MENGHITUNG

BETA SAHAM
BETA DALAM CAPM
◦ Konsep dari Beta dalam CAPM
◦ Koefisien Beta adalah jumlah risiko dari suatu saham yang
dikontribusikan untuk portfolio pasar
◦ Saham dengan deviasi standar tinggi akan mempunyai beta yg tinggi
pula. Oleh karena itu, saham dengan stand alone tinggi akan
mengkontribusikan banyak risiko untuk portfolio
◦ Beta mengukur volatilitas suatu saham relatif dengan saham rata2.
The Beta Coefficient
◦ Under the theory of the Capital Asset Pricing Model total
risk is partitioned into two parts:
◦ Systematic risk
◦ Unsystematic risk – diversifiable risk

Total Risk of the

Investment

Systematic Risk Unsystematic Risk

◦ Systematic risk is non-diversifiable risk.

◦ Systematic risk is the only relevant risk to the diversified
investor
◦ The beta coefficient measures systematic risk
CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9-3
Risiko Sistematis & Risiko Tidak Sistematis
Variance of Portfolio

(Risk)
Risiko
tidak Dapat
Sistematis didiversivikasi
Return

Yang di nilai Pasar

Risiko Sistematis (Tidak dapat dihindari /
Risiko Pasar )
Number Of Securities

(Sumber: Ross, et al. 2003:274)

UNSYSTEMATIC RISK = FIRM-SPECIFIC RISK = DIVERSIFIABLE RISK

SYSTEMATIC RISK = MARKET RISK = NON-DIVERSIFIABLE RISK
Continue..
return pasar (Rm) yang dapat dihitung
◦ dengan rumus: Jogiyanto (2003 : 232)

keterangan:
◦ Rm = Return pasar
◦ IHSGt = Indeks harga saham gabungan pada periode t
◦ IHSGt-1 = Indeks harga saham gabungan pada periode t-1
Return MARKET
Periode IHSG Return (Rm)
1 1750 - 
2 1755 0,29%

3 1790 1,99%
4 1810 1,11%
5 2010 11,04%
6 1905 - 5,22%
*)
R2001 = (1.755 – 1.750)/1.750
Return EKSPEKTASI PASAR
E (Rm) = 0,29% + 1,99% + 1,11% + 11,04% - 5,22%
5
= 9,21%
5
= 1,84%
The Formula Approach to Measuring the Beta

Cov(k i k M )
Beta 
Var(k M )
You need to calculate the covariance of the returns between the
stock and the market…as well as the variance of the market
returns. To do this you must follow these steps:
• Calculate the expected returns for the stock and the market
• Using the expected returns for each, measure the variance
and standard deviation of both return distributions
• Now calculate the covariance
• Use the results to calculate the beta

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9-8

Return Data
A Sample

A set of estimates of possible returns and their respective probabilities

looks as follows:

Possible
Future State
By observation
of the you can see the
Economy Probability R stock R Market range is much
Boom 25,0% 28,0% 20,0% greater for the
stock than the
Normal 50,0% 17,0% 11,0% market and they
Recession 25,0% -14,0% -4,0% move in the
same direction.

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9-9

The Total of the Probabilities must Equal 100%

This means that we have considered all of the possible outcomes in this
discrete probability distribution

Possible
Future State
of the
Economy Probability R Stock R Market
Boom 25,0% 28,0% 20,0%
Normal 50,0% 17,0% 11,0%
Recession 25,0% -14,0% -4,0%
100,0%

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 10

Measuring Expected Return on the Stock From Return Data

The expected return is weighted average returns from the given ex ante
data

(1) (2) (3) (4)

Possible
Future State
of the
Economy Probability R Stock (4) = (2)*(3)
Boom 25,0% 28,0% 0,07
Normal 50,0% 17,0% 0,085
Recession 25,0% -14,0% -0,035
Expected return on the Stock = 12,0%

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 11

Measuring Expected Return on the Market From Ex Ante Return Data

The expected return is weighted average returns from the given ex ante data

(1) (2) (3) (4)

Possible
Future State
of the
Economy Probability R Market (4) = (2)*(3)
Boom 25,0% 20,0% 0,05
Normal 50,0% 11,0% 0,055
Recession 25,0% -4,0% -0,01
Expected return on the Market = 9,5%

