Session 7 risk and return & portofolio

[object Object],[object Object],[object Object],[object Object]

[object Object],[object Object]

[object Object],[object Object],Keputusan Dividen (Dividen Policy) Keputusan Pendanaan (Financing Decision) Keputusan Investasi (Investement Decision) Analisis Risk and Return

MENGUKUR RISIKO & RETURN EXPECTED RETURN UKURAN RETURN : DEVIASI STANDAR UKURAN RISIKO : ?

Dominance Principle 1 2 3 4 Expected Return Risk • 2 dominates 1; has a higher return • 2 dominates 3; has a lower risk • 4 dominates 3; has a higher return

Risk and Rates of Return ,[object Object],Example You are evaluating ASII’s common stock. You estimate the following returns given different states of the economy State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20%

[object Object],E(r) = ? State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% x x x x

[object Object],State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% = –0.5% = 1% = 4% = 6% E(r) = 10.5% x x x x Example You are evaluating ASII’s common stock. You estimate the following returns given different states of the economy Expected (or average) rate of return on stock is 10.5%

Measuring Risk Example Compute the standard deviation on ASII common stock. the mean E (r) was previously computed as 10.5% State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% Risk ( σ ) = ?

Risk and Rates of Return ,[object Object],[object Object],State of Economy Probability Return Economic Downturn .10 –5% Zero Growth .20 5% Moderate Growth .40 10% High Growth .30 20% x x x x ( ( ( ( – 10.5%) 2 = 24.025% – 10.5%) 2 = 6.05% – 10.5%) 2 = 0.10% – 10.5%) 2 = 27.075%  2 = 57.25%  = 57.25%  = 7.57% Higher standard deviation, higher risk

Relative Dispersion Coefficient of Variation ,[object Object],CV =   E (r) 

Coefficient of Variation ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],CV = ?

Risiko Sistematis dan Tidak Sistematis ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

[object Object],Risiko Portofolio Jumlah Saham dalam Portofolio Risiko Total Risiko tidak sistematis Risiko sistematis

Hubungan Risiko dan Keuntungan Menurut CAPM ,[object Object],[object Object]

[object Object],[object Object],[object Object],[object Object],[object Object],CAPM

Contoh Soal ,[object Object],[object Object],[object Object]

Jawaban ,[object Object],[object Object],[object Object],[object Object]

Latihan Soal ,[object Object],[object Object],[object Object],[object Object],[object Object]

WANT TO MINIMIZE RISK? ,[object Object],[object Object],Put your eggs in one basket and WATCH IT! OR

Pemilihan Alternatif Investasi Expected Return Risk Risk Free Rate Obligasi Pemerintah Tabungan Deposito Obligasi Corporasi Saham Preferen Saham Konvertibel Mutual Fund Saham Biasa Properti/real asset Opsi Derivatives

Session 7 risk and return & portofolio

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