Investment Analysis and Portfolio Management Frank K. Reilly & Keith C. Brown
Part 1: BACKGROUND 1 Seting Investasi
2 Alokasi Aset
3 Investasi
RETURN RISIKO PASAR MODAL
5 Indeks
4 Pasar 2
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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 FE UNS 2010
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Why Do Individuals Invest? • Menyimpan uang (tidak mengkonsumsinya) = individu mempertukarkan (tradeoff) konsumsi sekarang dg konsumsi mendatang yg lebih besar • Pokok + tambahan= Investasian + return 4 FE UNS 2010
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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
$ 1 . 00 + 4 % = $ 1 . 04 5 FE UNS 2010
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• 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 FE UNS 2010
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Measures of Historical Rates of Return 1.1
Holding Period Return HPR
Ending Value of Investment = Beginning Value of Investment $220 = = 1 . 10 $200
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Measures of Historical Rates of Return 1.2
Holding Period Yield HPY = HPR - 1 1.10 - 1 = 0.10 = 10%
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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 FE UNS 2010
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Measures of Historical Rates of Return 1.4
Arithmetic Mean AM =
∑ HPY/ n
where :
∑ HPY
= the sum of annual holding period yields
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Measures of Historical Rates of Return 1.5
Geometric Mean GM = [π HPR
]
1
n
−1
where :
π = the product of the annual holding period returns as follows :
(HPR 1 ) × (HPR 2 )K (HPR n ) 11 FE UNS 2010
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A Portfolio of Investments • Rerata Return historis bg portofolio investasi = rata-rata tertimbang HPYs untuk investasi individual dlm portofolio.
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Computation of Holding Period Yield for a Portfolio # Stock Shares A 100,000 B 200,000 C 500,000 Total
Begin Price $ 10 $ 20 $ 30
HPR =
HPY = 1.095
Beginning Ending Ending Mkt. Value Price Mkt. Value $ 1,000,000 $ 12 $ 1,200,000 $ 4,000,000 $ 21 $ 4,200,000 $ 15,000,000 $ 33 $ 16,500,000 $ 20,000,000 $ 21,900,000 $ 21,900,000 $ 20,000,000
=
1.095
-1
=
0.095
=
9.5%
HPR 1.20 1.05 1.10
Exhibit 1.1
Market HPY Wt. 20% 0.05 5% 0.20 10% 0.75
Wtd. HPY 0.010 0.010 0.075 0.095
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Expected Rates of Return • Risiko : ketidakpastian bhw investasi akan menghasilkan tingkat return harapan • Probabilitas: kemungkinan (%) dari suatu hasil 14 FE UNS 2010
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Expected Rates of Return Expected Return = E(R i )
1.6
n
∑ (Probabilit y of Return) × (Possible Return) i =1
[(P1 )(R 1 ) + (P2 )(R 2 ) + .... + (Pn R n ) n
∑ (P )(R i
i
)
i =1 15 FE UNS 2010
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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
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Probability Distributions Exhibit 1.2
Investasi bebas risiko 1.00 0.80 0.60 0.40 0.20 0.00
-5%
0%
5%
10% 15% 17
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Probability Distributions Exhibit 1.3
Investas aset berisiko dg 3 return yg mungkin 1.00 0.80 0.60 0.40 0.20 0.00
-30%
-10%
10%
30% 18
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Probability Distributions Exhibit 1.4
Risky investment with ten possible rates of return
1.00 0.80 0.60 0.40 0.20 0.00 -40% -20% 0%
20% 40% 19
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Measuring the Risk of Expected Rates of Return
1.7
Variance (σ ) = n
2 ( Probabilit y) × (Possible Return Expected Return) ∑ i =1
n
∑ (P )[R − E(R )]
2
i
i
i
i =1 20 FE UNS 2010
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Measuring the Risk of Expected Rates of Return
1.8
Deviasi Standar (Standard Deviation)= akar pangkat varian n
∑ P [R i
i
- E(R i )]
2
i =1
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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
=
σi E(R) 22
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Measuring the Risk of Historical Rates of Return
1.10
n
σ = ∑ [HPYi − E (HPY) 2
2/n
i =1
σ 2 = variance of the series HPY i = holding period yield during period i E(HPY) = expected value of the HPY = the arithmetic mean of the series n = the number of observations 23 FE UNS 2010
