ASISTENSI INVESTASI DAN PASAR MODAL

PERTEMUAN 4
DIVERSIFICATION & EFFICIENT-MARKET HYPOTHESIS
TIM ASISTEN DOSEN

PROBLEM 1: VARIANCE, COVARIANCE & CORRELATION

A securities expected return for Superball Co. is 17.50% and its standard deviation is 25.86%. In other
securities for Powerbomb Ltd. is 5.5% and its standard deviation is 11.50%. The Market Analyst from
Bloomberg reports holding-period returns in every economic condition are below:
State of Economy Superball Co Powerbomb Ltd
Depression -20% 5%
Recession 10% 20%
Normal 30% -12%
Boom 50% 9%
Instructions:
a. Calculate the Covariance for these portfolios!
b. How is the correlation between portfolios!

PROBLEM 2: RISK PREMIUM & THE SHARPE (REWARDED-TO-VOLATILITY) RATIO

A portfolio’s expected return is 12%, its standard deviation is 20%, and the risk-free rate is 4%.
Instructions:
Which of the following would make for the greatest increase in the portfolio’s Sharpe ratio?
a. An increase of 1% in expected return.
b. A decrease of 1% in the risk-free rate.
c. A decrease of 1% in its standard deviation
PROBLEM 3: EXPECTED RETURN, PORTFOLIO RISK & THE CAPITAL ALLOCATION LINE
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%.
The T-bill rate is 7%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill
money market fund
Instructions:
a. What is the expected return and standard deviation of your client’s portfolio?
b. Suppose your risky portfolio includes the following investments in the given proportions:
Portfolio Risky Portfolio Distribution
Share A 27%
Share B 33%
Share C 40%
What are the investment proportions of your client’s overall portfolio, including the position in T-bills?
c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client’s overall portfolio?
d. Draw the CAL of your portfolio on an expected return/standard deviation diagram!
 What is the slope of the CAL?
 Show the position of your client on your fund’s CAL

PROBLEM 4: EXPECTED RETURN, RISK AVERSION & THE CAPITAL ALLOCATION LINE
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%.
The T-bill rate is 7%, so, the portfolio return is supposed to be 15%.
Instructions:
a. What is the proportion of fund in risky portfolio (y)?
b. Suppose your risky portfolio includes the following investments in the given proportions:
Portfolio Risky Portfolio Distribution
Share A 27%
Share B 33%
Share C 40%
1
 What are the investment proportions of your client’s overall portfolio, including the position in T-bills?
c. What is the standard deviation of the rate of return on your client’s portfolio?

PROBLEM 5: EXPECTED RETURN, RISK AVERSION & THE CAPITAL ALLOCATION LINE
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%.
The T-bill rate is 7% by portfolio risk is supposed to be no more than 20%.
Instructions:
a. What is the proportion of fund in risky portfolio (y)?
b. What is the expected rate of return on the overall portfolio?

HOMEWORK 1: EFFICIENT-MARKET HYPOTHESIS

PT Dana Investasi berencana akan menggunakan dana idle untuk berinvetasi pada saham dengan
memilih salah satu dari 2 (dua) Bursa Efek di negara kandidat, yakni India dan Jepang. Hasil riset
Bahana Sekuritas terkait kondisi pasar modal kedua negara adalah sebagai berikut:
 India Stock Exchange (NSE):
Investor di NSE menerapkan strategi perdagangan aktif (menggunakan analisis teknikal maupun
fundamental) terutama pada bulan Januari terdapat return yang lebih tinggi dibandingkan dengan
bulan-bulan lainnya dan ini biasanya terjadi pada saham yang nilainya kecil (small stock).
 Tokyo Stock Exchange (JPX):
Investor yang JPX akan cenderung menerapkan strategi perdagangan pasif karena percaya
fundamental Perusahaan terdaftar di JPX dalam kondisi baik, dengan membentuk portofolio yang
bisa mereplikasi indeks pasar. Selain itu, Perusahaan terdaftar di JPX memiliki regulasi yang ketat
dalam keterbukaan informasi baik signifikan atau tidak.
Jika Saudara adalah seorang manajer di PT Dana Investasi, pasar modal yang mana yang Anda akan
tempatkan dana untuk menghasilkan return dan diversifikasi yang optimal? Jelasan alasan Saudara!

HOMEWORK 2: DIVERSIVIKASI
Saudara adalah seorang Manajer Investasi PT Abadi Makmur dengan ketersediaan dana idle sebesar
Rp2.500.000.000 untuk diinvestasikan. Saudara telah meminta Analis OSO Sekuritas untuk meneliti
return dan risk dari Saham PT Astra Agro Lestari Tbk (AALI) dan PT Unilever Indonesia Tbk (UNVR)
dengan hasil sebagai berikut:
PT Astra Agro Lestari Tbk (AALI) PT Unilever Indonesia Tbk (UNVR)
Expected Return 12,00% Expected Return 8,50%
Standar Deviasi 20% Standar Deviasi 16%
Analis juga memberikan laporan tentakan proyeksi kondisi ekonomi dan dampaknya bagi return saham
kedua Perusahaan.
State of Economy AALI UNVR
Depression -8,00% 3,00%
Recession 5,00% 4,50%
Normal 15,00% 6,50%
Boom 22,00% 9,00%
Jika Saudara akan mengalokasi dana tersedia sebesar Rp1.400.000.000 untuk membeli saham AALI
dan sisanya untuk membeli saham UNVR, maka:
a. Hitunglah kovarians dari portfolio
b. Hitunglah koefisien korelasi dari portfolio
c. Hitunglah expected return dari portfolio
d. Hitunglah portfolio risk!
e. Hitunglah efek diversifikasi!