Investment Analysis and Portfolio Management. Frank K. Reilly & Keith C. Brown

Ukuran: px

Mulai penontonan dengan halaman:

Download "Investment Analysis and Portfolio Management. Frank K. Reilly & Keith C. Brown"

Agus Tanudjaja
7 tahun lalu
Tontonan:

1 Investment Analysis and Portfolio Management Frank K. Reilly & Keith C. Brown

2 Part 1: BACKGROUND 1 Seting Investasi 2 Alokasi Aset RETURN RISIKO PASAR MODAL 3 Investasi 5 Indeks 4 Pasar 2

3 Chapter 1 The Investment Setting Questions to be answered: 1. Why do individuals invest? 2. What is an investment? 3. How do we measure the rate of return on an investment? 4. How do investors measure risk related to alternative investments? 5. What factors contribute to the rates of return that investors require on alternative investments? 6. What macroeconomic and microeconomic factors contribute to changes in the required rate of return for individual investments and investments in general? 3

4 Why Do Individuals Invest? Menyimpan uang (tidak mengkonsumsinya) = individu mempertukarkan (tradeoff) konsumsi sekarang dg konsumsi mendatang yg lebih besar Pokok + tambahan= Investasian + return 4

5 How Do We Measure The Rate Of Return On An Investment? The pure rate of interest = tk pertukaran antara konsumsi mendatang & konsumsi sekarang. Kekuatan pasar menentukan tingkat bunga (rate). Kenaikan tingkat bunga (= pure time value of money) disebabkan: Keinginan orang unt membayar perbedaan unt meminjam uang sekarang dan keinginan unt menerima surplus atas tabungan $ % = $

6 Jika pembayaran mendatang nilainya menurun krn inflasi, maka investor akan berharap (demand) tk bunga menjadi lebih tinggi daripada pure time value of money unt menutup biaya inflasi yg diharapkan terjadi. Komitmen sekarang atas dolar pd suatu periode unt menderivasi pembayaran mendatang yg akan mengkompensasinya: Waktu & dana yg dijanjikan (the time the funds are committed) Tingkat harapan inflasi (the expected rate of inflation) Ketidak pastian arus mendatang dana (uncertainty of future flow of funds) 6

7 Measures of Historical Rates of Return 1.1 Holding Period Return HPR = Ending Beginning Value Value of of Investment Investment = $220 $200 =

8 Measures of Historical Rates of Return 1.2 Holding Period Yield HPY = HPR = 0.10 = 10% 8

9 Measures of Historical Rates of Return Annual Holding Period Return Annual HPR = HPR 1/n notasi n = jumlh tahun investasi berrlangsung Annual Holding Period Yield Annual HPY = Annual HPR - 1 9

10 Measures of Historical Rates of Return Arithmetic Mean 1.4 where : AM = HPY/ n HPY = the sum holding of annual period yields 10

11 Measures of Historical Rates of Return Geometric Mean 1.5 where : GM = [ π HPR ] 1 n 1 π = the product of holding period the annual returns as follows : ( HPR ) ( HPR ) K ( HPR ) 1 2 n 11

12 A Portfolio of Investments Rerata Return historis bg portofolio investasi = rata-rata tertimbang HPYs untuk investasi individual dlm portofolio. 12

13 Computation of Holding Period Yield for a Portfolio Exhibit 1.1 # Begin Beginning Ending Ending Market Wtd. Stock Shares Price Mkt. Value Price Mkt. Value HPR HPY Wt. HPY A 100,000 $ 10 $ 1,000,000 $ 12 $ 1,200, % B 200,000 $ 20 $ 4,000,000 $ 21 $ 4,200, % C 500,000 $ 30 $ 15,000,000 $ 33 $ 16,500, % Total $ 20,000,000 $ 21,900, HPR = $ 21,900,000 $ 20,000,000 = HPY = = = 9.5% 13

14 Expected Rates of Return Risiko : ketidakpastian bhw investasi akan menghasilkan tingkat return harapan Probabilitas: kemungkinan (%) dari suatu hasil 14

15 Expected Rates of Return Expected Return = E(R i ) 1.6 n i= 1 (Probabilit y of Return) (Possible Return) [(P )(R ) + (P )(R ) n i= 1 (P )(R i i ) (P n R n ) 15

16 Risk Aversion Asumsi bhw Investor akan memilih alternatif investasi yg plg rendah risikonya, sedangkan yg lain sama (dg return tertentu) Investor tdk akan menerima tambahan risiko jika tidak akan memperoleh return yg lbh tinggi 16

17 Probability Distributions Exhibit Investasi bebas risiko -5% 0% 5% 10% 15% 17

18 Probability Distributions Investas aset berisiko dg 3 return yg mungkin % -10% 10% 30% Exhibit

19 Probability Distributions Exhibit 1.4 Risky investment with ten possible rates of return % -20% 0% 20% 40% 19

20 Measuring the Risk of Expected Rates of Return 1.7 n i= 1 Variance ( σ ) = (Probability) (Possible Return - Expected Return) 2 n ( P )[R i i i= 1 E(R )] i 2 20

21 Measuring the Risk of Expected Rates of Return 1.8 Deviasi Standar (Standard Deviation)= akar pangkat varian n i= 1 - E(R )] 2 i i i P [R 21

22 Measuring the Risk of Expected Rates of Return 1.9 Coefficient of variation (CV): ukuran variabilitas relatif yg menunjukkan risiko per unit return = Standard Deviation of Returns Expected Rate of Returns = σ E(R) i 22

23 Measuring the Risk of Historical Rates of Return 1.10 σ 2 2 σ HPY i E(HPY) n = = = = = n [HPY i= 1 i E(HPY) variance of the series 2/n holding period yield during period i expected value of the HPY = the arithmetic mean of the series the number of observations 23

24 Determinants of Required Rates of Return Nilai waktu uang Tingkat inflasi harapan Risiko yg terkait (Risk involved) 24

25 The Real Risk Free Rate (RRFR) Asumsi tidak ada inflasi. Asumsi arus kas mendatang pasti. Dipengaruhi oleh preferensi waktu konsumsi dan kesempatan investasi dlm suatu perekonomian 25

26 Adjusting For Inflation 1.12 Real RFR = (1 (1 + + Nominal Rate of RFR) Inflation) 1 26

27 Nominal Risk-Free Rate Tergantung pada: Kondisi di pasar modal Tingkat harapan inflasi 27

28 Adjusting For Inflation 1.11 Nominal RFR = (1+Real RFR) x (1+Expected Rate of Inflation)-1 28

29 Facets of Fundamental Risk Risiko bisnis Risiko finansial Risiko likuiditas Risiko tingkat kurs Risiko nasional (Country risk) 29

30 Business Risk Ketidakpastian yg disebabkan olh sifat/jenis bisnis perusahaan Volatilitas penjualan dan operating leverage menentukan tingkat risiko bisnis. 30

31 Financial Risk Ketidakpastian yg disebabkan oleh penggunaan utang dlm pendanaan Utang mensyaratkan pembayaran tetap, yg harus dibayar seperti pembayaran kpd pemegang saham Penggunaan utang meningkatkan ketidakpastian pendptn pemegang saham & meningkatkan risiko tambahan saham (stock s risk premium). 31

32 Liquidity Risk Ketidakpastian ditunjukkan oleh pasar sekunder bg suatu investasi: Berapa lama investasi bisa menjadi uang? Seberapa pasti HARGA yg akan diterima? 32

33 Exchange Rate Risk Ketidakpastian ditunjukkan oleh perolehan sekuritas yg diperbandingkan (denominated) dlm mata uang yang berbeda dg mata uang investor. Perubahan dlm tingkat KURS berpengaruh pd return investor jika mengkonversikannya investasi ke dlm kurs patokan ( home currency). 33

34 Country Risk (= Political risk ) Risiko politik= ketidakpastian return yg disebabkan oleh kemungkinan perubahan utama dlm lingkungan politik atau ekonomi suatu negara. Orang yg berinvestasi dlm negara yg sistem politikal-ekonomi tdk stabil hrs memasukkan risiko premium nasional ketika menentukan tingkat return harapan 34

35 Risk Premium f (Business Risk, Financial Risk, Liquidity Risk, Exchange Rate Risk, Country Risk) or f (Systematic Market Risk) 35

36 Risk Premium and Portfolio Theory Ukuran risiko relevan bg aset individual adl perubahann bersamanya (comovement) dengan portofolio pasar Risiko sistematik menghubungkan varian investasi dg varian pasar Beta mengukur risiko sistematik suatu aset 36

37 Fundamental Risk versus Systematic Risk Risiko fundamental terdiri dari: business risk, financial risk, liquidity risk, exchange rate risk, and country risk Risiko sistematik merefer pd porsi varian total aset individual atas (attributable to) variabilitas portofolio pasar total 37

38 Relationship Between Risk and Return Exhibit 1.7 Rateof Return Low Risk (Expected) Average Risk High Risk Security Market Line RFR The slope indicates the required return per unit of risk Risk (business risk, etc., or systematic risk-beta) 38

39 Changes in the Required Rate of Return Due to Movements Along the SML Expected Rate Exhibit 1.8 Security Market Line RFR Movements along the curv that reflect changes in the risk of the asset Risk (business risk, etc., or systematic risk-beta) 39

40 Changes in the Slope of the SML Notasi: RP i = E(R i) - NRFR 1.13 RP i = risiko premium bagi aset i E(R i ) = return harapan bg aset i NRFR= nominal return on a risk-free asset 40

41 Market Portfolio Risk 1.14 Risiko premium pasar bg portofolio pasar (terdiri dari semua aset berisiko dlm pasar) dpt dihitung: RP m = E(R m )- NRFR Notasi: RP m = risk premium pada portofolio pasar E(R m ) = expected return pada portofolio pasar NRFR = nominal return on a risk-free asset 41

42 Change in Market Risk Premium Exhibit 1.10 Rm' Rm E(R) Expected Return R m R m New SML Original SML RFR NRFR Risk 42

43 Capital Market Conditions, Expected Inflation, and the SML Exhibit 1.11 Rate of Return Expected Return New SML RFR' NRFR Original SML RFR NRFR Risk 43

44 The Internet Investments Online

45 Future Topics Chapter 2 The asset allocation decision The individual investor life cycle Risk tolerance Portfolio management 45

dokumen-dokumen yang mirip

RISIKO. Untuk menghitung risiko berdasarkan probabilitas, investor menggunakan standar deviasi dengan rumus sebagai berikut.

RISIKO. Untuk menghitung risiko berdasarkan probabilitas, investor menggunakan standar deviasi dengan rumus sebagai berikut. Bahan ajar digunakan sebagai materi penunjang Mata Kuliah: Manajemen Investasi Dikompilasi oleh: Nila Firdausi Nuzula, PhD RISIKO Perhitungan risiko digunakan untuk melengkapi perhitungan tingkat return