Syarif Hidayatulloh 041914353005

Savira Uchtia Rachma 041914353007

Pich Keomorakath 041914353042
MINI CASE: A JOB AT EAST COAST YACHTS,
You are discussing your 401(k) with Dan Ervin when he mentions
that Sarah Brown, a representative from Bledsoe Financial
Services, is visiting East Coast Yachts today. You decide that you
should meet with Sarah, so Dan sets up an appointment for you
later in the day.
When you sit down with Sarah, she discusses the various
investment options available in the company’s 401(k) account.
You mention to Sarah that you researched East Coast Yachts
before you accepted your new job. You are confident in
management’s ability to lead the company. Analysis of the
company has led to your belief that the company is growing and
will achieve a greater market share in the future. You also feel you
should support your employer. Given these considerations, along
with the fact that you are a conservative investor, you are leaning
toward investing 100 percent of your 401(k) account in East Coast
Yachts stock.
Assume the risk-free rate is 3.2 percent. The correlation between
the Bledsoe bond fund and large-cap stock fund is .15. Note that
the spreadsheet graphing and “solver” functions may assist you in
answering the following questions.
1. Considering the effects of diversification, how should Sarah respond
to the suggestion that you invest 100 percent of your 401(k) account in
East Coast Yachts stock?
2. Sarah’s response to investing your 401(k) account entirely in East
Coast Yachts stock has convinced you that this may not be the best
alternative. Because you are a conservative investor, you tell Sarah that a
100 percent investment in the bond fund may be the best alternative. Is it?
3. Using the returns for the Bledsoe Large-Cap Stock Fund and the
Bledsoe Bond Fund, graph the opportunity set of feasible portfolios.
4. Examining the opportunity set, notice there is a portfolio that has the
lowest standard deviation. This is the minimum variance portfolio. What
are the portfolio weights, expected return, and standard deviation of this
portfolio? Why is the minimum variance portfolio important?
5. measure of risk-adjusted performance that is often used is the Sharpe
ratio. The Sharpe ratio is calculated as the risk premium of an asset
divided by its standard deviation. The portfolio with the highest possible
Sharpe ratio on the opportunity set is called the Sharpe optimal portfolio.
What are the portfolio weights, expected return, and standard deviation
of the Sharpe optimal portfolio? How does the Sharpe ratio of this
portfolio compare to the Sharpe ratios of the bond fund and the large-cap
stock fund? Do you see a connection between the Sharpe optimal portfolio
and the CAPM? What is the connection?
 SAHAM

% ???

%???
OBLIGASI
1. Menginvestasikan 100% ke saham East Coast
Yacths ini bukan merupakan keputusan
keuangan paling bijaksana, apalagi
mengetahui Mr.X adalah investor yang
konservatif. Sarah harus meyakinkan Mr.X
untuk mendiversifikasi portofolio Karena
dengan Diversifikasi bisa menurunkan resiko
investasi.
2. Memang jika berbicara tentang Volatilitas,
Volatilitas Obligasi lebih kecil daripada saham.
Hanya memilih obligasi saja maka
menghasilkan pengembalian investasi yang
lebih rendah karena obligasi hanya
mendapatkan keuntungan maksimal 8% belum
dipotong pajak. Sekali lagi, pilihan yang lebih
baik adalah gunakan kombinasi dana untuk
mendiversifikasi portofolio.
3. Kita dapat menggunakan persamaan untuk
pengembalian yang diharapkan dari portofolio,
dan standar deviasi portofolio, yaitu:
E(RP) = XStockE(RStock) + XBondE(RBond)

σP =
 Dengan menggunakan persamaan dan bobot portofolio dari nol hingga
100 persen pada interval 10 persen, kami mendapatkan pengembalian
portofolio yang diharapkan dan penyimpangan standar berikut:

Weight of stock Weight of bond Portfolio E(R) Portfolio

fund fund standard
deviation
0% 100% 6% 10%
10% 90% 6.2% 9.9 %
20% 80% 6.4% 10.69%
30% 70% 6.6% 12.20%
40% 60% 6.8% 14.19%
50% 50% 7% 16.50%
60% 40% 7.2% 19.01%
70% 30% 7.4% 21.65%
80% 20% 7.6% 24.38%
90% 10% 7.8% 27.16%
100% 0% 8% 30%
Grafik himpunan peluang dari portofolio akan
terlihat seperti berikut:
Invesment Opportunity set
9
Expected Return Portofolio

0
0 5 10 15 20 25 30 35
Standar Deviasi Portofolio
4. Kombinasi portofolio yang memiliki standar
deviasi terendah adalah 10% Dana Saham
Besar dan 90% Dana Obligasi. Pengembalian
yang diharapkan adalah 6,2%, Standar Deviasi
adalah 9,9%. Varians minimum penting karena
setelah Anda mengetahui portofolio dengan
varian minimum, Anda dapat mengidentifikasi
titik batasan efisien (portofolio) pada grafik.
5. Sharpe Ratio =

Xstock Xbond Erp Std Sharpe Ratio

0 100 6% 10% 43,0%

10 90 6,20% 9,90% 43,4%

20 80 6,40% 10,69% 40,2%

30 70 6,60% 12,20% 35,2%

40 60 6,80% 14,19% 30,3%

50 50 7% 16,50% 26,1%

60 40 7,20% 19,01% 22,6%

70 30 7,40% 21,65% 19,9%

80 20 7,60% 24,38% 17,6%

90 10 7,80% 27,16% 15,8%

100 0 8% 30% 14,3%

Sharpe Ratio paling optimal pada bobot 10%
saham dan 90% Obligasi yaitu sebesar 43,40%
besar sharpe ratio. Semakin besar sharpe ratio
semakin baik karena rata-rata pergerakan imbal
hasilnya lebih besar dari risk free rate dan standar
deviasi relatif rendah.

Sharpe rasio dan CAPM ialah sama-sama

merupakan metode pengukuran kinerja pada
suatu Investasi. Untuk menggunakan CAPM kita
perlu 3 variabel, yaitu Risk Free rate, Beta dan
Market Return. Dan Sharpe Rasio menggunakan 3
variabel, yaitu Risk free rate, Standar deviasi dan
Imbal hasil Portofolio.
Kesimpulan

Berdasarkan hasil perhitungan Expected Return,

Stndar deviasi dan Sharpe Ratio maka disarankan Mr.
X berinvestasi 10% pada saham dan 90 % pada
Obligasi. Karena memiliki resiko paling kecil dalam
pengembalian tertentu dan memiliki nilai rasio sharpe
paling optimal. Namun kembali lagi ke Prefensi
investor jika Investor menyukai Resiko tentu akan
mengambil kombinasi saham yang memiliki resiko
tertinggi dengan pengembalian yang diharapkan juga
tinggi. Dan begitu juga sebaliknya.