Risk and Return Concept

DIVERSIFIKASI YANG EFISIEN

Pertemuan 5

Dosen: Ananta Hagabean, SE., MBA., CFP®

Universitas Indonesia 2021
 The Principle
‘Don’t put your egg on one basket’
 Portfolios

 Combining several securities

in a portfolio can actually
reduce overall risk.
 How does this work?
 Suppose we have stock A and stock B.
The returns on these stocks do not tend
to move together over time (they are
not perfectly correlated).

rate
of
return

time
 Suppose we have stock A and stock B.
The returns on these stocks do not tend
to move together over time (they are
not perfectly correlated).
kA
rate
of
return

time
 Suppose we have stock A and stock B.
The returns on these stocks do not tend
to move together over time (they are
not perfectly correlated).
kA
rate
of
return kB

time
 What has happened to the
variability of returns for the
portfolio?

kA
rate
of
return kB

time
 What has happened to the
variability of returns for the
portfolio?

kA
rate kp
of
return kB

time
 Diversification

 Investing in more than one security to

reduce risk.
 If two stocks are perfectly positively
correlated, diversification has no
effect on risk.
 If two stocks are perfectly negatively
correlated, the portfolio is perfectly
diversified.
 If you owned a share of every stock
traded on the NYSE and NASDAQ,
would you be diversified?
YES!
 Would you have eliminated all of
your risk?
NO! Common stock portfolios still
have risk.
Some risk can be diversified away
and some cannot.

 Market risk (systematic risk) is

nondiversifiable. This type of risk
cannot be diversified away.
 Company-unique risk (unsystematic
risk) is diversifiable. This type of risk
can be reduced through
diversification.
 Market Risk
Market Risk  adalah risiko yang disebabkan
oleh sumber risiko pasar secara luas
Market Risk = Systematic Risk = Nondiversifiable Risk

Contoh:
Unexpected changes in interest rates.
Unexpected changes in cash flows due to:
 tax rate changes,
 foreign competition, and
 the overall business cycle.
 Company-unique Risk
Company-Unique Risk  adalah risiko yang
dapat dihilangkan dengan diversifikasi

Unique Risk = Nonsystematic Risk = diversifiable Risk

Contoh:
A company’s labor force goes on strike.
A company’s top management dies in a plane crash.
A huge oil tank bursts and floods a company’s production
area.
 As you add stocks to your portfolio,
company-unique risk is reduced.

portfolio
risk

company-
unique
risk

Market risk
number of stocks
 6.2 Alokasi Aset dengan Dua Aset Berisiko

Imbal hasil (Return) yang diharapkan pada portofolio yang terdiri dari
dua efek

E (rp )  W1r1  W2 r2
Notes:
W1 = Proportion of funds in security 1 (Probabilitas 1)
W2 = Proportion of funds in security 2 (Probabilitas 2)
r1 = Expected return on security 1
r2 = Expected return on security 2

www,penerbitsalemba,com
 6.2 Alokasi Aset dengan Dua Aset Berisiko

Koefisien Korelasi  Hubungan antara portofolio beberapa emiten pilihan

dalam strategy diversifikasi

 Kovarian dan Korelasi

• Risiko portofolio bergantung pada kovarian di antara imbal hasil dari
aset-aset yang ada di dalamnya

Jika Koefisien Korelasi Negatif 

• Tidak ada keterkaitan antara diversifikasi yang dilakukan
• Diversifikasi akan efektif

Jika Koefisien Korelasi Positif 

• Terdapat keterkaitan antara diversifikasi yang dilakukan
• Diversifikasi tidak efektif

www,penerbitsalemba,com
 6.2 Alokasi Aset dengan Dua Aset Berisiko

Perhitungan Kovarian
S
Cov(rS , rB )   p(i )[rS (i )  E (rS )][rB (i )  E (rB )]
i 1

Perhitungan Koefisien Korelasi

Cov(rS , rB )
ρ SB 
σS  σB

Cov(rS , rB )  ρ SB σ S σ B
www,penerbitsalemba,com
 Spreadsheet 6.1 Ekspektasi Pasar Modal

Contoh Kasus
Ekspektasi Pasar Modal Untuk
Reksadana Saham (Proporsi 40%) and Obligasi (Proporsi 60%)

Menghitung Expected Return (E(r) dari Masing-Masing emiten

E r(s) = 10% E r(B) = 5%

www,penerbitsalemba,com
 Spreadsheet 6.2 Varian Imbal Hasil

Contoh Kasus
Ekspektasi Pasar Modal Untuk Reksadana Saham and Obligasi

Menghitung Risk dengan standard deviasi 

(s) = 18.63%  (B) = 8.27%

n
 =  (ki - k) 2
P(ki)
i=1

www,penerbitsalemba,com
 Spreadsheet 6.3 Kinerja Portofolio

Reksadana Saham (Proporsi 40%) and Obligasi (Proporsi 60%)

Menghitung Expected Return (E(r) dari Portofolio 2 emiten

E r(s,b) Severe Recession = (40% x -37%) + (60% x -9%) = -20.2%

E r(s,b) = 7% (s,b) = 6.65%

www,penerbitsalemba,com
 Spreadsheet 6.4 Kovarian Imbal Hasil

Menghitung Covarian dan Koefien Korelasi dari Portofolio 2

emiten

S
Cov(rS , rB )   p (i )[rS (i )  E (rS )][rB (i )  E ( rB )]
i 1

Cov(rS , rB ) (Negatif)
ρ SB  = -74.8 / 18.63% x 8.27% = - 0.49%
σS  σB
= Artinya tidak ada hubungan antara 2 emiten,
Portofolio Efektif
www,penerbitsalemba,com
Perhitungan Capital Asset Pricing Model
(CAPM)
 As you add stocks to your portfolio,
company-unique risk is reduced.