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Determinants of Required Rates of Return • Nilai waktu uang • Tingkat inflasi harapan • Risiko yg terkait (Risk involved)
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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
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Adjusting For Inflation
1.12
Real RFR =
(1 + Nominal RFR) − 1 (1 + Rate of Inflation) 26 FE UNS 2010
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Nominal Risk-Free Rate Tergantung pada: – Kondisi di pasar modal – Tingkat harapan inflasi
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Adjusting For Inflation
1.11
Nominal RFR = (1+Real RFR) x (1+Expected Rate of Inflation)-1
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Facets of Fundamental Risk • • • • •
Risiko bisnis Risiko finansial Risiko likuiditas Risiko tingkat kurs Risiko nasional (Country risk) 29 FE UNS 2010
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Business Risk • Ketidakpastian yg disebabkan olh sifat/jenis bisnis perusahaan • Volatilitas penjualan dan operating leverage menentukan tingkat risiko bisnis. 30 FE UNS 2010
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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 FE UNS 2010
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Liquidity Risk • Ketidakpastian ditunjukkan oleh pasar sekunder bg suatu investasi: – Berapa lama investasi bisa menjadi uang? – Seberapa pasti HARGA yg akan diterima?
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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 FE UNS 2010
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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 FE UNS 2010
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Risk Premium f (Business Risk, Financial Risk, Liquidity Risk, Exchange Rate Risk, Country Risk)
or f (Systematic Market Risk)
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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 FE UNS 2010
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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 FE UNS 2010
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Relationship Between Risk and Return Exhibit 1.7 Rateof Return (Expected) Low Average Risk Risk
Security Market Line
High Risk
The slope indicates the required return per unit of risk
RFR
Risk (business risk, etc., or systematic risk-beta) 38 FE UNS 2010
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Changes in the Required Rate of Return Due to Movements Along the SML Expected Rate
Exhibit 1.8
Security Market Line
Movements along the curve that reflect changes in the risk of the asset
RFR
Risk (business risk, etc., or systematic risk-beta) 39 FE UNS 2010
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Changes in the Slope of the SML 1.13
RPi = E(Ri) - NRFR Notasi: RPi = risiko premium bagi aset i E(Ri) = return harapan bg aset i NRFR= nominal return on a risk-free asset 40 FE UNS 2010
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Market Portfolio Risk
1.14
• Risiko premium pasar bg portofolio pasar (terdiri dari semua aset berisiko dlm pasar) dpt dihitung: RPm = E(Rm)- NRFR Notasi: RPm = risk premium pada portofolio pasar E(Rm) = expected return pada portofolio pasar NRFR = nominal return on a risk-free asset
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Change in Market Risk Premium Exhibit 1.10 Expected E(R) Return
New SML
Rm' Rm´
Original SML
Rm Rm NRFR RFR
Risk 42 FE UNS 2010
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Capital Market Conditions, Expected Inflation, and the SML Exhibit 1.11
Rate Expected of Return Return New SML Original SML RFR' NRFR´ NRFR RFR
Risk 43 FE UNS 2010
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The Internet Investments Online www.financecenter.com www.investorama.com www.moneyadvisor.com www.investorguide.com www.finweb.com www.aaii.org www.wsj.com www.cob.ohio-state.edu/dept/fin/osudata.htm
www.ft.com www.fortune.com www.money.com www.forbes.com www.worth.com www.barrons.com
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Future Topics Chapter 2 • • • •
The asset allocation decision The individual investor life cycle Risk tolerance Portfolio management
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