Risiko Dan Tingkat Pengembalian: Risiko Sendiri Risiko Portfolio

Chapter 8
Risiko dan Tingkat Pengembalian
Risiko Sendiri
Risiko Portfolio
CAPM/SML
8-1
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Apakah Risiko Investasi?
• Dua tipe risiko investasi

– Risiko Sendiri
– Risiko Portofolio
• Risiko Investasi merupakan kemungkinan menerima
realisasi tingkat pengembalian (return) rendah atau
negative
• Semakin besar perbedaaan return realisasi dari yang
diharapkan semakin tinggi tngkat risiko.
• Atau semakin besar kemungkinan mendapatkan retun
yang lebih rendah atau negative dari yang diharapkan,
investasi semakin berrisiko
8-2
Distribusi Probabilitas
• suatu distribusi yang mengambarkan peluang dari

sekumpulan variat sebagai pengganti frekuensinya.
Dapat digambarkan pada grafik berikut.
Persh X
Persh Y
Tingkat
-70 0 15 100 pengembalian (%)
Tingkat pengembalian yang diharapkan

8-3
Tingkat Pengembalian Realisasi di Amerika Serikat,
1926-2010
Source: Based on Ibbotson Stocks, Bonds, Bills, and Inflation: 2011 Classic
Yearbook (Chicago: Morningstar, Inc., 2011), p. 32.
8-4
Alternatif Investasi Hipotetis
Kondisi Prob T- HT Coll USR MP

Perekonomian . Bills
Resesi 0.1 5.5% -27.0% 27.0% 6.0% -17.0%

Bawah Rerata 0.2 5.5% -7.0% 13.0% -14.0% -3.0%
Rerata 0.4 5.5% 15.0% 0.0% 3.0% 10.0%
Atas Rerata 0.2 5.5% 30.0% -11.0% 41.0% 25.0%
Bagus 0.1 5.5% 45.0% -21.0% 26.0% 38.0%
8-5
Mengapa return T-bill tidak dipengaruhi kondisi ekonomi?
Apakah T-bills memberikan tingkat pengembalian yang
bebas risiko sempurna?
• Tingkat pengembalian yang dijanjikan T-bills adalah 5.5%,

tidak dipengaruhi kondisi perekonomian.
• Tidak, T-bills tidak memberikan tingkat pengembalian
yang bebas risiko sempurna karena masih adanya
pengaruh inflasi. Meski pengaruhnya sangat sedikit
mengingat periode T-bill berjangka pendek (kurang dari
satu tahun)
• T-bills terdapat risiko investasi kembali (reinvestment risk)
• T-bills dianggap bebas risiko karena relative memiliki
tingkat risiko paling rendah dibanding jenis sekuritas
lainnya
8-6
Bagaimana return High Tech dan Collections
berperilaku terhadap pasar modal?
• High Tech: bergerak sejalan dengan kondisi

perekonomian, dan memiliki tingkat korelasi positif
terhadap pasar. Hal yang biasa.
• Collections: bergerak berkebalikan dengan kondisi
perekonomian, Tingkat korelasi negatif. Hal yang
tidak biasa.
8-7
Menghitung Tingkat Pengembalian Yang Diharapkan
r̂  Expected rate of return
N
r̂   Piri
i1
r̂  (0.1)(-27%)  (0.2)(-7%)  (0.4)(15%)

 (0.2)(30%)  (0.1)(45%)
 12.4%
8-8
Ringkasan Tingkat Pengembalian Yang Diharapkan
TingkatPengembaian yang Diharapkan

High Tech 12.4%
Market 10.5%
US Rubber 9.8%
T-bills 5.5%
Collections 1.0%
High Tech memiliki tingkat pengembalian ertinggi, dan
nampaknya merupakan invetasi yang paling bagus. Namun
apapkah memang demikian? Berapakah tingkat risikonya?
8-9
Menghitung Standar Deviasi
  Standard deviation
  Variance  2
N
  (
i1
r  r̂)2
Pi
8-10
Standar Deviasi setiap investasi
N
  (r
i1
 r̂ )2
Pi
1/2
(5.5  5.5) (0.1)  (5.5  5.5) (0.2)
2 2
 
