2 Resiko, Return, Dan Teori Portofolio

Risk, Return and Portfolio
Theory
Tujuan Pembelajaran
Membedakan berbagai jenis return
Mengetimasi expected returns dan rasio untuk sekuritas
individual
Mengestimasi risk dan return portofolio
Menjelaskan “efficient frontier”
Menjelaskan mengapa diversifikasi penting bagi investor
CHAPTER 8 – Risk, Return and Portfolio Theory 8-2

PENGANTAR RESIKO DAN
RETURN
Pengantar Risk and Return
Risk dan return adalah dua atribut
paling penting dari suatu investasi.
Penelitian menunjukkan bahwa

keduanya berhubungan di pasar
modal dan pada umumnya return Return
yang lebih tinggi hanya dapat %
dicapai dengan mengambil resiko
yang lebih tinggi.
Risk Premium
Resiko bukan hanya potensi kehilanagn
return, tapi resiko adalah potensi
kerugian daripada keseluiruhan RF Real Return
investasi itu sendiri (baik modal
pokok investasi maupun bunga Expected Inflation Rate
yang akan diterima)
Akibatnya, mengambil resiko Risk
tambahan dalam mencari return
yang lebih tinggi adalah suatu
keputusan yang seharusnya tidak
dianggap ringan.

MENGUKUR RETURNS
Resiko, Return dan Teori Portfolio

Mengukur Returns
jenis jenis return
Ex Ante Returns (expected return)

Perhitungan Return bisa dilakukan “sebelum fakta
terjadi” dalam hal ini perlu dibuat asumsi mengenai
kejadian di masa yang akan datang
Ex Post Returns (real return)

Perhitungan Return dilakukan setelah fakta terjadi
untuk menganalisis berapa besar imbal hasil (rate of
return) yang diperoleh.

Mengukur Returns
Pengantar
Model pertumbuhan konstan dapat dipecah menjadi dua bentuk

pendapatan yang investor ekuitas terima, yaitu dividen dan capital gains.
 D1 
kc     g   Income / Dividend Yield   Capital Gain (or loss) Yield 
 P0 
SEDANGKAN
Fixed-income investors (misalnya investor obligasi) mengharapkan

memperoleh interest income dan juga (tergantung pada pergerakan suku
bunga) capital gains atau capital losses.

Mengukur Returns
Income Yield
Income yield adalah return dalam bentuk aliran kas
secara periodik yang diterima oleh investor.
Income yield dihitung dengan cara membagi aliran
kas periodik dengan harga beli.
CF1
[8-1] Income yield 
P0
Dimana CF1 = aliran kas yang diperkirakan akan diterima

P0 = harga beli

Income Yield
Saham versus Obligasi
 Dividend yield dihitung dengan menggunakan data historis , bukan

hasil prediksi (sebab dividen pada tahun depan tidak dapat diprediksi
secara agregat) dividend yield biasanya lebih tinggi dari income yields
on bonds.
 Resiko pendapatan obligasi jauh lebih kecil dari resiko pendpatan

dividen
(See Figure 8 -1 on the following slide)

Mengukur Returns
Perbedaan Yield antara saham dengan obligasi jangka panjang di Kanada
 Table 8 – 1 mengillustrasikan perbedaan pendapatan antara saham dan obligasi di
Kanada
 Alasan utama perbedaan yield adalah bahwa, yang sangat berbeda antar waktu,
return yang diterima oleh investor tidak semata-mata hanya income yield, tetapi juga
capita gain atau capital loss.
Table 8-1 Average Yield Gap
Average Yield Gap (%)

1950s 0.82
1960s 2.35
1970s 4.54
1980s 8.14
1990s 5.51
2000s 3.55
Overall 4.58
CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 10

Mengukur Returns
Returns dalam Dollar/Rupiah
Investor yang memperdagangkan saham dan obligasi menerima

hasil investasi dalam dua bentuk, yaitu :
 Income yield disebut juga dividen
 Capital gain atau capital loss
Investor akan menerima returns dalam Dollar, misalnya:

 Dividen $1.00
 Peningkatan harga saham $2.00
Untuk dapat digunakan, returns dalam dollar harus dikonversikan dalam

bentuk persentase, sebagi fungsi dari investasi awal. (Karena return sebesar
$3.00 atas investasi sebesar $30 barangkali bagus, namun return $3.00 dengan
investasi $300 tentu akan tidak memuaskan!)

Mengukur Returns
Mengkonversikan Return dalam Dollar menjadi return dalam persentase
Seorang investor menerima return dalam dollar dari investasi

saham sebesar $25 adalah sbb:
 Dividen $1.00
 Kenaikan harga saham $2.00
Capital gain atau capital loss dari dapat dihitung dengan cara : harga akhir –
harga awal, dibagi dengan harga awal
P1  P0 $27 - $25
[8-2] Capital gain (loss) return    .08  8%
P0 $25

Mengukur Returns
Total Percentage Return
Total return untuk satu periode yang diterima investor

(holding period return) adalah:
Total return  Income yield  Capital gain (or loss) yield

CF1  P1  P0

[8-3] P0
 CF   P  P0 
  1 1 
 P0   P0 
 $1.00   $27  $25 
     0.04  0.08  0.12  12%
 $25   $ 25 

Mengukur Returns
Total Percentage Return – Rumus Umum
Rumus umum untuk holding period return adalah:
Total return  Income yield  Capital gain (or loss) yield

CF1  P1  P0

[8-3] P0
 CF1   P1  P0 
  
P
 0   0  P

Mengukur Return Rata-Rata (Average Returns)
Ex Post Returns
Pengukuran imbal hasil historis (historical rates of

return) yang telah diperoleh dari suatu sekuritas atau
sekumpulan sekuritas memungkinkan kita untuk
mengidentifikasi tren atau tendensi yang berguna
dalam memprediksi harga saham di masa depan.
Ada dua jenis yang berbeda dari return rata-rata ex
post yang digunakan:
Rata-Rata Hitung (Arithmetic average)
Rata-Rata geometris (Geometric mean)

Mengukur Average Returns
Rata-rata Hitung
[8-4] r i
Arithmetic Average (AM)  i 1
n
Dimana:
ri = return dari saham individual
n = jumlah total pengamatan (sampel)
Nilai yang paling umum digunakan dalam statistik

Jumlah semua returns dibagi dengan jumlah total observasi

Rata-Rata geometrik
1
[8-5]
Geometric Mean (GM)  [( 1  r1 )( 1  r2 )( 1  r3 )...( 1  rn )] -1
n
Mengukur pertumbuhan rata-rata atau majemuk

selama beberapa periode.