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 12

Measuring Variances, Standard Deviations of the Forecast Stock
Returns
Using the expected return, calculate the deviations away from the mean,
square those deviations and then weight the squared deviations by the
probability of their occurrence. Add up the weighted and squared deviations
from the mean and you have found the variance!
(1) (2) (3) (4) (5) (6) (7)
Possible
Future State
of the Squared P * Squared
Economy Probability R Stock (4) = (2)*(3) Rs - E (Rs) Rs - E(Rs) Rs - E(Rs)
Boom 25,0% 0,28 0,07 0,16 0,0256 0,0064
Normal 50,0% 0,17 0,085 0,05 0,0025 0,00125
Recession 25,0% -0,14 -0,035 -0,26 0,0676 0,0169
Expected return (stock) = 12,0% Variance (stock)= 0,02455
Standard Deviation (stock) = 15,67%

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 13

Measuring Variances, Standard Deviations of the Forecast Market
Returns
Now do this for the possible returns on the market

(1) (2) (3) (4) (5) (6) (7)

Possible
Future State
of the Squared P * Squared
Economy Probability R Market (4) = (2)*(3) Rm -E(Rm) Rm-E(Rm) Rm - E(Rm)
Boom 25,0% 0,2 0,05 0,105 0,011025 0,002756
Normal 50,0% 0,11 0,055 0,015 0,000225 0,000113
Recession 25,0% -0,04 -0,01 -0,135 0,018225 0,004556
Expected return (market) = 9,5% Variance (market) = 0,007425
Standard Deviation (market)= 8,62%

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 14

Covariance
From Chapter 8 you know the formula for the covariance between the returns on the stock and the
returns on the market is:

n _ _
[8-12] COVAB   Prob i (k A,i  ki )( k B ,i - k B )
i 1

COV AB = ∑ (kA,i – ki)(kB,i – kB)

n-1

Covariance is an absolute measure of the degree of ‘co-movement’ of returns.

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 15

Measuring Covariance
from Ex Ante Return Data

Using the expected return (mean return) and given data measure the
deviations for both the market and the stock and multiply them together with
the probability of occurrence…then add the products up.

(1) (2) (3) (4) (5) (6) (7) (8) "(9)

Possible
Future
State of the (4) =
Economy Prob. R Stock (2)*(3) R Market (6)=(2)*(5) Rs - E(Rs) Rm - E(Rm) (8)=(2)(6)(7)
Boom 25,0% 28,0% 0,07 20,0% 0,05 16,0% 10,5% 0,0042
Normal 50,0% 17,0% 0,085 11,0% 0,055 5,0% 1,5% 0,000375
Recession 25,0% -14,0% -0,035 -4,0% -0,01 -26,0% -13,5% 0,008775
E(R stock) = 12,0% E(R market) = 9,5% Covariance = 0,01335

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 16

The Beta Measured
Using Ex Ante Covariance (stock, market) and Market Variance

Now you can substitute the values for covariance and the variance of the
returns on the market to find the beta of the stock:

CovS, M .01335
Beta    1.8
Var M .007425

Jika harga saham naik 180%, maka IHSG akan naik 100%
demikian pula jika terjadi penurunan harga saham.

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 17

Lets Prove the Beta of the Market is 1.0

Let us assume we are comparing the possible market returns against itself…what
will the beta be?

(1) (2) (3) (4) (5) (6) (6) (7) (8)

Possible Possible Possible Deviations Deviations

Future Returns Cov Returns .007425 from the from the
State of the Beta (4) =
on the
`M, M
on the   1.0 mean for mean for (8)=(2)(6)(7
Economy Prob. Market Var
(2)*(3) Market
M .007425
(6)=(2)*(5) the stock the market )
Boom 25.0% 20.0% 0.05 20.0% 0.05 10.5% 10.5% 0.002756
Normal 50.0% 11.0% 0.055 11.0% 0.055 1.5% 1.5% 0.000113
Recession 25.0% -4.0% -0.01 -4.0% -0.01 -13.5% -13.5% 0.004556
E(kM) = 9.5% E(kM) = 9.5% Covariance = 0.007425

Since
Sincethe
thevariance
varianceof
ofthe
thereturns
returnson
onthe
themarket
marketisis==.007425
.007425…
…
the
thebeta
betafor
forthe
themarket
marketis
isindeed
indeedequal
equalto
to1.0
1.0!!!
!!!
CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 18
Proving the Beta of Market = 1
If you now place the covariance of the market with itself value in the beta
formula you get:

Cov MM .007425
Beta    1.0
Var(R M ) .007425

Jika harga saham naik 100%, maka IHSG akan naik 100%
demikian pula jika terjadi penurunan harga saham.

CHAPTER 9 – The Capital Asset Pricing Model (CAPM) 9 - 19

 Contoh menghitung beta saham A

PA RA RA-E(RA) (RA-E(RA))^2 IHSG Rm Rm-E(Rm) ((Rm-E(Rm))^2 RA-E(RA)(Rm-E(Rm))

3700      1960       
2975 -0,196 -0,237 0,056 2040 0,041 -0,028 0,0008 0,0067
3100 0,042 0,001 0,000 2340 0,147 0,078 0,0061 0,0000
3850 0,242 0,200 0,040 2500 0,068 -0,001 0,0000 -0,0001
4150 0,078 0,036 0,001 2550 0,020 -0,049 0,0024 -0,0018
              0,0093 0,0048
E(RA) 0,041    E(Rm) 0,069     
            Var (Rm) 0,00310 

              Covar(RA,Rm) 0,00161
                 
              BA 0,52
 MENGHITUNG
RETURN SAHAM
DENGAN
RUMUS CAPM
CAPM
Digunakan untuk menganalisa risk dan rates of return.

Kesimpulan dari CAPM: risiko yg relevant dari suatu

saham adalah kontribusi risiko saham tersebut pada
risiko portfolio
SECURITY MARKET LINE
Persamaan SML:
Required rate of return on stock i =
Risk free rate+(Market risk premium)(stock’s i beta)

E(Ri) = Rf + (E(RM)-Rf) bi

Semakin besar beta suatu sekuritas, maka semakin besar

risiko pasarnya dan semakin besar pula return yang
diinginkan investor
CONTOH SOAL
PT MTV: Return yg diharapkan dari obligasi pemerintah (risk free rate) adalah 8%,
return yg diharapkan portfolio pasar adalah 12%. Berapa rate of return yg diharapkan
pada saham PT MTV apabila beta adalah 1.4?

Rf = 8%, E(RM) = 12%, b = 1.4

E(RMTV) = 8% + (12%-8%)1.4 = 13.6%

Semakin tinggi beta suatu sekuritas, semakin tinggi risiko pasar sehingga semakin
tinggi pula return yg diminta oleh investor untuk sekuritas yang bersangkutan  lihat
rumus
CONTOH SOAL
◦ Dari contoh saham A, hitung return yang diharapkan investor dari saham A jika return dari
SBI 2%

◦ E(RA) = 0,02 + ( 0,52 (0,069 – 0,02))

= 0,045
= 4,5 %
PENILAIAN KINERJA
REKSADANA
Indeks Sharpe
◦ Mengukur kinerja reksadana berdasarkan reward to variability (R/V)
◦ Reksadana layak dibeli jika excess return bernilai positif
◦ Kinerja reksadana semakin baik jika R/V semakin tinggi

R/Vs = excess return = Rp - Rf

risk σp

Ket: Rp = average return portofolio

Rf = risk free rate
σp = standard deviation return portofolio
Indeks Treynor
◦ Mengukur kinerja reksadana berdasarkan reward to variability (R/V)
◦ Reksadana layak dibeli jika excess return bernilai positif
◦ Kinerja reksadana semakin baik jika R/V semakin tinggi

R/Vt = excess return = Rp - Rf

risk βp

Ket: Rp = average return portofolio

Rf = risk free rate
βp = beta portofolio

Cara menghitung beta portofolio reksadana sama dengan beta saham, tetapi sumber data untuk beta portofolio dari nilai aset
bersih (NAB)
Indeks Alpha Jensen
◦ Mengukur kinerja reksadana berdasarkan alpha ()
◦ Reksadana layak dibeli jika  bernilai positif
◦ Kinerja reksadana semakin baik jika  semakin tinggi

 = Rp – E(Rp)
E(Rp) = Rf + βp (Rm – Rf)
Ket: E(Rp) = expected return sebagai minimum rate of return
Rm = average return market
Rf = risk free rate
βp = beta portofolio
 Sample
NAB A IHSG

887,8 338,4
Berdasarkan data NAB dan
IHSG selama 6 periode
894,6 399,2 pengamatan, apakah reksa
dana A layak dibeli
901,4 398,0 berdasarkan pendekatan
Indeks Treynor, Indeks
Sharpe, dan Indeks Jensen,
1010,5 450,9
jika diketahui risk free
bulanan adalah 1 %
1100,8 494,8