 T-bills  (5.5  5.5)2 (0.4)  (5.5  5.5)2 (0.2)
  (5 .5  5.5)2
(0.1) 
 
 T-bills  0.0%
σHT = 20% σColl = 13.2%
σM = 15.2% σUSR = 18.8%

8-11
Membandingkan Standard Deviasi
Prob.
T-bills
USR
HT
0 5.5 9.8 12.4 Rate of Return (%)

8-12
Komentar atas Standard Deviasi sebagai
PengukuranTingkat Risiko
• Standard deviasi (σi) mengukur total risiko sendiri (stand-

alone risk).
• Semakin besar σi, semakin rendah probabilitas return
actual sama dengan return yang diharapkan.
• Semakin besar σi , semakin lebar penyebaran distribusi
probabilitas return.
8-13
Membandingkan Tingkat Risiko dan Return
Tingkat
Sekuritas Return Yang Diharapkan
r̂ Risiko, 
T-bills 5.5% 0.0%
High Tech 12.4 20.0
Collections* 1.0 13.2
US Rubber* 9.8 18.8
Market 10.5 15.2
*Seems out of place.
8-14
Koefisien Variasi (CV)
• Istilah lainnya deviasi standar relatif ( RSD ),

• Adalah ukuran standar penyebaran distribusi
probabilitas atau distribusi frekuensi . ,
• Menunjukkan tingkat risiko per satu unit return.
Standard deviation 
CV  
Expected return r̂
8-15
CV Sebagai Pengukuran Risiko Relatif
Prob.
A B
0 Rate of Return (%)
σA = σB , namun A lebih berisiko karena lebih besar distribusi

kerugiannya. Dengan kata lain, dengan tingkat risiko yang
sama (diukur dengan σ) tetapi memberikan return yang
lebih rendah.
8-16
Tingkat Risiko berdasarkan Koofisien Variasi
CV
T-bills 0.0
High Tech 1.6
Collections 13.2
US Rubber 1.9
Market 1.4
• Collections menghasilkan tingkat risiko terbesar per
unit returnnya.
• High Tech, menskipun memberikan return terbesar
namun tingkat risikonya relative rata2 CV.
8-17
Sikap Investor Terhadap Risiko
• Risk aversion: investor tidak menyukai risiko dan

mensyaratkan tingkat pengembalian yang tinggi
apabila mereka akan investasi pada sekuritas yang
berrisiko.
• Risk premium: perbedaan antara return pada asset
yang berrisiko dan yang tidak, menambah tingkat
kompensasi bagi investjor ketika mereka investasi
pada asset yang berrisko.
8-18
Konstruksi Portfolio : Risiko dan Return
• Misalkan suatu portofolio terdiri dari dua saham

masing2 $50,000 diinvestasikan di High Tech dan
Collections.
• Maka return potofolio yang diharapkan adalah rata2
tertimbang masing2 return aktiva/aset di dalamnya
• Sedangkan deviasi standard portofolio sebagai alat ukur
risiko bukanlah rata2 tertimbang dari tingkat risiko
masing2 aset di dalam portofolio yang dibentuk.
8-19
Menghitung Return Yang Diharapkan Suatu Portofolio
r̂p is a weighted average :
N
r̂p   wir̂i
i1
r̂p  0.5(12.4%)  0.5(1.0%)  6.7%
8-20
Suatu Metode Alternatif untuk Menentukan
Return Yang Diharapkan dari suatu Portofolio
Kondisi Proba HT Coll (E)R
Ekonomi bilitas Portofolio
Resesi 0.1 -27.0% 27.0% 0.0%
Bawah Rerata 0.2 -7.0% 13.0% 3.0%
Rerata 0.4 15.0% 0.0% 7.5%
Diatas Rerata 0.2 30.0% -11.0% 9.5%
Bagus 0.1 45.0% -21.0% 12.0%
r̂p  0.10 (0.0%)  0.20 (3.0%)  0.40 (7.5%)