Rata-rata geometrik versus Rata-rata Hitung
Jika semua returns identik, maka rata-rata geometrik = rata-rata
hitung.
Jika semua nilai return adalah volatil, maka rata-rata geometrik <
rata-rata hitung
Semakin besar volatitas returns, semakin besar perbedaan antara

rata-rata geometrik dan rata-rata hitung.
(Table 8 – 2 illustrates this principle on major asset classes 1938 – 2005)

n
X i
Arithmetic Mean (rata rata hitung) X i 1
CONTOH:
TAHUN RETURN (%) RETURN RELATIF
(1 + RETURN)
 1995 15,25 1,1525
1996 20,35 1,2035
1997 -17,50 0,8250
1998 -10,75 0,8925
1999 15,40 1,1540
X = (15,25 + 20,35 – 17,50 – 10,75 + 15,40) / 5 = 4,55%

Geometric Mean (Rata Rata Geometris)
G = [(1 + R1)(1 + R2)…..(1 + Rn)]1/n – 1
CONTOH: dengan meggunakan data yang sama

dengan data yag digunakan untuk menghitung rata
rata hitung.
G = [1,1525 x 1,2035 x 0,8250 x 0,8925 x 1,1540]1/5 – 1 =

3,34%

Giliran anda (latihan 1)
Harga saham bulanan dan dividen yang dibayarkan adalah sbb:
Tanggal Harga (Rp) Dividen (Rp)

28/02/2012 2550 -
31/03/2012 2625 -
30/04/2012 2575 -
31/05/2012 2600 250
30/06/2012 2650 -
31/07/2012 2700 -
31/08/2012 2625 -
Berdasarkan data di atas, hitunglah:

1) Return bulanan
2) Rata-rata hitung return dan rata-rata geometrisnya
3) Buatlah grafik harga dan return
4) Interpretasikan hasil perhitungan
Average Investment Returns dan Standard Deviations
Table 8 - 2 Average Investment Returns and Standard Deviations, 1938-2005
Annual Annual Standard Deviation

Arithmetic Geometric of Annual Returns
Average (%) Mean (%) (%)
Government of Canada treasury bills 5.20 5.11 4.32

Government of Canada bonds 6.62 6.24 9.32
Canadian stocks 11.79 10.60 16.22
U.S. stocks 13.15 11.76 17.54
S o urc e : Da ta a re fro m the C a na dia n Ins titute o f Ac tua rie s
Semakin besar perbedaan

antara kedua rata-rata,
semakin besar volatilitas dari
return tahunan.

Mengukur Return Ekspektasi
(Expected (Ex Ante) Returns)
Walaupun return masa lalu barangkali menarik,
namun investor lebih memperhatikan return yang
akan datang (future returns).
Kadang-kadang, historical average returns tidak bisa
diwujudkan di masa yang akan datang.
Mengembangkan suatu estimasi yang bebas dari ex
ante returns biasanya menyangkut penggunaan
proyeksi dengan skenenario yang melibatkan return
realisasi dengan probabilitas kejadian di dalam
berbgai kondisi.

Estimasi Expected Returns
Mengestimasi Ex Ante (Forecast) Returns
Rumus Umum
n
[8-6] Expected Return (ER)   (ri  Probi )
i 1
Dimana:
ER = the expected return on an investment
Ri = the estimated return in scenario i
Probi = the probability of state i occurring

Mengestimasi Ex Ante (Forecast) Returns
Contoh:
Data di bawah ini adalah data yang diperlukan untuk
membuat cara memproyeksikan data suatu estimasi ex ante
expected return.
Possible
Returns on
Probability of Stock A in that
State of the Economy Occurrence State
Economic Expansion 25.0% 30%
Normal Economy 50.0% 12%
Recession 25.0% -25%

Estimasi Ex Ante (Forecast) Returns dengan menggunakan Spreadsheet Approach
Example Solution:
Jumlahkan hasil kali dari setiap probabilitas dengan return
yang akan terjadi untuk tiap-tiap kondisi ekonomi.
(1) (2) (3) (4)=(2)×(1)

Possible Weighted
Returns on Possible
Probability of Stock A in that Returns on
State of the Economy Occurrence State the Stock
Economic Expansion 25.0% 30% 7.50%
Normal Economy 50.0% 12% 6.00%
Recession 25.0% -25% -6.25%
Expected Return on the Stock = 7.25%

Estimasi Ex Ante (Forecast) Returns dengan menggunakan Spreadsheet Approach
Penyelesaian:
Jumlahkan hasil kali probailitas dan returns untuk setiap
keadaan ekonomi.
n
Expected Return (ER)   (ri  Probi )
i 1
 (r1  Prob1 )  (r2  Prob 2 )  (r3  Prob3 )

 (30%  0.25)  (12%  0.5)  (-25%  0.25)
 7.25%

Giliran anda (latihan 2)
Harga saham bulanan dan dividen yang dibayarkan adalah sbb:
Bulan Harga (Rp) pada berbagai kondisi ekonomi

Resesi Normal Ekspansi
(Prob = 0.20) (Prob = 0,50) (Prob=0.30)
1 975 1275 2570
2 1025 1525 2625
3 950 1550 2575
4 925 1575 2625
5 875 2025 2650
6 900 2000 2725
7 850 2025 2775
Berdasarkan data di atas, hitunglah:
1) Expected return (gunakan return rata-rata hitung untuk mengetahui retun masing-
masing kondisi ekonomi)
2) Interpretasikan hasil perhitungan
8 - 28
Mengukur Resiko
Risk, Return dan Portfolio Theory

Resiko (Risk)
Probabilitas mendapatkan kejadian yang merugikan.
Bagi investor, resiko adalah kemungkinan
memperoleh hasil yang tidak mencukupi.
Jika investor menghendaki rate of return sebesar 10%
dari suatu investasi, maka setiap return yang lebih kecil
dari 10% dianggap merugikan.

