identify the benefit of diversification?

22
Mana yang Anda Pilih?
O Portofolio 1:
BMRI, BBNI, BBCA, BBRI
O Portofolio 2:
WIIM, HMSP, SGRO, GGRM
O Portofolio 3:
INDF, GGRM, BMRI, AALI
O Portofolio 4:
AALI, LSIP, BBNI, UNVR