 0.20 (9.5%)  0.10 (12.0%)  6.7%
8-21
Menghitung Deviasi Standard Portofolio dan
Koefisien Varians (CV)
1
 0.10 (0.0 - 6.7)  2 2
 2 
 0.20 (3.0 - 6.7) 
p   0.40 (7.5 - 6.7)2   3.4%
 
 0.20 (9.5 - 6.7)2 
 
 0.10 (12.0 - 6.7) 
2
3.4%
CVp   0.51
6.7%
8-22
Komentar pada Pengukuran Risiko Portofolio
• σp = 3.4% jauh lebih rendah daripada σi masing2

saham (σHT = 20.0%; σColl = 13.2%).
• σp = 3.4% lebih rendah daripada rata2 tertimbang
tingkat risiko High Tech dan Collections (16.6%).
• Pada kasus di atas, portofolio menyediakan rata2
return masing2 saham yang ada di dalamnya, namun
memberikan tingkat risiko yang lebih rendah daripada
tisiko rata2nya.
• Mengapa? Karena adanya korelasi negative diantara
return saham dalam portofolio
8-23
General Comments about Risk
• σ  35% for an average stock.

• Most stocks are positively (though not perfectly)
correlated with the market (i.e., ρ between 0 and 1).
• Combining stocks in a portfolio generally lowers risk.
8-24
Returns Distribution for Two Perfectly Negatively
Correlated Stocks (ρ = -1.0)
8-25
Returns Distribution for Two Perfectly Positively
Correlated Stocks (ρ = 1.0)
Stock M Stock M’ Portfolio MM’
25 25 25
15 15 15
0 0 0
-10 -10 -10
8-26
Partial Correlation, ρ = +0.35
8-27
Creating a Portfolio: Beginning with One Stock and
Adding Randomly Selected Stocks to Portfolio
• σp decreases as stocks are added, because they

would not be perfectly correlated with the
existing portfolio.
• Expected return of the portfolio would remain
relatively constant.
• Eventually the diversification benefits of adding
more stocks dissipates (after about 40 stocks), and
for large stock portfolios, σp tends to converge to
 20%.
8-28
Illustrating Diversification Effects of a Stock
Portfolio
8-29
Breaking Down Sources of Risk
Stand-alone risk = Market risk + Diversifiable risk
• Market risk: portion of a security’s stand-alone risk

that cannot be eliminated through diversification.
Measured by beta.
• Diversifiable risk: portion of a security’s stand-
alone risk that can be eliminated through proper
diversification.
8-30
Failure to Diversify
• If an investor chooses to hold a one-stock portfolio

(doesn’t diversify), would the investor be
compensated for the extra risk they bear?
– NO!
– Stand-alone risk is not important to a well-diversified
investor.
– Rational, risk-averse investors are concerned with σp,
which is based upon market risk.
– There can be only one price (the market return) for a
given security.
– No compensation should be earned for holding
unnecessary, diversifiable risk.
8-31
Capital Asset Pricing Model (CAPM)
• Model linking risk and required returns. CAPM

suggests that there is a Security Market Line (SML)
that states that a stock’s required return equals the
risk-free return plus a risk premium that reflects the
stock’s risk after diversification.
ri = rRF + (rM – rRF)bi
• Primary conclusion: The relevant riskiness of a stock
is its contribution to the riskiness of a well-diversified
portfolio.
8-32
Beta
• Measures a stock’s market risk, and shows a stock’s

volatility relative to the market.
• Indicates how risky a stock is if the stock is held in a
well-diversified portfolio.
8-33
Comments on Beta
• If beta = 1.0, the security is just as risky as the