portfolio
risk

company-
unique
risk

Market risk
number of stocks
Apakah Beberapa Perusahaan Memiliki Market
Risk Yang Berbeda Dengan Yang lain?
Yes.
 Misal: tingkat suku bunga tertentu berpengaruh
pada semua perusahaan dengan kondisi tertentu,

Diantara dua industry di bawah ini, perusahaan

mana yang terpengaruh lebih besar?

a) Perusahaan Retail Makanan

b) Perusahaan Bank Komersil

 Note
 As we know, the market compensates
investors for accepting risk - but only
for market risk.
 Company-unique risk can and should
be diversified away.

So - we need to be able to measure Market Risk.

 This is why we have Beta.
Beta: a measure of market risk.
Specifically, Beta is a measure of how an
individual stock’s returns vary (berbeda) with
market returns

• It’s a measure of the “Sensitivity” of an

individual stock’s returns to changes in the
market.
 The market’s beta is 1
 A firm that has a beta = 1 has average market risk.
 The stock is no more or less volatile than the market.

 A firm with a beta > 1 is more volatile than the

market.
 (ex: technology firms)

 A firm with a beta < 1 is less volatile than the

market.
 (ex: utilities)
 Calculating Beta
XYZ Co. returns
15

10

5
S&P 500
returns
-15 -10 -5 -5 5 10 15

-10

-15
 Calculating Beta Beta = slope
XYZ Co. returns = 1.20
15
.. .
. .
10 . . . .
. .
.. . .
. . 5. .
S&P 500 .. . .
returns
-15 -10 -5 -5
. . . .
5 10 15
.. . .
. . . . -10
.. . .
. . . -15.
 Summary:
 We know how to measure risk, using
standard deviation for overall risk and
beta for market risk.

 We know how to reduce overall risk to

only market risk through
diversification.

 We need to know how to price risk

 so we will know how much extra return we
should require for accepting extra risk
(Required Rate of Return).
 What is the Required Rate of
Return?

The Required Rate of Return = Return Yang Diharapkan

 The return on an investment required

by an investor given market interest
rates and the investment’s risk.
Required Risk-free Risk
rate of = rate of + Premium
return return

Market Company-
Risk Unique Risk

can be diversified
away
Required
rate of
Mari kita gambarkan
return
hubungan keduanya!

Beta
Required
rate of
return Security
Market Line
(SML)
12% .

Risk-free
rate of
return
(6%)

1 Beta
 This linear relationship between
Risk and Required Return is
known as the Capital Asset
Pricing Model (CAPM).

• Metode Capital Asset Pricing Model (CAPM)

merupakan metode yang memasukkan unsur risiko
saham ke dalam minimum return.

Semakin tinggi risiko investasi yang dihadapi, semakin

besar return minimum yang diharapkan.
Required SML
rate of
return

12% .

Risk-free
rate of
return
(6%)

0 1 Beta
Required SML
rate of
Is there a riskless
return (zero beta) security?

12% .
Treasury
Securities (SBI) are
Risk-free as close to riskless
rate of as possible.
return
(6%)

0 1 Beta
Required SML
rate of Dimana letak
return IHSG pada SML?

12% .
IHSG
merepresentatifkan
Risk-free kondisi pasar yang
rate of tepat
return
(6%)

0 1 Beta
Required SML
rate of
return

12% Utility
Stocks
.
10%

Risk-free
rate of
return
(6%)

0 1 Beta
 Required
rate of return High-tech SML
stocks
14%

12% .

Risk-free
rate of
return
(6%)

0 1 Beta
 Rumus CAPM

Erj = rf + j (rm - rf )

Notes:
rj = Required Return efek saham j,
rf = the risk-free rate of interest,
j = the beta of efek saham j, and
rm = the return on the market index
 Example:

 Diketahui tingkat suku bunga acuan SBI 6%,

Rata-rata return dari IHSG adalah 12%, dan PT.
Waskita Karya, Tbk (WSKT) memiliki beta of
1.2.
 Berdasarkan perhitungan CAPM, berapa
Required Rate of Return pada saham WSKT
seharusnya?
 Jawaban Contoh:

Erj = rf + j (rm - rf )

rj = .06 + 1.2 (.12 - .06)

rj = .132 = 13.2%

• Berdasarkan perhitungan CAPM,

• saham WSKT harus dihargai untuk dapat
memberikan imbal hasil (return) sebesar 13.2%.
Required SML
rate of Theoretically, setiap
return efek harus berada
pada garis SML

12% .
If every stock
is on the SML,
Risk-free investors are being fully
rate of compensated for risk.
return
(6%)

0 1 Beta
Required SML
rate of If a security is Above
return the SML,
it is Underpriced.
(Beli Saham)
12% .
If a security is Below
the SML,
Risk-free it is Overpriced.
rate of
return (Jual Saham)
(6%)

0 1 Beta
 Latihan
S&P mengestimasikan beta General Electric adalah
1,05. Sebagaimana kita lihat, premi resiko untuk
saham perusahaan besar telah menjadi 8,8% selama
tujuh dekade terakhir. Tingkat pengembalian bebas
risiko (Treasury Bills) pada awal 2018 sekitar
1,8%.
Tentukan berapa tingkat pengembalian yang
diharapkan investor dari GE?