Pertemuan 5
Expected Return
(imbal hasil yang diharapkan) - the return
that an investor expects to earn on an asset,
given its price, growth potential, etc.
Required Return
(imbal hasil yang dipersyaratkan - the
return that an investor requires on an asset
given its risk and market interest rates.
PILIHAN INVESTASI
MANAKAH YANG ANDA
PILIH?
a. Saham A
b. Saham B
c. Saham C
d. Saham A & B
e. Saham A & C
Alasannya?
Imbal Hasil Periode Kepemilikan (HPR)
Tingkat imbal hasil selama periode investasi
tertentu
$50 $60
t t+1
(Beli) (Jual)
Tambahan info, selama periode tersebut perusahaan
membagikan deviden $5/ lembar saham
(PS – PB + CF)
HPR =
PB
(60 – 50 + 5)
HPR = = 30%
50
Tabel 5.1 Arus Kas/Tingkat Imbal hasil per Triwulan
dari Sebuah Reksa Dana
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5.1 TINGKAT IMBAL HASIL
Mengukur Imbal Hasil Investasi Untuk Periode Jamak
1. Rata-rata ARITMETIK
• Penjumlahan imbal hasil dalam setiap periode dibagi dengan jumlah periode,
• Misal: Dalam contoh (10% + 25% - 20% + 20% )/4 = 8.75%
2. Rata-rata GEOMETRIK
• Imbal hasil per periode tunggal; memberikan kinerja kumulatif yang sama sebagai
urutan imbal hasil-imbal hasil aktual
• Memajemukkan imbal hasil periode demi periode; menemukan tingkat imbal hasil per
periode yang memajemmukan ke nilai akhir yang sama
• (1+10%) x (1+ 25%) x (1– 20%) x (1+ 20% ) = (1 + Rg)^4
• (1+Rg) = [(1+10%) x (1+ 25%) x (1– 20%) x (1+ 20% )] ^1/4 = 1.0719
• Rg = 1.0719 – 1 = 0.719 7.19%
APR = Tingkat imbal hasil per periode × jumlah periode dalam setahun
Contoh:
Anda membeli saham X seharga 10.000/ lembar, setelah 9 bulan harga
saham tersebut menjadi 11.000/lembar
Berapa APR yang anda!
(11.000 – 10.000 + 0) = 10%
HPR =
10.000
APR = 10 % x 9/12
APR = 7.5%
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5.1 Tingkat Imbal Hasil (EAR)
EAR (Effective Annual Rate) adalah menjadikan imbal hasil dalam satu
tahun per periode dengan memasukkan suku bunga majemuk
APR = Tingkat imbal hasil per periode × jumlah periode dalam setahun
1 + EAR = (1 + Tingkat imbal hasil per periode)
CONTOH
Kondisi Probabilitas Tingkat
Perekonomia Keuntungan
n
Makmur 0,2 0,3
Normal 0,6 0,2
Resesi 0,2 0,1
Expected Return
(Imbal Hasil Yang Diharapkan)
State of Probability Return
Economy (P) Orl. Utility Orl. Tech
Recession .20 4% -10%
Normal .50 10% 14%
Boom .30 14% 30%
For each firm, the expected return on the
stock is just a weighted average:
Expected Return
Company A
0.5
0.45
0.4
0.35
0.3
0.25
0.2
0.15
0.1
0.05
0
4 8 12
return
What is Risk?
Uncertainty in the distribution of
possible outcomes.
Company A Company B
0.5
0.2
0.45
0.18
0.4
0.16
0.35
0.14
0.3
0.12
0.25
0.1
0.2
0.08
0.15
0.06
0.1
0.04
0.05
0.02
0
4 8 12 0
-10 -5 0 5 10 15 20 25 30
return return
How do We Measure Risk?
To get a general idea of a stock’s
price variability, we could look at
the stock’s price range over the
past year.
= (ki - k)
n 2
P(ki)
i=1
=
n
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
(ki - k)
i=1
2
P(ki)
Orlando Orlando
Utility Technology
Return
Risk
Remember, there’s a tradeoff between
risk and return.
It depends on your tolerance for risk!
Return
Risk
Remember, there’s a tradeoff between
risk and return.
LANGKAH-LANGKAH
PENGAMBILAN INVESTASI
1. Menentukan Kebijakan Investasi
2. Analisis Sekuritas
3. Pembentukan Portofolio
4. Melakukan Revisi Portofolio
5. Evaluasi Kinerja Portofolio
DIVERSIFIKASI YANG EFISIEN
Pertemuan 5
rate
of
return
time
Suppose we have stock A and stock B.
The returns on these stocks do not tend
to move together over time (they are
not perfectly correlated).
kA
rate
of
return
time
Suppose we have stock A and stock B.
The returns on these stocks do not tend
to move together over time (they are
not perfectly correlated).
kA
rate
of
return kB
time
What has happened to the
variability of returns for the
portfolio?
kA
rate
of
return kB
time
What has happened to the
variability of returns for the
portfolio?
kA
rate kp
of
return kB
time
Diversification
Contoh:
Unexpected changes in interest rates.
