SESSION 5:CH. 6, 7

RETURN AND RISK FROM INVESTING(INDIVIDUAL & PORTFOLIO)

CHAPTER OUTLINERETURN AND RISK FOR FINANCIAL ASSETVALUATION RETURN AND RISK ESTIMATING FUTURE RETURN AND RISKPORTFOLIO INVESTINGRETURN AND RISK PORTFOLIO INVESTMENT

RETURN HASIL YANG DIPEROLAH DARI SUATU INVESTASIYIELD CASH FLOW DARI SUATU INVESTASI YANG DITERIMA OLEH INVESTOR SECARA PERIODIK SELAMA UMUR INVESTASI (INTEREST/COUPON, DIVIDENDS)YIELD 0 ATAU +CAPITAL GAIN (LOSS)APRESIASI ATAU DEPRESIASI DARI NILAI ASSET YANG DIMILIKI OLEH INVESTOR (PERUBAHAN NILAI ASSET)PERUBAHAN HARGA ASSET + ATAU -

RISIKO RISIKO PERUBAHAN/PERBEDAAN HASIL YANG DIHARAPKAN DARI SUATU INVESTASI (EXPECTED RETURN) DAN HASIL RIIL YANG DIPEROLEH INVESTOR (REALIZED RETURN)SUMBER RISIKOINTEREST RATE RISKMARKET RISKINFLATION RISKBUSINESS RISKFINANCIAL RISKLIQUIDITY RISKEXCHANGE RATE RISKCOUNTRY RATE RISK

TYPE RISKGENARAL RISK/MARKET RISK/SYSTEMATIC RISKRISIKO PERUBAHAN RETURN YANG DIEKSPEKTASIKAN KARENA FAKTOR MAKRO EKONOMI (INFLASI, INTEREST RATE, POLITIK, DSB.)NON DIVERSIABLE RISK RISIKO YANG TIDAK DAPAT DIHINDARISPECIFIC RISK/ISSUER RISK/NONSYSTEMATIC RISKRISIKO UNIEK DAN SPESIFIK YANG BERKAITAN DENGAN FAKTOR BISNIS PERUSAHAANDIVERSIABLE RISK RISIKO YANG DAPAT DIHINDARI DENGAN MELAKUKAN PORTOFOLIO

CARA MENGHITUNG RETURN TOTAL CASH FLOW + PERUBAHAN HARGA SELAMA PERIODE TERTENTUTOTAL RETURN = ------------------------------------------------------------------- HARGA PEMBELIAN ASSET

TOTAL CASH FLOW = SEMUA HASIL YANG DIPEROLEH SELAMA UMUR INVESTASIPERUBAHAN HARGA = HARGA JUAL ASSET HARGA BELI ASSETHARGA BELI ASSET = HARGA PEROLEHAN ASSET

TR = [CF + (PE PB)] / PB

TR = [CF + (PC)] / PB

TOTAL RETURNBONDS = [IT + PC] / PBSTOCKS = [DT + PC] / PBWARRANT = [CT + PC] / PBRETURN RELATIVE (RR) PERBANDINGAN RELATIF KESELURUHAN HASIL INVESTASI DENGAN HARGA AWAL INVESTASIBONDS = [IT + PE] / PBSTOCKS = [DT + PE] / PBWARRANT = [CT + PE] / PB

CUMULATIVE WEALTH INDEXCUMULATIVE EFFECT RETURN INVESTASI YANG DINIKMATI PADA KURUN WAKTU TERTENTU CWIN = WI0 (1 + TR1)(1 + TR2) (1 + TRN)CWI = CUMULATIVE WEALTH INDEXWI0 = BEGINNING INDEX VALUETR1,N = PERIODICAL TRS

TR = [CWIN / CWIN-1] 1

INTERNATIONAL RETURN AND CURRENCY RISKTOTAL RETURN IN DOMESTIC TERMS= [RR (FCE FCB)] 1,0FCE = FOREIGN CURRENCY ENDINGFCB = FOREIGN CURRENCY BEGINNING INFLATIONADJUSTED RETURN= TRI,A = [(1 + TR)/1(1 + IF)] - 1TRI,A = THE INFLATION ADJUSTED TOTAL RETURNIF = THE RATE OF INFLATION

MEAN RETURN FOR N ARITHMETIC MEANMEAN RETURN = RIT / N = [R1 + R2 + R3 + RN] / NGEOMETRIC MEANMEAN RETURN = G = [(1+TR1)(1+TR2)(1+TR3). .(1+TRN)]1/N 1 ARITHMETIC VS GEOMETRIC MEANARITHMETIC BETTER MEASURE OF AVERAGE PERFORMANCE OVER SINGLE PERIODGEOMETRIC BETTER MEASURE OF THE CHANGE IN WEALTH OVER TIME (MULTIPLE PERIODS). MEASURE THE REALIZED COMPOUND RATE OF RETURN AT WHICH MONEY GREW.

MEASURE RISK (STATISTIC APPROACH)RISK DEVIATION BETWEEN EXPECTED RETURN AND REALIZED RETURNSTATISTIC APPROACH STANDARD DEVIATIONSTANDARD DEVIATION () A MEASURE OF THE DISPERSION IN OUTCOMES AROUND THE EXPECTED VALUE2 = [(X )2] / (N 1) = 2

RISK PREMIUMRISK PREMIUM IS THE ADDITIONAL RETURN INVESTOR EXPECT TO RECEIVE OR DID NOT RECEIVE, BY TAKING ON INCREASING AMOUNT OF RISKEQUITY RISK PREMIUM THE DIFFERENCE BETWEEN STOCK RETURN (EXPECTED) AND A RISK FREE RATE RETURN

ERT = [(1+TRCS)/(1+RF)] 1

ERT = EQUITY RISK PREMIUMTRCS= TOTAL RETUR OF COMMON STOCK RF = RISK FREE RATE

EXPECTED RETURN AND RISK INDIVIDUAL INVESTMENTRETURN EKSPEKTASI HASIL INVESTASI YANG DI HARAPKAN BERDASARKAN KONDISI KETIDAK-PASTIAN (UNDER UNCERTAINTY CONDITION ASSUMPTION)RISIKO EKSPEKTASI EKSPEKTASI KETIDAK-PASTIAN HASIL DARI SUATU INVESTASISALAH SATU PENDEKATAN KONDISI KETIDAK-PASTIAN, UNTUK HASIL INVESTASI DIEKSPEKTASI DENGAN MENGGUNAKAN PENDEKATAN PROBABILITASPROBABILITASTERJADINYA SUATU PERISTIWA TERTENTU DARI SERANGKAIAN PERISTIWA YANG MUNGKIN TERJADI

EXPECTED RETURNEKSPEKTASI HASIL SUATU INVESTASI PADA MASA YANG AKAN DATANG DENGAN MEMPERTIMBANGKAN BERBAGAI KEMUNGKINAN YANG MEMPENGARUHI RETURN, DENGAN MENGGUNAKAN PENDEKATAN PROBABILITAS

E(R) = (RI)PIE(R) = EXPECTED RETURN SECURITYRI = THE ITH POSSIBLE RETURNPI = THE PROBABILITY OF THE ITH RETURN

CONTOHPOSSIBLE RETURN (RI)PROBABILITY (PI)------------------------------------------------------0,010,20,070,20,080,30,100,10,150,2------------------1,0----------------------------------------------------

EXPECTED RETURNPOSSIBLE RETURN PROBABILITY EXPECTED RETURN (RI) (PI) E(RI) = RIPI-----------------------------------------------------------------------------------0,01 0,20,0020,07 0,20,0140,08 0,30,0240,10 0,10,0100,15 0,20,030 ----------- ---------------1,0 (RI)PI =0,080-----------------------------------------------------------------------------------

RISK VARIABILITAS DARI EXPECTED RETURN YANG DICERMINKAN OLEH VARIANCE ATAU STANDARD DEVIASI VARIANCE SPREAD ATAU DISPERSI RETURN DARI DISTRIBUSI PROBABILITAS RANDOM VARIABLE DI SEKITAR NILAI RATA-RATASTANDARD DEVIASI VARIANCE2 = [RI E(R)]2PIRI = POSSIBLE RETURN IE(R) = AVERAGE RETURN (EXPECTED RETURN)PI = PROBABILITY I CONDITION = 2

EXPECTED RETURN PORTFOLIOPORTFOLIO KOMBINASI INVESTASI PADA BERBAGAI JENIS ASSET DENGAN TUJUAN UNTUK MENURUNKAN RISIKO SUATU INVESTASIRETURN PORTFOLIO RATA-RATA TERTIMBANG HASIL INVESTASI DARI SEKUMPULAN JENIS INVESTASI

E(RP) = WI E(RI)E(RP) = EXPECTED RETURN PORTFOLIOWI = PORTFOLIO WEIGHT FOR THE ITH SECURITYE(RI) = EXPECTED RETURN ON THE ITH SECURITY

RISK PORTFOLIORISK REDUCTION PORTOFOLIO DILAKUKAN UNTUK MENGURANGI RISIKO INVESTASI PADA SATU JENIS ASSET

ASUMSISEMAKIN BANYAK JENIS INVESTASI AKAN SEMAKIN DAPAT MENURUNKAN (MEMPERKECIL) RISIKO INVESTASIRISIKO ANTAR INDIVIDUAL INVESTASI MEMPUNYAI KARAKTERISTIK YANG INDEPENDEN

P = I/N

RISK PORTFOLIODIVERSIFICATION1. RANDOM DIVERSIFICATIONINVESTOR MELAKUKAN DIVERSIFIKASI INVESTASI SECARA ACAK, TANPA MEMPERHATIKAN KARAKTERISTIK DARI MASING-MASING SEKURITAS2. INTERNATIONAL DIVERSIFICATIONINVESTOR MELAKUKAN DIVERSIFIKASI INVESTASI PADA PASAR INTERNASIONAL