Risk
Illustrasi
Kisaran (range) dari total returns atas

saham A adalah mulai dari -30%
Probability
sampai lebih dari +40%. Jika return
yang diiginkan dari saham A adalah
10%, maka setiap return yang lebih
Hasil yang merugikan rendah dari 10% merupakan resiko
bagi investor.
A
-30% -20% -10% 0% 10% 20% 30% 40%

Possible Returns on the Stock

Kisaran (Range)
Perbedaan antara nilai minimum dan maksimum
disebut kisaran (range)
Saham di Kanada misanya selama periode 1938-2005
mempunyai kisaran annual returns sebesar 74.36 %
Sekuritas hutang jangka pendek pemerintah (treasury
bills) Kanada dalam periode yang sama mempunyai
kisaran sebesar 21.07%.
Sebagai suatu ukuran kasar dari resiko, range
menceritakan kepada kita bahwa saham lebih berisiko
dari treasury bills.

Perbedaan Tingkat Resiko
Illustrasi
Hasil yang menghasilkan kerugian Semakin lebar range hasil yang akan
diperoleh, maka semakin besar resiko
Probability
investasi.
B Saham A lebih resiko dari saham B
-30% -20% -10% 0% 10% 20% 30% 40%

Possible Returns on the Stock

Historical Returns on Different
Asset Classes
Figure 8-2 illustrates the volatility in annual returns on three

different assets classes from 1938 – 2005.
Note:
 Treasury bills always yielded returns greater than 0%
 Long Canadian bond returns have been less than 0% in some years
(when prices fall because of rising interest rates), and the range of
returns has been greater than T-bills but less than stocks
 Common stock returns have experienced the greatest range of
returns
(See Figure 8-2 on the following slide)

Memperbaiki Pengukuran Resiko
Standard Deviation (σ)
Range mengukur resiko hanya berdasarkan dua

pengamatan ( nilai minimum dnd maksimum)
Standard deviation menggunakan semua
pengamatan.
Standard deviation dapat dihitung dari return
ekspektasi atau return historis atau ex post returns.
(Dua slide berikut ini menunjukkan dua rumus berbbeda yang digunakan untuk
menghitung Standard Deviation)

Mengukur Resiko
Ex post Standard Deviation
n _
 i
( r  r ) 2
[8-7] Ex post   i 1
n 1
Where :
  the standard deviation
_
r  the average return
ri  the return in year i
n  the number of observations

Mengukur Resiko
Contoh dengan menggunakan Ex post Standard Deviation
Soal
Estimasilah standard deviation return historis dari investasi A sebagai
berikut: 10%, 24%, -12%, 8% and 10%.
Langkah 1 – Hitung Return historis rata-rata (Historical Average Return)
r i
10  24 - 12  8  10 40
Arithmetic Average (AM)  i 1
   8.0%
n 5 5
Langkah 2 – Hitung Standard Deviation

n _
 (r  r ) i
2
(10 - 8) 2  (24  8) 2  (12  8) 2  (8  8) 2  (14  8) 2
Ex post   i 1

n 1 5 1
2 2  16 2  20 2  0 2  2 2 4  256  400  0  4 664
    166  12.88%
4 4 4

GILIRAN ANDA (LATIHAN 3)
 Hitung resiko saham  Interpretasikan hasil
berdasarkan return rata-rata perhitungan saudara
dengan menggunakan berdasarkan hasil perhingan
standar deviasi pada soal return rata-rata dan deviasi
latihan 1. standar
 Bila anda menggunakan
return geometris, bagaimana
kondisi resiko yang saudara
peroleh? Naik atau turun?

Ex Post Risk
Stabilitas Resiko Sepanjang Waktu
Figure 8-3 (on the next slide) demonstrates that the relative riskiness of
equities and bonds has changed over time.
Until the 1960s, the annual returns on common shares were about four times
more variable than those on bonds.
Over the past 20 years, they have only been twice as variable.
Consequently, scenario-based estimates of risk (standard deviation) is

required when seeking to measure risk in the future. (We cannot safely
assume the future is going to be like the past!)
Scenario-based estimates of risk is done through ex ante estimates and

calculations.

Mengukur Resiko
Ex ante Standard Deviation
Estimasi Resiko berdasarkan Skenario
n
[8-8] Ex ante    (Prob
i 1
i )  ( ri  ERi ) 2

Estimasi Resiko berdasarkan Skenario Estimasi
Resiko berdasarkan Skenario
Contoh dengan menggunakan Ex ante Standard Deviation – Raw Data
Berikut ini disajikan informasi:
- returns yang akan terjadi dari berbagai kondisi
ekonomi yang berbeda
- Probabilitas yang berkaitan dengan hasil-hasil
yang akan terjadi
Possible
State of the Returns on
Economy Probability Security A
Recession 25.0% -22.0%

Normal 50.0% 14.0%
Economic Boom 25.0% 35.0%

Ex ante Standard Deviation – Spreadsheet Approach
Dua slides berikut ini mengillustrasikan suatu

pendekatan untuk menghitung standard deviation
dengan menggunakan spreadsheet model.

