Risk and

Return
Chapter 6
Risiko
• Kemungkinan bahwa pengembalian aktual akan berbeda dari
pengembalian yang kita harapkan.

• Ketidakpastian dari distribusi hasil yang mungkin terjadi.

• Prospek dari hasil yang tidak disukai
• Bagaimana mengukur risiko
(varians, standard deviasi, beta)
• Bagaimana mengurangi risiko
(diversifikasi)
• Bagaimana “memberi harga”risiko
(security market line, CAPM)
Return
• Expected Return – pengembalian yang diharapkan akan
diperoleh investor terhadap aktiva dengan mengetahui
harga, potensi pertumbuhannya, dsb. Tanpa mengetahui
risikonya.
• Required Return – pengembalian atas aktiva yang
dikehendaki oleh investor dengan mengetahui risikonya.
Required Rate of Return Treasury
(Negara)

Required Risk-free
rate of = rate of
return return
Required Rate Of Return of
Firms Stocks or Bonds

Required Risk-free
Risk
rate of = rate of + Premium
return return
Expected Cash Flows
n
X   X i P( X i )
i 1

n = banyaknya kondisi perekonomian

Xi = Cash flow pada kondisi perekonomian i
P(Xi) = Probabilitas terjadinya cash flow pada kondisi perekonomian
i
Contoh Soal
Kondisi Ekonomi Probabilitas CF
(%) ($)
Resesi 15 2000
Moderate growth 35 2500
Strong growth 50 3000

Dengan investasi sebesar $20.000 berapakah expected

cash flow?
Expected Rate of Return
n
k   k i P(k i )
i 1

k = expected rate of return

ki = rate of return pada i
P(ki) = Probabilitas terjadinya rate of return i
Contoh Soal
Kondisi Ekonomi Probabilitas Rate of Return Rate of Return
(%) PT. A PT. B
(%) (%)

Resesi 20 4% -10%

Moderate growth 50 10% 14%

Strong growth 30 14% 30%

berapakah expected rate of return masing-masing

perusahaan? Investasi mana yang anda pilih?
Risk & Single Investment
Standard Deviation :

n
  (k
i 1
i  k ) P (ki )
2

n = banyaknya kemungkinan hasil

ki = rate of return i
P(ki) = Probabilitas terjadinya ki pada periode i.
k = expected rate of return
Risk
• Diversifiable
• Non diversifiable
Measuring Market Risk

• Average returns
• Standard deviation
Return (Single holding period)

Pt
kt  1
Pt 1
kt = the holding-period return in month t
Pt = stock price at the end of month
Average Return

k t
Average Re turn  t 1
n
Standard Deviation
Contoh soal
Month Return($)
Calculate the average return and
Jan 50
standard deviation from data in the
February 51
table !
March 52
April 49
May 48
June 49
July 51
Risk & Portofolio
• More than one assets.
Investors Required Rate of Return

k  k rf  k rp

 krf = risk free rate

 krp = risk premium
Expected Return (portofolio)
n
ER p   ( wi  ERi )
i 1

• ERp = Expected Return in portfolio return

• wi = proportion of asset i in the portfolio

• ERi = Expected Return on asset

 St. Deviation (portofolio)

 p  ( wA ) ( A )  ( wB ) ( B )  2( wA )( wB )(  A, B )( A )( B )
2 2 2 2

• σ portfolio = SD in portfolio return

• wi = proportion of asset i in the portfolio

• σi = SD in the return earned by asset i

• ρi = correlation coefficient (rho) between the

rates of return earned by assets A and B
Contoh soal
Investment fund Expected Return Standard deviasi Investment
proportion

S&P 500 Fund 13% 11% 40%

International Fund 17% 15% 60%

Portfolio

100%

Where the Correlation coefficient = 0.75.

Calculate the portfolio expected return and standard deviation?
Required rate of return using
Capital Asset Pricing Model (CAPM)
• CAPM specifies a linear relationship between risk and
required return.

ki = krf + bi(km - krf)

• ki = the required return for the individual security

• krf = the risk-free rate of return
• bi = the beta of the individual security
• km = the expected return on the market portfolio
• (km - krf) is called the market risk premium
CAPM
• Find the required return on a stock given that the risk-free rate is 8%, the
expected return on the market portfolio is 12%, and the beta of the stock is
1,5.
Another CAPM Example
• Find the beta on a stock given that its expected return is 12%, the risk-
free rate is 4%, and the expected return on the market portfolio is 10%.
Thank You…