Unexpected changes in cash flows due to:
tax rate changes,
foreign competition, and
the overall business cycle.
Company-unique Risk
Company-Unique Risk adalah risiko yang
dapat dihilangkan dengan diversifikasi
Contoh:
A company’s labor force goes on strike.
A company’s top management dies in a plane crash.
A huge oil tank bursts and floods a company’s production
area.
As you add stocks to your portfolio,
company-unique risk is reduced.
portfolio
risk
company-
unique
risk
Market risk
number of stocks
6.2 Alokasi Aset dengan Dua Aset Berisiko
Imbal hasil (Return) yang diharapkan pada portofolio yang terdiri dari
dua efek
E (rp ) W1r1 W2 r2
Notes:
W1 = Proportion of funds in security 1 (Probabilitas 1)
W2 = Proportion of funds in security 2 (Probabilitas 2)
r1 = Expected return on security 1
r2 = Expected return on security 2
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6.2 Alokasi Aset dengan Dua Aset Berisiko
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6.2 Alokasi Aset dengan Dua Aset Berisiko
Perhitungan Kovarian
S
Cov(rS , rB ) p(i )[rS (i ) E (rS )][rB (i ) E (rB )]
i 1
Cov(rS , rB )
ρ SB
σS σB
Cov(rS , rB ) ρ SB σ S σ B
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Spreadsheet 6.1 Ekspektasi Pasar Modal
Contoh Kasus
Ekspektasi Pasar Modal Untuk Reksadana Saham and Obligasi
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Spreadsheet 6.2 Varian Imbal Hasil
Contoh Kasus
Ekspektasi Pasar Modal Untuk Reksadana Saham and Obligasi
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Spreadsheet 6.3 Kinerja Portofolio
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Spreadsheet 6.4 Kovarian Imbal Hasil
S
Cov(rS , rB ) p (i )[rS (i ) E (rS )][rB (i ) E ( rB )]
i 1
portfolio
risk
company-
unique
risk
Market risk
number of stocks
Apakah Beberapa Perusahaan Memiliki Market
Risk Yang Berbeda Dengan Yang lain?
Yes.
Misal: Perusahaan pada suku bunga berpengaruh
pada semua perusahaan,
10
5
S&P 500
returns
-15 -10 -5 -5 5 10 15
-10
-15
Calculating Beta Beta = slope
XYZ Co. returns = 1.20
15
.. .
. .
10 . . . .
. .
.. . .
. . 5. .
S&P 500 .. . .
returns
-15 -10 -5 -5
. . . .
5 10 15
.. . .
. . . . -10
.. . .
. . . -15.
Summary:
We know how to measure risk, using
standard deviation for overall risk and
beta for market risk.
Market Company-
Risk Unique Risk
can be diversified
away
Required
rate of
Mari kita gambarkan
return
hubungan keduanya!
Beta
Required
rate of
return Security
Market Line
(SML)
12% .
Risk-free
rate of
return
(6%)
1 Beta
This linear relationship between
Risk and Required Return is
known as the Capital Asset
Pricing Model (CAPM).
12% .
Risk-free
rate of
return
(6%)
0 1 Beta
Required SML
rate of
Is there a riskless
return (zero beta) security?
12% .
Treasury
Securities (SBI) are
Risk-free as close to riskless
rate of as possible.
return
(6%)
0 1 Beta
Required SML
rate of Dimana letak
return IHSG pada SML?
12% .
IHSG
merepresentatifkan
Risk-free kondisi pasar yang
rate of tepat
return
(6%)
0 1 Beta
Required SML
rate of
return
12% Utility
Stocks
.
10%
Risk-free
rate of
return
(6%)
0 1 Beta
Required
rate of return High-tech SML
stocks
14%
12% .
Risk-free
rate of
return
(6%)
0 1 Beta
Rumus CAPM
Erj = rf + j (rm - rf )
Notes:
rj = Required Return efek saham j,
rf = the risk-free rate of interest,
j = the beta of efek saham j, and
rm = the return on the market index
Example:
Erj = rf + j (rm - rf )
12% .
If every stock
is on the SML,
Risk-free investors are being fully
rate of compensated for risk.
return
(6%)
0 1 Beta
Required SML
rate of If a security is Above
return the SML,
it is Underpriced.
(Beli Saham)
12% .
If a security is Below
the SML,
Risk-free it is Overpriced.
rate of
return (Jual Saham)
(6%)
0 1 Beta
Latihan
S&P mengestimasikan beta General Electric adalah
1,05. Sebagaimana kita lihat, premi resiko untuk
saham perusahaan besar telah menjadi 8,8% selama
tujuh dekade terakhir. Tingkat pengembalian bebas
risiko (Treasury Bills) pada awal 2018 sekitar
1,8%.
Tentukan berapa tingkat pengembalian yang
diharapkan investor dari GE?
Jawaban Contoh: