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Consider the following information:

State Probability
Boom 0.25
Normal 0.5
Slowdown 0.15
Recession 0.1
What is the expected return?
What is the variance?
What is the standard deviation?

Prob ABC Inc


(1) (2)
0.25 15%
0.5 8%
0.15 4%
0.1 -3%

Exp Return =

PORTFOLIO
Porttfolio hanya terdiri dari Stock L dan Stock S
Portfolio Weight
Stock L 50%
Stock S 50%

State of the ec. Probability


Recession 0.5
Boom 0.5

Menghitung Expected Return of Portfolio

(1) (2)
State of the ec. Probability
Recession 0.5
Boom 0.5

Menghitung Variance of Portfolio

(1) (2)
State of the ec. Probability
Recession 0.5
Boom 0.5

(1) (2) (3)


State of the ec. Probability Portf Return
Recession 0.5 5%
Boom 0.5 40%

E(Rp) =
Diketahui:
Portfolio terdiri dari stock A, stock B dan Stock C
Portfolio Weight
Stock A 50%
Stock B 25%
Stock C 25%

State of the ec. Probability


Boom 0.4
Bust 0.6

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

State of the ec. Probability


Boom 0.4
Bust 0.6

E(Rp) = 0.4 x 13.75% + 0.6 x 5% =

σ2p = 0.4 x (13.75% - 8.50%)2 + 0.6 x (5%

σp = 0.042866
Diketahui:
Portfolio terdiri dari stock X, stock Y dan Stock Z
Portfolio Weight
Stock X 50%
Stock Y 25%
Stock Z 25%

State of the ec. Probability


Boom 0.2
Normal 0.6
Recession 0.2
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

State of the ec. Probability


Boom 0.2
Normal 0.6
Recession 0.2

E(Rp) = 0.2 x 13.75% + 0.6 x 5.75% + 0.2 x

σ2p = 0.2 x (13.75% - 6.65%)2 + 0.6 x (5.75

σp = 0.038000
mation:
ABC, Inc. (%)
15
8
4
-3

(1 x 2) (2 x Exp Ret) 4kwadrat


(3) (4) (5)
0.04 7.0% 0.0048303
0.04 0.0% 0.0000002
0.01 -4.1% 0.0016403
0 -11.1% 0.0122103

8.05% σ2 =

σ =

Stock L dan Stock S

Rate of return if state occurs


Stock L Stock S
-20% 30%
70% 10%

n of Portfolio

(3) (4)
Portfolio return (2x3)
0.5 x - 20% + 0.5 x 30% = 5% 0.03
0.5 x 70% + 0.5 x 10% = 40% 0.2

E(Rp) = 22.50%

(3) (4) (5)


Portf Return Deviasi dr port. ret. 4 kwadrat
5% -17.50% 0.03
40% 17.50% 0.03

σ2p =

σp =

(4) (5) (6)


Tot P Ret Deviasi dr port. ret. 5 kwadrat
2.5% -17.50% 0.03
20.0% 17.50% 0.03

22.5% σ2p =

σp =
stock B dan Stock C

Rate of return if state occurs


Stock A Stock B Stock C
10% 15% 20%
8% 4% 0%

portfolio

Rate of return if state occurs


Stock A Stock B Stock C
10% 15% 20%
8% 4% 0%

75% + 0.6 x 5% = 8.50%

.75% - 8.50%)2 + 0.6 x (5% - 8.50%)2 = 0

= 4.3%
stock Y dan Stock Z

Rate of return if state occurs


Stock X Stock Y Stock Z
10% 15% 20%
8% 4% 3%
2% 0% -5%

portfolio

Rate of return if state occurs


Stock X Stock Y Stock Z
10% 15% 20%
8% 4% 3%
3% 2% 1%

75% + 0.6 x 5.75% + 0.2 x 2.25% = 6.65%

.75% - 6.65%)2 + 0.6 x (5.75% - 6.65%)2 + 0.2 x ( 2.25% - 6.65%)2 =

= 3.8%
(1 x 5)
(6)
0.0012076
0.0000001
0.0002460
0.0012210

0.2675%

5.17%
(6)
(2 x 5)
0.02
0.02

0.03

17.5%

(7)
(2 x 5)
0.02
0.02

0.03

17.5%
Portfolio
13.75%
5.00%
Portfolio
13.75%
5.75%
2.25%

2.25% - 6.65%)2 = 0
Cara 1
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if sta
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