RISK PORTFOLIO3. MARKOWITZ DIVERSIFICATIONDIVERSIFIKASI INVESTASI DILAKUKAN DENGAN MEMPERTIMBANG-KAN ARAH DARI SETIAP RISIKO INVESTASI INDIVIDUAL SEBAGAI DASAR UNTUK MELAKUKAN SELEKSI SEKURITAS DALAM PORTOFOLIOCO-MOVEMENT SECURITY RETURNINDEPENDENSI DARI BERBAGAI ALTERNATIF PILIHAN INVESTASI ANTAR SEKURITAS ATAU ASSET INVESTASI DAPAT DIUKUR DENGAN KORELASI (COEFFICIENT OF CORRELATION AMONG SECURITIES)KOEFISIEN KORELASI = 1 KORELASI POSITIF SEMPURNA = -1 KORELASI NEGATIF SEMPURNA = 0 TIDAK TERJADI KORELASI

CONTOH 1DIVERSIFICATION IN TWO ASSET (INVESTMENT 50% STOCK A, 50% STOCKS B)---------------------------------------------------------------------------------------------YEARSTOCK ASTOCK B PORTFOLIO AB---------------------------------------------------------------------------------------------2000 0,36 0,36 0,362001-0,12-0,12-0,122002-0,10-0,10-0,102003 0,34 0,34 0,342004-0,06-0,06-0,062005 0,30 0,30 0,30---------------------------------------------------------------------------------------------AVG RETURN 0,120 0,120 0,120SD 0,215 0,215 0,215---------------------------------------------------------------------------------------------

CONTOH 2 DIVERSIFICATION IN TWO ASSET (50% INVESTMEN STOCK A, 50% STOCKS B)--------------------------------------------------------------------------------------------YEARSTOCK ASTOCK B PORTFOLIO AB--------------------------------------------------------------------------------------------2000 0,36-0,120,122001-0,12 0,360,122002-0,10 0,340,122003 0,34-0,100,122004-0,06 0,300,122005 0,30-0,060,12--------------------------------------------------------------------------------------------AVG RETURN 0,12 0,1200,120SD 0,215 0,2150,000--------------------------------------------------------------------------------------------

CONTOH 3 DIVERSIFICATION IN TWO ASSET (50% INVESTMEN STOCK A, 50% STOCKS B)---------------------------------------------------------------------------------------------YEARSTOCK ASTOCK B PORTFOLIO AB---------------------------------------------------------------------------------------------2000 0,36 0,25 0,3052001-0,12 0,13 0,0052002-0,10 0,19 0,0452003 0,34 0,28 0,3102004-0,06-0,35-0,2052005 0,30 0,22 0,260---------------------------------------------------------------------------------------------AVG RETURN 0,120 0,120 0,120SD 0,215 0,215 0,180----------------------------------------------------------------------------------------------

COVARIANCE AND CALCULATING PORTFOLIO RISKCOVARIANCE THE EXTEND TO WHICH TWO RANDOM VARIABLES COVARY OVER TIMEABSOLUTE MEASURE OF THE DEGREE OF ASSOCIATION BETWEEN THE RETURN FOR A PAIR OF SECURITIES

AB = [RA,I E(RA)][RB,I E(RB)]PRIAB= COVARIANCE BETWEEN SECURITIES A AND BRA,I = ONE POSSIBLE RETURN ON SECURITIES AE(RA)= EXPECTED VALUE OF THE RETURN ARB,I = ONE POSSIBLE RETURN ON SECURITIES BE(RB)= EXPECTED VALUE OF THE RETURN BPRI= PROBABILITY ITH CONDITION

RELATION COEFFICIENT CORRELATION WITH COVARIANCEAB = AB / [AB]

AB = ABAB

AB = CORRELATION COEFFICIENT A AND BAB = COVARIANCE BETWEEN A AND BA = STANDARDR DEVIATION AB = STANDARD DEVIATION B

PORTFOLIO RISK (2 SECURITIES)P = [W112 + W222 + 2(W1)(W2)(1,2)12]1/2

P = RISK PORTFOLIOW1 = PORTION INVESTMENT IN SECURITIES 112 = VARIANCE SECURIES 11,2 = COEFFICIENT CORRELATION BETWEEN SECURITIES 1 AND 21 = STANDARD DEVIATION SECURITIES 12 = STANDARD DEVIATION SECURITIES 1

PORTFOLIO N - SECURITIESP2 = WI2I2 + WIWJIJP2 = THE VARIANCE OF RETURN ON THE PORTFOLIO I2 = THE VARIANCE OF RETURN FOR SECURITY I WI2 = THE PORTFOLIO WEIGHTS OR PERCENTAGE OF INVESTABLE FUNDS INVESTED IN SECURITY I IJ = THE COVARIANCE BETWEEN THE RETURNS FOR SECURITIES I AND J = ALL POSSIBLE PAIR OF VALUES FOR I AND JTHE MESSAGE PORTFOLIO RISKTHE WEIGHTED RISK OF EACH INDIVIDUAL SECURITYTHE WEIGHTED COVARIANCES AMONG ALL PAIRS OF SECURITIES