Portofolio Capm

III. Asset Pricing Models

 CAPM
 Capital Asset Pricing Model
 1964, Sharpe, Linter
 quantifies the risk/return tradeoff
 assume

 investors choose risky and risk-free asset

 no transactions costs, taxes
 same expectations, time horizon
 risk averse investors
 CAPM membutuhkan beberapa asumsi seperti adanya
suatu asset bebas resiko (non saham) dan semua
investor mempunyai tipe utilitas dan ekspektasi yang
sama.
 Capital market line (CML) mengilustrasikan hubungan
linear antara Ekspektasi return suatu portfolio dan
standard deviasinya, ketika portofolio tersebut terdiri
dari suatu kombinasi portofolio pasar dan asset bebas
resiko.
 Daripada memilih
portofolio C, investor
diasumsikan memilih
portofolio M.
 Garis FM, dikenal
sebagai Capital Market
Line, punya gradient
{E(RM) – Rf}/σm and
intercept Rf.
 Ketika seorang investor mengkombinasikan
portofolio pasar dan asset bebas resiko, maka nilai
harapan returnnya adalah:
E ( RM )  R f
E ( RP )  R f  P
M

E(Rp) = expected return of the portfolio

E(RM) = expected return of the market
Rf = The risk free rate
σP = the standard deviation of the portfolio returns
σM = the standard deviation of the market returns
 Perhatikan suatu portofolio S, terdiri dari single aset
beresiko i dan portofolio market M. Misalkan w bobot
investasi di i dan 1-w bobot investasi di M. Sekarang
lihat plot E(Rs) dan σs. Gradien garis risk-return adalah
E(R s ) E(R s )/w

 s  s / w

 Sekarang kita lihat bahwa

E(R s ) = w E(ri )+(1-w)  E(rM )

 Selanjutnya kita lihat,
E ( Rs )
 E ( Ri )  E ( RM )
w
σs 1/2
=1/2  w σ i  1  w  σ M  2 w(1  w) iM 
2 2 2 2

w  
  2wσi2  2(1  w)σ 2M  2 iM  4 w iM 
Jika diset w = 0,

σs  iM   M2
=
w M
 Gradien garis portofolio tersebut adalah

E(R s ) E(R s )/w E ( Ri )  E ( RM )

 
 s  s / w  iM   M2  /  M

 Dari sebelumnya kita tahu bahwa gradien portofolio

pasar adalah [E(RM)-Rf ]/σM
 Akhirnya diperoleh

E ( RM )  R f E ( Ri )  E ( RM )

M  iM   M2  /  M

 iM
E ( Ri )  R f  2  E ( RM )  R f 
M
 Dengan manipulasi aljabar, diperoleh hubungan yang
sangat terkenal sebagai berikut :

 iM
E ( Ri )  R f  2 E ( RM )  R f 
M
 R f   i E ( RM )  R f 

Beta (β) adalah perbandingan atau ratio σi,M / σM,M ,

Note that the beta of the market portfolio is equal to
1. Persamaan (12.18), dikenal sebagai Securities
Market Line, merupakan hasil utama dari CAPM.
 Example
 Kita ilustrasikan betapa sederhana menggunakan
formula CAPM untuk menghitung nilai harapan return.
 Misalkan rf = 8%. Rata-rata return pasar mempunyai
nilai harapan (rM) 12% dan standard deviasi (σM) 15%. Ada
suatu asset yang mempunyai covariance terhadap
pasar (σiM) 0.045. Selanjutnya dapat dihitung nilai dari
  β = 0.045/0.152 = 2.
Sedangkan nilai harapan return asset tersebut adalah
ri-bar = 0.08 + 2(0.12-0.08) = 16%.
Example. What will be the expected rate of
return on AAPL stock with a beta of 1.49 if the
risk-free rate of interest is 2% and if the
market risk premium, which is the difference
between expected return on the market
portfolio and the risk-free rate of return is
estimated to be 8%?
AAPL expected return = 2% + 1.49*8% = 13.92%.
 Nilai β menggambarkan hubungan antara nilai
harapan return suatu asset dengan nilai harapan
return pasar. Makin tinggi nilai β, makin besar
hubungan asset dengan pasar.
 Jika suatu sekuritas cenderung bergerak pada garis
pasar, σim sama dengan σm2 sehingga nilai β = 1. Suatu
sekuritas dengan nilai β > 1 sering dikatakan
aggressive, sedangkan suatu sekuritas dengan nilai β
< 1 sering dikatakan defensive.
 interpreting b

 if b = 0
 asset is risk free
 if b = 1
 asset return = market return
 if b > 1
 asset is riskier than market index
b<1
 asset is less risky than market index
 Example
 Suppose we have the following data about company j
and the market portfolio m. j = 10%; j,M = 0.70; M =
5%. Calculate the systematic risk of company j

Cov( R j , RM )
j 
 2M

Cov(Jm) = std of j x std of M x correlation of j and M

= 0.1 x 0.05 x 0.7 = 0.0035
Therefore
j = 0.0035/0.052 = 1.40
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 Sample betas
Amazon 2.23
Anheuser Busch -.107
Microsoft 1.62
Ford 1.31
General Electric 1.10
Wal Mart .80
(monthly returns, 5 years back)
 measuring b
 estimated by regression
 data on returns of assets
 data on returns of market index
 estimate

R    R m  
 Example
Suppose that the risk free return on the market
portfolio is 12% and the beta value of a share in the
ABC company is 1.30.
Calculate the return on ABC share using CAPM.

Using the equation above:

E(rj) = rf + βj(rm – rf)

= 5 + 1.30(2 -5) =14.1%

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 Portfolio Beta: Example
Suppose we had the following investments:
Security Amount invested Expected Return(%) Beta
Stock A $1,000 8 0.80
Stock B $2,000 12 0 .95
Stock C $3,000 15 1.10
Stock D $4,000 18 1.40
a) What is the expected return on this portfolio?
b) What is the beta of this portfolio?
c) Does this portfolio have more or less systematic risk
than the average asset?

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 Solution
Calculate the portfolio weight: Total amount invested is
$10,000. A = 10%, B = 20%, C = 30%, D = 40%

Expected return
= .10 x 8% + .20 x 12% + .30 x 15 + .40 x 18% = 14.9
Portfolio beta
= .10 x .80 + .20 x .95 + .30 x 1.10 + .40 x 1.40 = 1.16

Beta is larger than 1, this portfolio has greater systematic

risk than an average asset.

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