Langkah pertama – Menghitung Expected Return
Determined by multiplying
the probability times the
possible return.
Possible Weighted
State of the Returns on Possible
Economy Probability Security A Returns
Recession 25.0% -22.0% -5.5%

Normal 50.0% 14.0% 7.0%
Economic Boom 25.0% 35.0% 8.8%
Expected Return = 10.3%
Expected return equals the sum of

the weighted possible returns.

Second Step – Measure the Weighted and Squared Deviations
Now multiply the square deviations by

First calculate the deviation of
their probability of occurrence.
possible returns from the expected.
Deviation
Deviationof
of Weighted
Weighted
Possible
Possible Weighted
Weighted Possible
Possible and
and
State
Stateof
ofthe
the Returns on Possible
Returns on Possible Return
Returnfrom
from Squared
Squared Squared
Squared
Economy
Economy Probability Security A
Probability Security A Returns
Returns Expected
Expected Deviations Deviations
Deviations Deviations
Recession
Recession 25,0%
25,0% -22,0%
-22,0% -5,5%
-5,5% -32,3%
-32,3% 0,10401
0,10401 0,02600
0,02600
Normal
Normal 50,0%
50,0% 14,0%
14,0% 7,0%
7,0% 3,8%
3,8% 0,00141
0,00141 0,00070
0,00070
Economic
EconomicBoom
Boom 25,0%
25,0% 35,0%
35,0% 8,8%
8,8% 24,8%
24,8% 0,06126
0,06126 0,01531
0,01531
Expected
Expected Return==
Return 10,3%
10,3% Variance
Variance== 0,0420
0,0420
Standard
StandardDeviation
Deviation== 20,50%
20,50%
Second, square those deviations from the mean.
The sum of the weighted and square deviations is the

variance in percent squared terms.
The standard deviation is the square root of the

variance (in percent terms).
Scenario-based Estimate of Risk
Example Using the Ex ante Standard Deviation Formula
Possible Weighted
State of the Returns on Possible
Economy Probability Security A Returns
Recession 25.0% -22.0% -5.5%

Normal 50.0% 14.0% 7.0%
Economic Boom 25.0% 35.0% 8.8%
Expected Return = 10.3%
n
Ex ante    (Prob )  (r  ER )
i 1
i i i
2
 P1 (r1  ER1 ) 2  P2 (r2  ER2 ) 2  P1 (r3  ER3 ) 2

 .25(22  10.3) 2  .5(14  10.3) 2  .25(35  10.3) 2
 .25(32.3) 2  .5(3.8) 2  .25(24.8) 2
 .25(.10401)  .5(.00141)  .25(.06126)
 .0420
 .205  20.5%

CONTOH LAIN MENGHITUNG RESIKO EXPECTED RETURN
Koefisien Variasi (KV) = 0,0449/0,080 = 0,56125

Giliran Anda
• Hitung resiko saham • Interpretasikan hasil
dengan menggunakan perhitungan saudara
deviasi standar berdasarkan hasil
berdasarkan data pada perhingan return rata-
latihan 2 rata dan deviasi standar.
CHAPTER 8 – Risk, Return and

8 - 47
Portfolio Theory
Risk, Return and Portfolio Theory
Portfolios
 A portfolio is a collection of different securities such as stocks and
bonds, that are combined and considered a single asset
 The risk-return characteristics of the portfolio is demonstrably

different than the characteristics of the assets that make up that
portfolio, especially with regard to risk.
 Combining different securities into portfolios is done to achieve

diversification.

Diversification
Diversification has two faces:
1. Diversification results in an overall reduction in portfolio risk

(return volatility over time) with little sacrifice in returns, and
2. Diversification helps to immunize the portfolio from potentially
catastrophic events such as the outright failure of one of the
constituent investments.
(If only one investment is held, and the issuing firm goes
bankrupt, the entire portfolio value and returns are lost. If a
portfolio is made up of many different investments, the outright
failure of one is more than likely to be offset by gains on others,
helping to make the portfolio immune to such events.)
Expected Return of a Portfolio
Modern Portfolio Theory
The Expected Return on a Portfolio is simply the weighted average
of the returns of the individual assets that make up the portfolio:
n
[8-9] ER p   ( wi  ERi )
i 1
The portfolio weight of a particular security is the percentage of the

portfolio’s total value that is invested in that security.

Expected Return of a Portfolio
Example
Portfolio value = $2,000 + $5,000 = $7,000
rA = 14%, rB = 6%,
wA = weight of security A = $2,000 / $7,000 = 28.6%
wB = weight of security B = $5,000 / $7,000 = (1-28.6%)= 71.4%
n
ER p   ( wi  ERi )  (.286  14%)  (.714  6% )
i 1
 4.004%  4.284%  8.288%

Range of Returns in a Two Asset
Portfolio
In a two asset portfolio, simply by changing the weight of the

constituent assets, different portfolio returns can be achieved.
Because the expected return on the portfolio is a simple weighted

average of the individual returns of the assets, you can achieve
portfolio returns bounded by the highest and the lowest individual
asset returns.

Portfolio
Example 1:
Assume ERA = 8% and ERB = 10%
(See the following 6 slides based on Figure 8-4)

Expected Portfolio Return
Affect on Portfolio Return of Changing Relative Weights in A and B
8 - 4 FIGURE
10.50
10.00 ERB= 10%

Expected Return %
9.50
9.00
8.50
8.00 ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

8 - 4 FIGURE
A portfolio manager can select the relative weights of the two

assets in the portfolio to get a desired return between 8%
(100% invested in A) and 10% (100% invested in B)
10.50
10.00 ERB= 10%

Expected Return %
9.50
9.00
8.50
8.00 ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

8 - 4 FIGURE
10.50
ERB= 10%
10.00
Expected Return %
9.50 The potential returns of

the portfolio are
bounded by the highest
9.00 and lowest returns of
the individual assets
8.50 that make up the
portfolio.
8.00
ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

8 - 4 FIGURE
10.50
ERB= 10%
10.00
Expected Return %
9.50
9.00
The expected return on
the portfolio if 100% is
8.50 invested in Asset A is
8%.
8.00 ER p  wA ER A  wB ERB  (1.0)(8%)  (0)(10%)  8%
ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

8 - 4 FIGURE
10.50 The expected return on

invested in Asset B is ERB= 10%
10.00 10%.
Expected Return %
9.50
9.00
8.50
ER p  wA ERA  wB ERB  (0)(8%)  (1.0)(10%)  10%
8.00
ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

8 - 4 FIGURE
10.50 The expected return on

invested in Asset A and ERB= 10%
10.00 50% in B is 9%.
Expected Return %
9.50
ER p  wA ERA  wB ERB
9.00
 (0.5)(8%)  (0.5)(10%)
8.50  4%  5%  9%
8.00
ERA=8%
7.50
7.00
0 0.2 0.4 0.6 0.8 1.0 1.2
Portfolio Weight

Portfolio
Example 1:
Assume ERA = 14% and ERB = 6%
(See the following 2 slides )

Portfolio
E(r)A= 14%, E(r)B= 6%
Expected return on Asset A = 14.0%
Expected return on Asset B = 6.0%
Expected
Weight of Weight of Return on the
Asset A Asset B Portfolio
0.0% 100.0% 6.0%
10.0% 90.0% 6.8%
20.0% 80.0% 7.6%
30.0% 70.0% 8.4%
40.0% 60.0% 9.2% A graph of this
50.0% 50.0% 10.0% relationship is
60.0% 40.0% 10.8%
found on the
70.0% 30.0% 11.6%
following slide.
80.0% 20.0% 12.4%
90.0% 10.0% 13.2%
100.0% 0.0% 14.0%

Portfolio
E(r)A= 14%, E(r)B= 6%
Range of Portfolio Re turns
Expected Return on Two
16.00%
14.00%
Asset Portfolio
12.00%
10.00%
8.00%
6.00%
4.00%
2.00%
0.00%
Weight Invested in Asset A

Relative Expected Weighted
Weight Return Return
Stock X 0.400 8.0% 0.03
Stock Y 0.350 15.0% 0.05
Stock Z 0.250 25.0% 0.06
Expected Portfolio Return = 14.70%
K. Hartviksen
Modern Portfolio Theory - MPT
 Prior to the establishment of Modern Portfolio Theory (MPT), most
people only focused upon investment returns…they ignored risk.
 With MPT, investors had a tool that they could use to dramatically
reduce the risk of the portfolio without a significant reduction in the
expected return of the portfolio. (Harry Markowitz, 1952)

Expected Return and Risk For
Portfolios
Standard Deviation of a Two-Asset Portfolio using Covariance
[8-11]  p  ( wA ) 2 ( A ) 2  ( wB ) 2 ( B ) 2  2( wA )( wB )(COV A, B )
Risk of Asset A Risk of Asset B Factor to take into

adjusted for weight adjusted for weight account comovement
in the portfolio in the portfolio of returns. This factor
can be negative.

Expected Return and Risk For
Portfolios
Standard Deviation of a Two-Asset Portfolio using Correlation Coefficient
[8-15]  p  ( wA ) 2 ( A ) 2  ( wB ) 2 ( B ) 2  2( wA )( wB )(  A, B )( A )( B )
Factor that takes into

account the degree of
comovement of returns.
It can have a negative
value if correlation is
negative.

Grouping Individual Assets into
Portfolios
 The riskiness of a portfolio that is made of different risky assets is a
function of three different factors:
 the riskiness of the individual assets that make up the portfolio
 the relative weights of the assets in the portfolio
 the degree of comovement of returns of the assets making up the
portfolio
 The standard deviation of a two-asset portfolio may be measured
using the Markowitz model:
 p   w   w  2 w A wB  A, B A B
2
A
2
A
2
B
2
B

Risk of a Three-Asset Portfolio
The data requirements for a three-asset portfolio grows
dramatically if we are using Markowitz Portfolio selection formulae.
We need 3 (three) correlation coefficients between A and B; A and

C; and B and C.
A
ρa,b ρa,c
B C
ρb,c
 p   A2 wA2   B2 wB2   C2 wC2  2wA wB  A, B A B  2wB wC  B ,C B C  2wA wC  A,C A C

Risk of a Four-asset Portfolio
The data requirements for a four-asset portfolio grows dramatically
if we are using Markowitz Portfolio selection formulae.
We need 6 correlation coefficients between A and B; A and C; A

and D; B and C; C and D; and B and D.
A
ρa,b ρa,d
ρa,c
B D
ρb,d
ρb,c ρc,d
C

Covariance
Mengukur korelasi dari fluktuasi rates of return
dari berbagai investasi.
n _ _
[8-12] COV AB   Prob i (rA,i  ri )(rB ,i - rB )
i 1

Correlation
Koefisien korelasi mengukur hubungan pergerakan
bersama return dari dua saham (ρ).
Koefisien korelasi (ρ) antara return dua sekuritas akan
terletak diantara +1 dan - 1.
+1 is perfect positive correlation
-1 is perfect negative correlation
COVAB
 AB 
 A B

Covariance dan Koefisien
Korelasi
Hasil kali antara koefisien korelasi dengan deviasi
standar return saham A dan B merupakan covariance
return saham A dan B
[8-14] COV AB   AB A B

Mengapa koefisien korelasi
penting?
Karena ia mempengaruhi tingkat diversifikasi yang
dapat dicapai dengan menggunakan berbagai aset.
Secara teoritis, jika dua return aset berkorelasi secara
positif , maka portofolio tanpa resiko dengan return
yang lebih besar dari return bebas resiko bisa dibentuk.

Returns
Jika returns A dan B
%
20% berkorelasi negatif secara
sempurna, maka suatu
portofolio yang terdiri dari dua
aset dengan proporsi yang
15% sama akan membuat saham A
dan B menjadi tanpa resiko.
Jadi, tidak akan ada
variabilitas return portofolio
10% selama periode tertentu.
Returns on Stock A
Returns on Stock B
5%
Returns on Portfolio
Time 0 1 2

Returns
Jika return A dan B berkorelasi
%
20% positif secara sempurna, maka
suatu portofolio yang terdiri
dari dua aset dengan proporsi
aset A dan B yang sama akan
15% berisiko. Dengan demikian,
diversifikasi tidak bisa
dilakukan, karena resiko
portofolio tidak akan
10% berkurang)
Returns on Stock A
Returns on Stock B
5%
Time 0 1 2

Returns
Jika return A dan B berkorelasi
%
20% negatif secara sempurna, maka
sebuah portofolio yang
dibentuk dai dua aset dengan
proporsi aset A dan B yang
15% sama akan membentuk
portofolio bebas resiko.
Artinya, tidak akan ada
variabilitas return portofolio
10% saham A dan B dalam jangka
waktu investasi.
Returns on Stock A
Returns on Stock B
5%
Time 0 1 2

Affect of Perfectly Negatively Correlated Returns
Contoh
Weight of Asset A = 50.0%
Weight of Asset B = 50.0%
n
Expected ER p   ( wi  ERi )  (.5  5%)  (.5  15% )
i 1
Return on Return on Return on the  2.5%  7.5%  10%
Year Asset A Asset B Portfolio
xx07 5.0% 15.0% 10.0%
n
xx08ER p  10.0% 10.0%
( wi  ERi )  (.5  15% )  (.5  5% ) 10.0%
i 1
xx09  7.15.0% 5%  2.5%  10% 5.0% 10.0%
Perfectly Negatively
Correlated Returns
over time

Potensi Diversifikasi
 The potential of an asset to diversify a portfolio is dependent upon
the degree of co-movement of returns of the asset with those other
assets that make up the portfolio.
 In a simple, two-asset case, if the returns of the two assets are
perfectly negatively correlated it is possible (depending on the
relative weighting) to eliminate all portfolio risk.
 This is demonstrated through the following series of spreadsheets,
and then summarized in graph format.

Contoh kombinasi dan korelasi portofolio
Perfect
Positive
Correlation –
no
Expected Standard Correlation
Asset Return Deviation Coefficient diversification
A 5.0% 15.0% 1
B 14.0% 40.0%
Portfolio Components Portfolio Characteristics

Both
Expected Standard portfolio
Weight of A Weight of B Return Deviation
100.00% 0.00% 5.00% 15.0%
returns and
90.00% 10.00% 5.90% 17.5% risk are
80.00% 20.00% 6.80% 20.0%
70.00% 30.00% 7.70% 22.5%
bounded by
60.00% 40.00% 8.60% 25.0% the range set
50.00% 50.00% 9.50% 27.5%
40.00% 60.00% 10.40% 30.0%
by the
30.00% 70.00% 11.30% 32.5% constituent
20.00% 80.00% 12.20% 35.0%
10.00% 90.00% 13.10% 37.5%
assets when
0.00% 100.00% 14.00% 40.0% ρ=+1

Positive
Correlation –
weak
diversification
Asset Return Deviation Coefficient potential
A 5.0% 15.0% 0.5
B 14.0% 40.0%

Expected Standard When ρ=+0.5
Weight of A Weight of B Return Deviation these portfolio
100.00% 0.00% 5.00% 15.0%
90.00% 10.00% 5.90% 15.9%
combinations
80.00% 20.00% 6.80% 17.4% have lower
70.00% 30.00% 7.70% 19.5% risk –
60.00% 40.00% 8.60% 21.9%
50.00% 50.00% 9.50% 24.6% expected
40.00% 60.00% 10.40% 27.5% portfolio return
30.00% 70.00% 11.30% 30.5%
20.00% 80.00% 12.20% 33.6%
is unaffected.
10.00% 90.00% 13.10% 36.8%
0.00% 100.00% 14.00% 40.0%

Tidak ada
korelasi –
terdapat
potensi
Asset Return Deviation Coefficient diersifikasi
A 5.0% 15.0% 0
B 14.0% 40.0%

Expected Standard
Weight of A Weight of B Return Deviation Resiko
100.00% 0.00% 5.00% 15.0% portofolio
90.00% 10.00% 5.90% 14.1%
80.00% 20.00% 6.80% 14.4%
lebih
70.00% 30.00% 7.70% 15.9% rendah
60.00% 40.00% 8.60% 18.4%
dari resiko
50.00% 50.00% 9.50% 21.4%
40.00% 60.00% 10.40% 24.7% aset A
30.00% 70.00% 11.30% 28.4% atau aset
20.00% 80.00% 12.20% 32.1%
10.00% 90.00% 13.10% 36.0% B.
0.00% 100.00% 14.00% 40.0%

Korelasi
negatif –
potensi
diversifikasi
Asset Return Deviation Coefficient lebih besar
A 5.0% 15.0% -0.5
B 14.0% 40.0%

Expected Standard Resiko
Weight of A Weight of B Return Deviation portofolio
100.00% 0.00% 5.00% 15.0%
90.00% 10.00% 5.90% 12.0% untuk berbaga
80.00% 20.00% 6.80% 10.6% kombinasi
70.00% 30.00% 7.70% 11.3%
60.00% 40.00% 8.60% 13.9%
adalah lebih
50.00% 50.00% 9.50% 17.5% rendah dari
40.00% 60.00% 10.40% 21.6% resiko aset
30.00% 70.00% 11.30% 26.0%
20.00% 80.00% 12.20% 30.6% individual.
10.00% 90.00% 13.10% 35.3%
0.00% 100.00% 14.00% 40.0%

Korelasi
negatif
sempurna–
potensi
diversifikasi
Asset Return Deviation Coefficient paling besar
A 5.0% 15.0% -1
B 14.0% 40.0%

Expected Standard
Weight of A Weight of B Return Deviation
100.00% 0.00% 5.00% 15.0%
90.00% 10.00% 5.90% 9.5% Riesiko
80.00% 20.00% 6.80% 4.0% portofolio
70.00% 30.00% 7.70% 1.5%
hampir
60.00% 40.00% 8.60% 7.0%
50.00% 50.00% 9.50% 12.5% seluruhnya
40.00% 60.00% 10.40% 18.0% dikurangi bila
30.00% 70.00% 11.30% 23.5% berintestasi
20.00% 80.00% 12.20% 29.0%
10.00% 90.00% 13.10% 34.5% 70% dalam
0.00% 100.00% 14.00% 40.0% aset A

Diversifikasi portofolio dari dua aset
secara grafik
The Effect of Correlation on Portfolio Risk:
The Two-Asset Case
Expected Return B
AB = -0.5
12%
AB = -1
8%
AB = 0
AB= +1
A
4%
0%
0% 10% 20% 30% 40%
Standard Deviation

Pengaruh koefisien korelasi
Gambar 8-7 (lihat pada slide berikutnya)

mengilustrsikan hubungan antara resiko portofolio
(σ) dan koefisien korelasi
Kemiringan garis tidak linear dengan jumlah
diversifikasi yang signifikan dimungkinkan dengan
aset-aset yang tidak berkorelasi (namun tidak mungkin
sekurits di dalam dunia ini yang tidak ada korelasinya
satu sama lain).
Dengan korelasi negatif sempurna, variabilitas return
portofolio berkurang hampir mendekati nol.

Impact of the Correlation Coefficient
8 - 7 FIGURE
15
Standard Deviation (%)
of Portfolio Returns
10
0
-1 -0.5 0 0.5 1
Correlation Coefficient (ρ)

Zero Risk Portfolio
We can calculate the portfolio that removes all risk.
When ρ = -1, then
[8-15]  p  ( wA ) 2 ( A ) 2  ( wB ) 2 ( B ) 2  2( wA )( wB )(  A, B )( A )( B )
Becomes:
[8-16]  p  w A  (1  w) B

Contoh dengan menggunakan aset yang berbeda
: T-bills, Stocks dan Bonds
Base Data: Stocks T-bills Bonds Rata-rata historis
Expected Return(%) 12.73383 6.151702 7.0078723 return dan resiko
Standard Deviation (%) 0.168 0.042 0.102
untuk tiga aset
Correlation Coefficient Matrix: berbeda
Stocks 1 -0.216 0.048
Setiap kombinasi
T-bills -0.216 1 0.380 portofolio yang
Bonds 0.048 0.380 1
dicapai
Historical
Portfolio Combinations: digambarkan
correlation
Weights Portfolio
pada expected
coefficients
between
return, resikothe (σ)
asset
,
Expected Standard
classes
Combination Stocks T-bills Bonds Return Variance Deviation disajikan pada
1 100.0% 0.0% 0.0% 12.7 0.0283 16.8%
2 90.0% 10.0% 0.0% 12.1 0.0226 15.0% slide berikutnya.
3 80.0% 20.0% 0.0% 11.4 0.0177 13.3% Karakteristik
4 70.0% 30.0% 0.0% 10.8 0.0134 11.6% portofolio untuk
5 60.0% 40.0% 0.0% 10.1 0.0097 9.9% tiap tiap kombinasi
6 50.0% 50.0% 0.0% 9.4 0.0067 8.2%
sekuritas
7 40.0% 60.0% 0.0% 8.8 0.0044 6.6%
8 30.0% 70.0% 0.0% 8.1 0.0028 5.3%
9 20.0% 80.0% 0.0% 7.5 0.0018 4.2%
10 10.0% 90.0% 0.0% 6.8 0.0014 3.8%

Achievable Portfolios
Results Using only Three Asset Classes
Attainable Portfolio Combinations The efficient set is that set of

and Efficient Set of Portfolio Combinations achievable portfolio
combinations that offer the
highest rate of return for a
14.0
Efficient Set given level of risk. The solid
Portfolio Expected Return (%)
12.0 blue line indicates the efficient

Minimum Variance
Portfolio
set.
10.0
8.0
The plotted points are
6.0
attainable portfolio
4.0 combinations.
2.0
0.0
0.0 5.0 10.0 15.0 20.0
Standard Deviation of the Portfolio (%)

Achievable Two-Security Portfolios
Modern Portfolio Theory
8 - 9 FIGURE
This line
represents
13 the set of
12
portfolio
combinations
Expected Return %
11
that are
10 achievable by
9
varying
relative
8 weights and
7 using two
non-
6
0 10 20 30 40 50 60
correlated
Standard Deviation (%) securities.

Dominance
It is assumed that investors are rational, wealth-

maximizing and risk averse.
If so, then some investment choices dominate others.

Return A dominates B
% because it offers
A B the same return
10% but for less risk.
A dominates C
C because it offers a
5% higher return but
for the same risk.
5% 20% Risk
To the risk-averse wealth maximizer, the choices are clear, A dominates B,
A dominates C.

Efficient Frontier
The Two-Asset Portfolio Combinations
8 - 10 FIGURE
A is not attainable
B,E lie on the
efficient frontier and
are attainable
A B E is the minimum
Expected Return %
variance portfolio
C (lowest risk
combination)
C, D are
E attainable but are
D dominated by
superior portfolios
that line on the line
above E

Efficient Frontier
The Two-Asset Portfolio Combinations
8 - 10 FIGURE
Rational, risk
averse
investors will
only want to
A B hold portfolios
Expected Return %
such as B.
C
The actual
E choice will
D depend on
her/his risk
preferences.

Diversification
We have demonstrated that risk of a portfolio can be reduced by
spreading the value of the portfolio across, two, three, four or
more assets.
The key to efficient diversification is to choose assets whose
returns are less than perfectly positively correlated.
Even with random or naïve diversification, risk of the portfolio
can be reduced.
 This is illustrated in Figure 8 -11 and Table 8 -3 found on the
following slides.
 As the portfolio is divided across more and more securities, the risk of
the portfolio falls rapidly at first, until a point is reached where, further
division of the portfolio does not result in a reduction in risk.
 Going beyond this point is known as superfluous diversification.

Diversification
Domestic Diversification 8 - 11 FIGURE
Average Portfolio Risk

January 1985 to December 1997
14
12
10
0
0 50 100 150 200 250 300
Number of Stocks in Portfolio

Diversification
Domestic Diversification
Table 8-3 Monthly Canadian Stock Portfolio Returns, January 1985 to December 1997
Number of Average Standard Deviation Ratio of Portfolio Percentage of

Stocks in Monthly of Average Standard Deviation to Total Achievable
Portfolio Portfolio Monthly Portfolio Standard Deviation of a Risk Reduction
Return (%) Return (%) Single Stock
1 1.51 13.47 1.00 0.00
2 1.51 10.99 0.82 27.50
3 1.52 9.91 0.74 39.56
4 1.53 9.30 0.69 46.37
5 1.52 8.67 0.64 53.31
6 1.52 8.30 0.62 57.50
7 1.51 7.95 0.59 61.35
8 1.52 7.71 0.57 64.02
9 1.52 7.52 0.56 66.17
10 1.51 7.33 0.54 68.30
14 1.51 6.80 0.50 74.19
40 1.52 5.62 0.42 87.24
50 1.52 5.41 0.40 89.64
100 1.51 4.86 0.36 95.70
200 1.51 4.51 0.34 99.58
222 1.51 4.48 0.33 100.00
S o urc e : C le a ry, S . a nd C o pp D. "Dive rs ific a tio n with C a na dia n S to c ks : Ho w M uc h is Eno ugh? " C anadian Inv e s tm e nt R e v ie w (F a ll 1999), Ta ble 1.

Total Risk of an Individual Asset
Equals the Sum of Market and Unique Risk
 This graph illustrates

Average Portfolio Risk
that total risk of a stock
is made up of market
risk (that cannot be
diversified away
Diversifiable because it is a function
(unique) risk
of the economic
[8-19] ‘system’) and unique,
company-specific risk
Nondiversifiable that is eliminated from
(systematic) risk the portfolio through
diversification.
Number of Stocks in Portfolio
[8-19] Total risk  Market (systematic) risk  Unique (non - systematic) risk

International Diversification
Clearly, diversification adds value to a portfolio by
reducing risk while not reducing the return on the
portfolio significantly.
Most of the benefits of diversification can be achieved
by investing in 40 – 50 different ‘positions’
(investments)
However, if the investment universe is expanded to
include investments beyond the domestic capital
markets, additional risk reduction is possible.
(See Figure 8 -12 found on the following slide.)

Diversification
International Diversification 8 - 12 FIGURE
100
80
Percent risk
60
40
U.S. stocks
20
International stocks
11.7
0
0 10 20 30 40 50 60
Number of Stocks

Concept Review Question 1
Ex Ante and Ex Post Returns
What is the difference between ex ante and ex post
returns?

2 Resiko, Return, Dan Teori Portofolio

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Risk, Return and Portfolio

CHAPTER 8 – Risk, Return and Portfolio Theory 8-2

Penelitian menunjukkan bahwa

CHAPTER 8 – Risk, Return and Portfolio Theory 8-4

Resiko, Return dan Teori Portfolio

Ex Ante Returns (expected return)

Ex Post Returns (real return)

CHAPTER 8 – Risk, Return and Portfolio Theory 8-6

Model pertumbuhan konstan dapat dipecah menjadi dua bentuk

Fixed-income investors (misalnya investor obligasi) mengharapkan

CHAPTER 8 – Risk, Return and Portfolio Theory 8-7

Dimana CF1 = aliran kas yang diperkirakan akan diterima

CHAPTER 8 – Risk, Return and Portfolio Theory 8-8

 Dividend yield dihitung dengan menggunakan data historis , bukan

 Resiko pendapatan obligasi jauh lebih kecil dari resiko pendpatan

(See Figure 8 -1 on the following slide)

CHAPTER 8 – Risk, Return and Portfolio Theory 8-9

Average Yield Gap (%)

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 10

Investor yang memperdagangkan saham dan obligasi menerima

Investor akan menerima returns dalam Dollar, misalnya:

Untuk dapat digunakan, returns dalam dollar harus dikonversikan dalam

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 11

Seorang investor menerima return dalam dollar dari investasi

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 12

Total return untuk satu periode yang diterima investor

Total return  Income yield  Capital gain (or loss) yield

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 13

Rumus umum untuk holding period return adalah:

Total return  Income yield  Capital gain (or loss) yield

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 14

Pengukuran imbal hasil historis (historical rates of

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 15

Nilai yang paling umum digunakan dalam statistik

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 16

Mengukur pertumbuhan rata-rata atau majemuk

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 17

Semakin besar volatitas returns, semakin besar perbedaan antara

(Table 8 – 2 illustrates this principle on major asset classes 1938 – 2005)

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 18

Arithmetic Mean (rata rata hitung) X i 1

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CONTOH: dengan meggunakan data yang sama

G = [1,1525 x 1,2035 x 0,8250 x 0,8925 x 1,1540]1/5 – 1 =

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 20

Tanggal Harga (Rp) Dividen (Rp)

Berdasarkan data di atas, hitunglah:

Annual Annual Standard Deviation

Government of Canada treasury bills 5.20 5.11 4.32

S o urc e : Da ta a re fro m the C a na dia n Ins titute o f Ac tua rie s

Semakin besar perbedaan

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 22

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(1) (2) (3) (4)=(2)×(1)

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 (r1  Prob1 )  (r2  Prob 2 )  (r3  Prob3 )

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 27

Bulan Harga (Rp) pada berbagai kondisi ekonomi

Risk, Return dan Portfolio Theory

CHAPTER 8 – Risk, Return and Portfolio Theory 8 - 30

Kisaran (range) dari total returns atas

-30% -20% -10% 0% 10% 20% 30% 40%