1136,4 505,5
 NAB A RA RA-E(RA) (RA-E(RA))^2 IHSG Rm Rm-E(Rm) ((Rm-E(Rm))^2 (RA-E(RA))(Rm-E(Rm))
887,8       338,4        
894,6 0,008 -0,044 0,002 399,2 0,180 0,094 0,0088 -0,0041
901,4 0,008 -0,044 0,002 398,0 -0,003 -0,089 0,0079 0,0039
1010,5 0,121 0,069 0,005 450,9 0,133 0,047 0,0022 0,0033
1100,8 0,089 0,038 0,001 494,8 0,097 0,012 0,0001 0,0004
1136,4 0,032 -0,019 0,0004 505,5 0,022 -0,064 0,0041 0,0012
  0,258  0,010  0,429  0,0232 0,0047
                 
E(RA) 0,052    E(Rm) 0,086     
     σ A  0,051    Var (Rm) 0,00579 

              Cov (RA,Rm) 0,00118

                 
              BA 0,20
 ◦ Indeks Sharpe:
◦ Indeks Jensen:
◦ R/Vs = 0,052 – 0,01 = 0,042 = 0,824
◦ E(RA) = 0,01 + 0,2 (0,086 – 0,01)
0,051 0,051
= 0,025
◦ A = 0,052 – 0,025
◦ RD A layak dibeli menurut indeks sharpe krn excess
= 0,027
return (+)

◦ RD A layak dibeli menurut indeks Jensen krn alpha

(+)

◦ Indeks Treynor:
◦ R/Vt = 0,052 – 0,01 = 0,042 = 0,210
0,2 0,2

◦ RD A layak dibeli menurut indeks treynor krn excess

return (+)
NAB B IHSG
Sample
Berdasarkan data NAB dan
1127,9 338,4
IHSG selama 6 periode
pengamatan, apakah reksa
1147,4 399,2 dana B layak dibeli
berdasarkan pendekatan
Indeks Treynor, Indeks
1166,9 398,0 Sharpe, dan Indeks Jensen,
jika diketahui risk free
bulanan adalah 1 %. Jika
1462,4 450,9
dibandingkan dengan RD
A, mana yang sebaiknya
1529,1 494,8 dipilih investor?

1499,9 505,5
 RB- (RB-E(RB))(Rm-
NAB B RB E(RB) (RB-E(RB))^2 IHSG Rm Rm-E(Rm) ((Rm-E(Rm))^2 E(Rm))
1127,9       338,4        
1147,4 0,017 -0,046 0,002 399,2 0,180 0,094 0,0088 -0,0043
1166,9 0,017 -0,046 0,002 398,0 -0,003 -0,089 0,0079 0,0041
1462,4 0,253 0,190 0,036 450,9 0,133 0,047 0,0022 0,0090
1529,1 0,046 -0,017 0,000 494,8 0,097 0,012 0,0001 -0,0002
1499,9 -0,019 -0,082 0,0067 505,5 0,022 -0,064 0,0041 0,0052
  0,314  0,047  0,429  0,0232 0,0138
                 
E(RB) 0,063    E(Rm) 0,086     
            Var (Rm) 0,00579 

    σB 0,109      Covar(RB,Rm) 0,00346

                 
              BB 0,60
◦ Indeks Jensen: ◦ Indeks Sharpe:

◦ E(RB) = 0,01 + 0,6 (0,086 – 0,01) ◦ R/Vs = 0,063 – 0,01 = 0,053 = 0,486

= 0,056 0,109 0,109

◦  B = 0,063 – 0,056
= 0,007 ◦ RD B layak dibeli menurut indeks sharpe krn excess return
(+)

◦ RD B layak dibeli menurut indeks Jensen krn alpha (+)

◦ Indeks Treynor:
Kesimpulan: ◦ R/Vt = 0,063 – 0,01 = 0,053 = 0,088
Kedua RD layak dibeli, tetapi jika dibandingkan antara RD A 0,6 0,6
dengan RD B maka lebih baik memilih RD A karena kinerjanya
lebih baik menurut Indeks Sharpe, Indeks Treynor, dan Indeks
Jensen (R/Vs, R/Vt, dan  lebih besar) ◦ RD B layak dibeli menurut indeks treynor krn excess return
(+)