Mankeu, Keown, Bab 8
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Transcript of Mankeu, Keown, Bab 8
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Risk
and
Re
turnCAPITALMARKETTHEORY
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Oleh :
Habib Kusuma (12)
Marisa Hanifah (19)
Putri Zuhria (26)
Richo Mukti Ardiyanto (28)
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Portfoio R!turns and Portfoio
Risk
"n this cha#t!r$ %! can o%!r th! risk of our#ortfoio %ithout o%!rin& th! #ortfoio's !#!ct!d
rat! of r!turn %ith a##ro#riat! di!rsi*cation+
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,acuatin& th! -#!ct!d R!turn of a Portfoio
.h! !#!ct!d rat! of r!turn for a #ortfoio ofin!stm!nts is sim#y a weighted average o the
e!"e#ted rates o return of the individualin!stm!nts in that #ortfoio+
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E!"e#ted Portolio Returns $
(/raction of Portfoio "n!st!d in Ass!t 1 -#!ct!dRat! of R!turn on Ass!t 1) 0 (/raction of Portfoio"n!st!d in Ass!t 2 -#!ct!d Rat! of R!turn onAss!t 2) 0
(/raction of Portfoio "n!st!d in Ass!t n -#!ct!dRat! of R!turn on Ass!t n)
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Portfoio -#!ct!d Rat! of R!turn
E%r"ortolio& 341 -(r1)5 0 342 -(r2)5 0
34 -(r)5 0 + 34n -(rn)5
-(r#ortfoio) th! !#!ct!d rat! of r!turn on a
#ortfoio of n ass!ts+
4i th! #ortfoio %!i&ht for ass!t i+-(ri) th! !#!ct!d rat! of r!turn
!arn!d by ass!t i+
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-am#!
"f %! in!st in t%o &rou# in 7 7$ &rou# on! hasa !#!ct!d r!turn 12: and &rou# t%o has a
!#!ct!d r!turn 8:+ ;o$
-(r#ortfoio) 341 -(r1)5 0 342 -(r2)5
($7 12 :) 0 ($7 8 :)
1 :
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-auatin& Portfoio Risk
Portolio 'iversi(#ation
,ombinin& in!stm!nts in a #ortfoio !ads to riskr!duction+
.his !
E)e#t : th! standar d!iation of a #ortfoio's r!turn
is ty#icay less than th! a!ra&! of standardd!iations of th! r!turns of !ach of th! #ortfoio'sindiidua in!stm!nts+
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-am#!
;ho# s! t%o #roducts$ sun&ass!s and umbr!a+;un&ass!s has 2: rat! of r!turn in sunny
s!ason and : in rainy+ =mbr!a has 2: rat! ofr!turn in rainy and : in sunny+
"f
A+ ;unny s!ason as on& as rainy s!ason so!#!ct!d rat! of r!turn is 1:+ >ot : if ?ust in!st
in on! #roduct+
@+ Product is sun&ass!s and sunscr!!n$ it has nob!n!*t b!caus! of #!rf!ct corr!at!d (?ust in on!s!ason)
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And to !nsur! that #rob!m$ that not !!ry sin&!in!stm!nt is corr!at!d$ than %! us! #orrelation
#oe*#ient+ .h! di!rsi*cation b!n!*ts %i b! &r!at!r %h!n
th! corr!ations ar! o% or n!&ati!+
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Correlation ,etween invest-entreturns
'iversi(#ation ,ene(ts
01 >on!+ >o risk has b!!n !iminat!d
b!caus! th!r! is no r!ai!d by
combinin& th! in!stm!nt sinc! th!y
mo! to&!th!r #!rf!cty+
.h!r! is substansia au! to
di!rsi*cation
B1 Ci!rsi*cation is !tr!m!y !
in #ortfoio risk+ "n fact$ it is #ossib!
to s!!ct th! #ortfoio %!i&ht for t%o
in!stm!nt %hos! r!turns ar!