Menghitung Expected Return of Portfolio

(1) (2) (3)


State of the ec. Probability Portfolio retu
Recession 0.5 0.4 x - 20% + 0.6 x 30
Boom 0.5 0.4 x 70% + 0.6 x 10

Menghitung Variance of Portfolio

(1) (2) (3)


State of the ec. Probability Portf Return
Recession 0.5 10%
Boom 0.5 34%
Cara 2
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if sta
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of retu
State of the ec. Probability Stock X
Boom 0.5 -20%
Bust 0.5 70%

E(Rp) = 0.5 x 10% + 0.5 x 34% =

σ2p = 0.5 x (10% - 22%)2 + 0.5 x (34% - 2

σp = 0.12 =
of return if state occurs
Stock Y
30%
10%

(3) (4)
Portfolio return (2x3)
0% + 0.6 x 30% = 10% 0.05
0% + 0.6 x 10% = 34% 0.17

E(Rp) = 22.00%

(4) (5) (6)


Deviasi dr port. ret. 4 kwadrat (2 x 5)
-12.00% 0.01 0.01
12.00% 0.01 0.01

σ2p = 0.01

σp = 12.0%
of return if state occurs
Stock Y
30%
10%

Rate of return if state occurs


Stock Y Portfolio return
30% 10.00%
10% 34.00%

22.00%

0.5 x (34% - 22%)2 = 0.01

12.0%
Q&P-7
Based on the following information, calculate the expected return
and standard deviation for the two stocks:
Rate of return if state occu
State of the ec. Probability Stock A
Recession 0.2 0.06
Normal 0.6 0.07
Boom 0.2 0.11

Jawab:
(1) (2)
Probability Stock A
0.2 0.06
0.6 0.07
0.2 0.11

Exp RA =

(1) (2)
Probability Stock B
0.2 -0.20
0.6 0.13
0.2 0.33

Exp RB =

Q&P-8

A Portfolio is invested 20% in Stock G, 60% in Stock J and 20% in Stock K


The expected return on these stocks are 8%, 15% and 22% respectively
What is portfolio expected return ? How do you interpret your answer?
Weight Exp Return
Stock G 20% 8%
Stock J 60% 15%
Stock K 20% 22%
What is the expected return?

Exp Rp = WG xRG + WJ RJ + WK RK

Exp Rp = 20% x 8% + 60% x 15% + 20% x 22%

Exp Rp = 15.00%

Q & P - 11
You own a stock portfolio invested 25% in stock Q, 20% in stock R, 25% i
and 30% in stock T
The betas for these stocks are 0.6, 1.70, 1.15 and 1.12, respectively.
What is portfolio beta?

Weight Beta
Stock Q 25% 0.6
Stock R 20% 1.7
Stock S 25% 1.15
Stock T 30% 1.12

βp = 25% x 0.6 + 20% x 1.7 + 25% x 1.15 + 30% x

βp = 1.11

Q & P - 13
A stock has a beta of 1.3, the expected return on the market is 14%, and
the risk free rate is 6%. What must the expected return on this stock be?
R = 6% + 1.3 ( 14% - 6% )

R = 16.40%

Q & P - 14
A stock has an expected return of 14%, the risk free rate is 5%, and
the market risk premium 7%. What must the beta of this stock be?

14% = 5% + b ( 12% - 5% )

β = ( 14% - 5% ) / 7% =

Q & P - 26
Consider the following information on Stock I dan II

Rate of return if state occ


State of the ec. Probability Stock I
Recession 0.2 0.09
Normal 0.6 0.42
Irrational exuberance 0.2 0.26

The market risk premium is 10%, and th risk free rate is 4%.
Which stock has the most systematic risk? Which one has the most unsys
Which stock is "riskier" ? Explain.