average stock.
• If beta > 1.0, the security is riskier than average.
• If beta < 1.0, the security is less risky than average.
• Most stocks have betas in the range of 0.5 to 1.5.
8-34
Can the beta of a security be negative?
• Yes, if the correlation between Stock i and the

market is negative (i.e., ρi,m < 0).
• If the correlation is negative, the regression line
would slope downward, and the beta would be
negative.
• However, a negative beta is highly unlikely.
8-35
Calculating Betas
• Well-diversified investors are primarily concerned

with how a stock is expected to move relative to the
market in the future.
• Without a crystal ball to predict the future, analysts
are forced to rely on historical data. A typical
approach to estimate beta is to run a regression of
the security’s past returns against the past returns
of the market.
• The slope of the regression line is defined as the
beta coefficient for the security.
8-36
Illustrating the Calculation of Beta
_
ri
20 . Year rM ri
15 . 1
2
15%
-5
18%
-10
10 3 12 16
5
-5 0 5 10 15 20
rM
-5 Regression line:
. -10
^
ri = -2.59 + 1.44 ^rM
8-37
Beta Coefficients for High Tech, Collections, and
T-Bills
ri HT: b = 1.32
40
20
T-bills: b = 0
-20 0 20 40
rM
Coll: b = -0.87
-20
8-38
Comparing Expected Returns and Beta Coefficients
Security Expected Return Beta

High Tech 12.4% 1.32
Market 10.5 1.00
US Rubber 9.8 0.88
T-Bills 5.5 0.00
Collections 1.0 -0.87
Riskier securities have higher returns, so the rank order
is OK.
8-39
The Security Market Line (SML): Calculating
Required Rates of Return
SML: ri = rRF + (rM – rRF)bi

ri = rRF + (RPM)bi
• Assume the yield curve is flat and that rRF = 5.5%

and
RPM = rM  rRF = 10.5%  5.5% = 5.0%.
8-40
What is the market risk premium?
• Additional return over the risk-free rate needed to

compensate investors for assuming an average
amount of risk.
• Its size depends on the perceived risk of the stock
market and investors’ degree of risk aversion.
• Varies from year to year, but most estimates
suggest that it ranges between 4% and 8% per year.
8-41
Calculating Required Rates of Return
rHT = 5.5% + (5.0%)(1.32)

= 5.5% + 6.6% = 12.10%
rM = 5.5% + (5.0%)(1.00) = 10.50%
rUSR = 5.5% +(5.0%)(0.88) = 9.90%
rT-bill = 5.5% + (5.0)(0.00) = 5.50%
rColl = 5.5% + (5.0%)(-0.87) = 1.15%
8-42
Expected vs. Required Returns
r̂ r
High Tech 12.4% 12.1% Undervalued (r̂  r)
Market 10.5 10.5 Fairly valued (r̂  r)
US Rubber 9.8 9.9 Overvalued (r̂  r)
T-bills 5.5 5.5 Fairly valued (r̂  r)
Collections 1.0 1.15 Overvalued (r̂  r)
8-43
Illustrating the Security Market Line
SML: ri = 5.5% + (5.0%)bi

ri (%)
SML
. HT
rM = 10.5
..
rRF = 5.5 .T-bills USR
-1 Coll
. 0 1 2
Risk, bi
8-44
An Example:
Equally-Weighted Two-Stock Portfolio
• Create a portfolio with 50% invested in High Tech

and 50% invested in Collections.
• The beta of a portfolio is the weighted average of
each of the stock’s betas.
bP = wHTbHT + wCollbColl
bP = 0.5(1.32) + 0.5(-0.87)
bP = 0.225
8-45
Calculating Portfolio Required Returns
• The required return of a portfolio is the weighted

average of each of the stock’s required returns.
rP = wHTrHT + wCollrColl
rP = 0.5(12.10%) + 0.5(1.15%)
rP = 6.625%
• Or, using the portfolio’s beta, CAPM can be used to
solve for expected return.
rP = rRF + (RPM)bP
rP = 5.5% + (5.0%)(0.225)
rP = 6.625%
8-46
Factors That Change the SML
• What if investors raise inflation expectations by 3%,

what would happen to the SML?
ri (%)
ΔI = 3% SML2
13.5 SML1
10.5
8.5
5.5
Risk, bi
0 0.5 1.0 1.5
8-47
Factors That Change the SML
• What if investors’ risk aversion increased, causing

the market risk premium to increase by 3%, what
would happen to the SML?
ri (%) SML2
ΔRPM = 3%
13.5 SML1
10.5
5.5
Risk, bi
0 0.5 1.0 1.5 8-48
Verifying the CAPM Empirically
• The CAPM has not been verified completely.

• Statistical tests have problems that make
verification almost impossible.
• Some argue that there are additional risk factors,
other than the market risk premium, that must be
considered.
8-49
More Thoughts on the CAPM
• Investors seem to be concerned with both market

risk and total risk. Therefore, the SML may not
produce a correct estimate of ri.
ri = rRF + (rM – rRF)bi + ???
• CAPM/SML concepts are based upon expectations,

but betas are calculated using historical data. A
company’s historical data may not reflect investors’
expectations about future riskiness.
8-50

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Risiko Dan Tingkat Pengembalian: Risiko Sendiri Risiko Portfolio

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Chapter 8

Risiko dan Tingkat Pengembalian

• Dua tipe risiko investasi

• suatu distribusi yang mengambarkan peluang dari

Tingkat pengembalian yang diharapkan

Kondisi Prob T- HT Coll USR MP

Resesi 0.1 5.5% -27.0% 27.0% 6.0% -17.0%

• Tingkat pengembalian yang dijanjikan T-bills adalah 5.5%,

• High Tech: bergerak sejalan dengan kondisi

r̂  Expected rate of return

r̂  (0.1)(-27%)  (0.2)(-7%)  (0.4)(15%)

TingkatPengembaian yang Diharapkan

σHT = 20% σColl = 13.2%

σM = 15.2% σUSR = 18.8%

0 5.5 9.8 12.4 Rate of Return (%)

• Standard deviasi (σi) mengukur total risiko sendiri (stand-

• Istilah lainnya deviasi standar relatif ( RSD ),

0 Rate of Return (%)

σA = σB , namun A lebih berisiko karena lebih besar distribusi

• Risk aversion: investor tidak menyukai risiko dan

• Misalkan suatu portofolio terdiri dari dua saham

r̂p is a weighted average :

r̂p  0.5(12.4%)  0.5(1.0%)  6.7%

r̂p  0.10 (0.0%)  0.20 (3.0%)  0.40 (7.5%)

• σp = 3.4% jauh lebih rendah daripada σi masing2

• σ  35% for an average stock.

Stock M Stock M’ Portfolio MM’

-10 -10 -10

• σp decreases as stocks are added, because they

Stand-alone risk = Market risk + Diversifiable risk

• Market risk: portion of a security’s stand-alone risk

• If an investor chooses to hold a one-stock portfolio

• Model linking risk and required returns. CAPM

• Measures a stock’s market risk, and shows a stock’s

• If beta = 1.0, the security is just as risky as the

• Yes, if the correlation between Stock i and the

• Well-diversified investors are primarily concerned

Security Expected Return Beta

SML: ri = rRF + (rM – rRF)bi

• Assume the yield curve is flat and that rRF = 5.5%

• Additional return over the risk-free rate needed to

rHT = 5.5% + (5.0%)(1.32)

SML: ri = 5.5% + (5.0%)bi

• Create a portfolio with 50% invested in High Tech

• The required return of a portfolio is the weighted

• What if investors raise inflation expectations by 3%,

• What if investors’ risk aversion increased, causing

• The CAPM has not been verified completely.

• Investors seem to be concerned with both market

• CAPM/SML concepts are based upon expectations,

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