#!rf!cty n!&ati!y corr!at!d$ such
that a ariabiity is !iminat!d from
th! #ortfoio r!turn and standard
d!iation is !ro
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Ci!rsi*cation D!ssons
Portfoio can b! !ss risky than th! a!ra&! risk ofits indiidua in!stm!nt+
.o r!duc! that$ is to combin! in!stm!nts that donot mo! to&!th!r ( has a n!&ati! corr!ation )
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,h!ck#oint 8+1
P!nny ;im#son has a door#ri!+ And h! %ant toin!st no mor! than 27: in th! stock of -MR$ so
h! consid!rin& in!stin& th! r!mainin& E7: in acombination of a riskBfr!! in!stm!nts in =+;+
H! !#!ct!d to !arn 8: on th! -m!rson shar!sand 12: from th! ;tarbucks shar!s$ and F: fromtr!asury bis+
;o h! d!cid!s to #ut 27: in -m!rson$ 27: in;tarbucks$ 7: in .r!asury bis+
;o %hat rat! of r!turn shoud h! !#!ctG
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;.-P 1 Pictur! th! #rob!m
,at!&ory 1:
2:
F:
6:
8:
1:
12:
1F:
.r!asury bis
-MR
;tarbucks
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;t!# 2 C!cid! on a soution strat!&y
;t!# ;o!
E%r"ortolio& $ (12 +F ) 0 ( I +8 ) 0 ( I +12 )
+E or E:
;t!# F Anay!
;o$ th! !#!ct!d r!turn is E:+
E %Return& .eight Produ#t
=+;tr!asurybis
F+: +7: 2+:
-MR 8+: +27: 2+:
;@=J 12+: +27: +:
E+:
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,acuatin& th! ;tandar
C!iation of Portfoio's R!turn
.h! standard d!iation in #ortfoio r!turn
.h! #ro#ortion of #ortfoio that is in!st!d in ass!t i
.h! standard d!iation of rat! of r!turn !arn!d by ass!t i
.h! corr!ation co!Lci!nt b!t%!!n th! rat!s ofr!turn !arn!d by ass!t " and ?
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-am#!
Patty r!c!i!d 2+$ in!st N in ,oca ,oa and Nin A##!+ ;tandard d!iation is $2+ and th!
corr!ation co!Lci!nt is $E7+
;o$
$18E
"f th! corr!ation is #!rf!ct #ositi!$ th! costandardd!iation is aik! %!i&ht!d a!ra&! of !achin!stm!nts+
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;yst!matic Risk and Mark!t
Portfoio
"t %oud b! an on!rous task to cacuat! th!corr!ations %h!n %! ha! thousands of #ossib!
in!stm!nts+
,a#ita Ass!t Pricin& Mod! or th! ,APM #roid!sa r!ati!y sim#! m!asur! of risk+
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;yst!matic Risk and Mark!t
Portfoio (cont+)
,APM assum!s that in!stors chos! to hod th!o#timay di!rsi*!d #ortfoio that incud!s a
risky in!stm!nts+ .his o#timay di!rsi*!d#ortfoio that incud!s a of th! !conomy's ass!tsis r!f!rr!d to as th! -arket "ortolio+
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;yst!matic Risk and Mark!t
Portfoio (cont+)
Accordin& to th! ,APM$ th! r!!ant risk of anin!stm!nt r!at!s to ho% th! in!stm!nt
contribut!s to th! risk of this mark!t #ortfoio+
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;yst!matic Risk and Mark!t
Portfoio (cont+)
.o und!rstand ho% an in!stm!nt contribut!s toth! risk of th! #ortfoio$ %! cat!&ori! th! risks of
th! indiidua in!stm!nts into t%o cat!&ori!s ;yst!matic risk$ and
=nsyst!matic risk
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;yst!matic Risk and Mark!t
Portfoio (cont+)
.h! s/ste-ati# risk com#on!nt m!asur!s th!contribution of th! in!stm!nt to th! risk of th!
mark!t+ /or !am#! 4ar$ hik! in cor#orat! tarat!+
.h! uns/ste-ati# risk is th! !!m!nt of riskthat do!s not contribut! to th! risk of th!