RI = 4% + βI ( 14% - 4% ) =

βI = 28% / 10% =

RII = 4% + βII ( 14% - 4% ) =


βII = 6% / 10% =
ected return

f return if state occurs


Stock B
-0.20
0.13
0.33

(3) (4) (5) (6)


(1 x 2) Dev fr Exp R 4 kwadrat (1 x 5)
0.01 -0.02 0.000256 0.0000512
0.04 -0.01 0.000036 0.0000216
0.02 0.03 0.001156 0.0002312

0.08 σ2 = 0.0003040

σ = 1.74%

(3) (4) (5) (6)


(1 x 2) Dev fr Exp R 4 kwadrat (1 x 5)
-0.04 -0.28 0.076176 0.0152352
0.08 0.05 0.002916 0.0017496
0.07 0.25 0.064516 0.0129032

0.1 σ2 = 0.0298880

σ = 17.3%

and 20% in Stock K


d 22% respectively
pret your answer?
+ 20% x 22%

0% in stock R, 25% in stock S

12, respectively.

25% x 1.15 + 30% x 1.12

market is 14%, and


urn on this stock be?
% - 6% )

rate is 5%, and


this stock be?

1.29

return if state occurs


Stock II
-0.30
0.12
0.44

e is 4%.
e has the most unsystematic risk?

% - 4% ) = 32%

2.82

% - 4% ) = 10%
0.60
1. Anda dihadapkan pada dua alternative investasi yang berisiko, yaitu saham perusahan A dan saham pe
berikut:

Keadaan Ekonomi Probabilitas Pendapatan A


Resesi 0,20 0,06
Normal 0,60 0,07
Baik 0,20 0,11

Jika Anda melakukan investasi pada kedua saham tersebut dengan proporsi 40% pada saham A dan sisan
diharapkan dan risiko (SD) portofolio tersebut?

Investasi:
Saham A 40%
Saham B 60%

Rate of return if state


State of the ec. Prob. Stock A
Resesi 0.2 6%
Normal 0.6 7%
Baik 0.2 11%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of return if state


State of the ec. Probability Stock A
Boom 0.2 6%
Normal 0.6 7%
Recession 0.2 11%

E(Rp) = 0.2 x -9.60% + 0.6 x 10.60% + 0.2 x 24.20% =

σ2p = 0.2 x (-9.60% - 9.28%)2 + 0.6 x (10.60% - 9.28%

σp = 0.108101 =
am perusahan A dan saham perusahaan B dengan informasi sebagai

Pendapatan B
-0,20
0,13
0,33

i 40% pada saham A dan sisanya pada saham B, berapa pendapatan yang

Rate of return if state occurs


Stock B
-20%
13%
33%

Rate of return if state occurs


Stock B Portfolio
-20% -9.60%
13% 10.60%
33% 24.20%

0.60% + 0.2 x 24.20% = 9.28%

+ 0.6 x (10.60% - 9.28%)2 + 0.2 x ( 24.20% - 9.28%)2 = 0.01

10.8%
1. Bapak Ali memiliki investasi dalam portofolio yang terdiri dari:

Saham Jumlah Investasi Expected Return


PT Astra Rp 400 juta 8%
PT Bosoa Rp 200 juta 12%
PT Tjiwi Kimia Rp 300 juta 15%
PT Danamon Rp 400 juta 18%

a. Berapa pendapatan yang diharapkan dan beta dari portofolio?


b. Apakah beta dari portofolio ini lebih tinggi dari beta rata-rata sekuriti?

Saham Weight Expected Return


Astra 31% 8%
Bosoa 15% 12%
Ciwi 23% 15%
Danamon 31% 18%

100%
Beta
0,80
0.95
1,10
1,40

kuriti?

Beta WR WB
0.8 2.46% 0.246
0.95 1.85% 0.146
1.1 3.46% 0.254
1.4 5.54% 0.431

1.06 13% 1.077


(lebih tinggi)