mark!t+ .his com#on!nt is di!rsi*!d a%ay%h!n th! in!stm!nt is combin!d %ith oth!rin!stm!nts+ /or !am#! Product r!ca$ aborstrik!$ chan&! of mana&!m!nt+
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;yst!matic Risk and Mark!t
Portfoio (cont+)
An in!stm!nt's syst!matic risk is far mor! im#ortant than itsunsyst!matic risk+
"f th! risk of an in!stm!nt com!s mainy from unsyst!matic risk$th! in!stm!nt %i t!nd to ha! a o% corr!ation %ith th! r!turns ofmost of th! oth!r stocks in th! #ortfoio$ and %i mak! a minorcontribution to th! #ortfoio's o!ra risk+
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Ci!rsi*cation and
=nsyst!matic Risk
/i&ur! 8B2 iustrat!s that as th! numb!r ofs!curiti!s in a #ortfoio incr!as!s$ th! contribution
of th! unsyst!matic or di!rsi*ab! risk to th!standard d!iation of th! #ortfoio d!cin!s+
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Ci!rsi*cation and
;yst!matic Risk
/i&ur! 8B2 iustrat!s that syst!matic or nonBdi!rsi*ab! risk is not r!duc!d !!n as %!
incr!as! th! numb!r of stocks in th! #ortfoio+
;yst!matic sourc!s of risk (such as inOation$ %ar$int!r!st rat!s) ar! common to most in!stm!ntsr!sutin& in a #!rf!ct #ositi! corr!ation and no
di!rsi*cation b!n!*t+
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Ci!rsi*cation and Risk
/i&ur! 8B2 iustrat!s that ar&! #ortfoios %i notb! a
inOu!nc!d by syst!matic risk factors+
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;yst!matic Risk and @!ta
;yst!matic risk is m!asur!d by ,eta #oe*#ient0%hich !stimat!s th! !t!nt to %hich a #articuar
in!stm!nt's r!turns ary %ith th! r!turns on th!mark!t #ortfoio+
"n #ractic!$ it is !stimat!d as th! so#! of astrai&ht in! (s!! *&ur! 8B)
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Figure 8.3 cont.
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Figure 8.3 cont.
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@!ta
@!ta coud b! !stimat!d usin& !c! or *nanciacacuator$ or r!adiy obtain!d from arious
sourc!s on th! int!rn!t (such as ahoo /inanc!and Mon!y ,!ntra+com)
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@!ta (cont+)
.ab! 8B1 iustrat!s th! %id! ariation in @!tas forarious com#ani!s+ =tiiti!s com#ani!s can b!
consid!r!d !ss risky b!caus! of th!ir o%!r b!tas+
/or !am#!$ a 1: dro# in mark!t coud !ad to a +EF: dro# in A-P but much ar&!r 2+9: dro# inAAPD+
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,acuatin& Portfoio @!ta
.h! #ortfoio b!ta m!asur!s th! syst!matic risk ofth! #ortfoio and is cacuat!d by takin& a sim#!
%!i&ht!d a!ra&! of th! b!tas for th! indiiduain!stm!nts contain!d in th! #ortfoio+
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,acuatin& Portfoio @!ta
(cont+)
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,acuatin& Portfoio @!ta
(cont+)
-am#! 8+2 ,onsid!r a #ortfoio that is com#ris!dof four in!stm!nts %ith b!tas !Qua to 1+7$ +E7$
1+8 and +6+ "f you in!st !Qua amount in !achin!stm!nt$ %hat %i b! th! b!ta for th!#ortfoioG
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,acuatin& Portfoio @!ta
(cont+)
Portfoio @!ta
+27(1+7) 0 +27(+E7) 0 +27(1+8) 0 +27 (+6)
1+12
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8++ .h! ;!curity Mark!t Din!
and th! ,APM
.h! k!y insi&hts of th! ,APM ar! that in!stm!nts%ith th! sam! b!ta ha! th! sam! !#!ct!d rat!
of r!turn and that in!stors %i r!Quir! a hi&h!rrat! of r!turn on in!stm!nt %ith hi&h!r b!tas
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/or !am#!$ !t's consid!r th! r!ation b!t%!!nth! b!ta and !#!ct!d r!turn of a #ortfoio$ 4M
!Quas 8:$ and 2: in a riskBfr!! s!curity+ .h!mark!t #ortfoio has a b!ta of 1+ and$ andassum! that th! !#!ct!d r!turn for th! mark!t#ortfoio $-(rM) is 11:+ .h! riskBfr!! s!curity has ab!ta of $ and assum! it o
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C1 4M 8: $8
-(rM) 11:
rf 6:
C2 -#!ct!d rat! of r!turn
C
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4! aso can cacuat! th! #ortfoio b!ta$ %hichsays that a #ortfoio b!ta shoud b! !Qua to th!
%!i&ht!d a!ra&! of th! indiidua ass!t's b!tasthat mak! u# th! #ortfoio+
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.h! strai&ht in! r!ationshi# b!t%!!n th! b!tasand !#!ct!d r!turn is ca!d th! s!curity mark!t
in!$ and its so#! is oft!n r!f!rr!d to as th!r!%ardBtoBrisk ratio+
4! can m!asur! th! so#! of th! s!curity mark!tin!+
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=sin& th! ,APM to -stimat!
-#!ct!d Rat!s of R!turn
.h! ,APM #roid!s a th!ory of ho% risk and!#!ct!d r!turn ar! conn!ct!d or trad!d o< in th!
ca#ita mark!t+ /or !am#! b!ta for oo&! is $E7+ "f th! riskB
fr!! rat! of int!r!st in !conomy is curr!nty about6:$ and if th! mark!t risk #r!mium$ %hich is th!di
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Pot th! s!curity mark!t in! and th! indiiduastocks
+7 +6 +E +8 +9 1 1+1 1+2 1+ 1+F
2
F
6
8
1
12
1F
16
1211
17
9
1F
stock
Din!ar (stock)
,eta
return e!"
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A V%inn!rV may b! d!*n!d as a stock that fasabo! th! s!curity mark!t in!$ %hich m!ans
th!s! stocks ar! !#!ct!d to !arn a r!turn!c!!din& %hat shoud b! !#!ct!d &i!n th!irb!ta or syst!matic risk+ "n th! abo! &ra#h$ th!s!stocks incud! 2$ $ and 7+ VDos!rsV %oud b!thos! stocks fain& b!o% th! s!curity mark!tin!$ %hich ar! r!#r!s!nt!d by stocks 1 and F !!r
so si&hty+ Wur r!suts ar! !ss than c!rtain b!caus! %! ha!
#rob!ms !stimatin& th! s!curity mark!t in! %ithc!rtainty+ /or instanc!$ %! ha! diLcuty ins#!cifyin& th! mark!t #ortfoio
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3412+#a"ital asset "ri#ing
-odel
RiskB/r!!$Rat! 0 -#!ct!d Mark!t B RiskB/r!!$R!turn Rat! @!ta
R!Quir!d$Rat! of$R!turn A +E7: 0 (1: B +E7:) 1+F
12+7:
@ +E7: 0 (1: B +E7:) +E7 8+FF:
, +E7: 0 (1: B +E7:) +8
8+E7:
C +E7: 0 (1: B +E7:) 1+2 11+27:
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3413 +#a"ital asset "ri#ing-odel
R!Quir!d$Rat! of$R!turn RiskB/r!!$Rat! 0(Mark!t R!turn B RiskB/r!! Rat!) J @!ta
+7: 0 (1+7: B +7:) +E67
8+877:
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3417+ +#a"ital asset "ri#ing-odel
"f th! !#!ct!d mark!t r!turn is 1+ #!rc!nt andth! risk #r!mium is 7+ #!rc!nt$ th! risk!ss rat!
of r!turn is 7 #!rc!nt (1+: B 7+:)+ .h!r!for!X
.asaco 7: 0 (1+: B 7:) +86F 9+78:
D@M 7: 0 (1+: B 7:) +69 11+F8:
-os 7: 0 (1+: B 7:) +7E7 8+7: