VALUE AT RISK ANALYSIS IN MUTUAL FUND COMPANY (STUDY CASE: SECURITY COMPANY X) FINAL PROJECT
By:
Astri Ayuningtias
ID No: 19004025
Undergraduate Program School of Business and Management Institut Teknologi Bandung 2007
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VALIDATION PAGE
VALUE AT RISK ANALYSIS IN MUTUAL FUND COMPANY (STUDY CASE: SECURITY COMPANY X)
By:
Astri Ayuningtias
ID No: 19004025
Undergraduate Program School of Business and Management Institut Teknologi Bandung
Validated By:
Dr. Ir. Sudarso Kaderi Wiryono
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PROPSAL ANALISA VALUE AT RISK PADA PERUSAHAAN REKSADANA Studi Kasus pada Perusahaan Reksadana X Astri Ayuningtias 19004025 Tanggal ujian akhir : 7 Agustus 2007 Tanggal wisuda : 27 Oktober 2007 Program Sarjana, Institut Teknologi Bandung, 2007 Pembimbing : Dr. Ir. Sudarso Kaderi Wiryono
ABSTRACT Today, rate of investment movement in Indonesia have reached the highest level. Many foreign investors invest their capital in capital market, it affect positive impact for economic Indonesia. This research used to measure the risky rate in Security Company X to construct the portfolio in order to get the optimum return with low risk and stable performance in one year period. This research focused to one product, which is mutual fund of stock. One of the tools to measure risk is value at risk (VaR). Value at risk is used to know the maximize risk that occurred in one term period of investment within 95% level of confidence. In generally the value at risk calculation need historical data of each selected stock. Another data needed is the return, crombach Z-alpha and standard deviation of each stock that assumed to distribute in normal distribution. Basically, value at risk assumed that all the data are distribute in normal distribution. But in the real, several financial data do not distributed normally. To get accuracy risky rate, required skewness and kurtosis as the substitute of standard deviation in value at risk equation Security Company X has thirteen composition stocks that construct the portfolio in one year, starting in January 2006 until 30 April 2007. The study is gain that one in the selected stock, which is KLBF has normal distribution. In the other side, twelve others stock are not normally distributed. The outcome is value at risk for every selected stock. The lowest value at risk is owned by KLBF and the highest value at risk owned by TINS. The new composition to construct new portfolio based on the risk are KLBF, TLKM, ASII, BBCA dan BBRI. Keywords: expected return, variance, standard deviation, NAV, Value at Risk (VaR), normal distribution, level of confidence.
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PROPSAL ANALISA VALUE AT RISK PADA PERUSAHAAN REKSADANA Studi Kasus pada Perusahaan Reksadana X Astri Ayuningtias 19004025 Tanggal ujian akhir : 7 Agustus 2007 Tanggal wisuda : 27 Oktober 2007 Program Sarjana, Institut Teknologi Bandung, 2007 Pembimbing : Dr. Ir. Sudarso Kaderi Wiryono
ABSTRAK Pergerakan tingkat investasi di Indonesia saat ini telah mencapai level yang cukup tinggi. Semakin banyak investor asing yang menanamkan modalnya pada pasar modal, menghasilkan dampak yang positif bagi perekonomian Indonesia pada umumnya. Penelitian ini digunakan untuk mengukur tingkat resiko pada Perusahaan Sekuritas X dalam membentuk portofolio untuk mendapatkan komposisi saham pembentuk dengan tingkat resiko yang rendah dan kecendrungan performa yang stabil dalam periode satu tahun. Penelitian ini memfokuskan dalam cakupan bahasan satu jenis produk, yaitu reksa dana saham. Salah satu alat yang digunakan untuk mengukur tingkat resiko adalah value at risk. Value at risk digunakan untuk menghitung resiko terbesar yang akan timbul pada periode investasi yang ditentukan dengan tinkat kepercayaan sebesar 95%. Pada umumnya, perhitungan value at risk membutuhkan data- data seperti tingkat pengembalian yang diperoleh dari harga saham historik, standard deviation, dan crombach Z-alpha pada normal distribusi. Pada dasarnya, VaR mengasumsikan bahwa semua data telah terdistribusi secara normal. Namun pada kenyataannya data- data tersebut membentuk distribusi yang tidak normal. Untuk mendapatkan tingkat resiko yang akurat, maka dibutuhkan skewness dan kurtosis sebagai pengganti standard deviasi dalam perhitungan value at risk. Perusahaan Sekuritas X memiliki tiga belas komposisi saham pembentuk portofolio selama satu tahun, dimulai dari Januari 2006 sampai 30 April 2007. Dari perhitungan value at risk, diperoleh hasil bahwa 1 dari ketigabelas saham dalam portofolio perusahaan sekuritas X yaitu KLBF memiliki distribusi normal, sedangkan ke dua belas saham lainnya memiliki distribusi yang tidak normal. Hasil yang diperoleh adalah value at risk pada masing- masing saham. Value at Risk terkecil dimiliki oleh saham KLBF dan value at risk terbesar dimiliki oleh saham TINS. Komposisi lima saham baru pembentuk portofolio berdasarkan tingkat resiko adalah KLBF, TLKM, ASII, BBCA dan BBRI. Kata kunci: tingkat pengembalian yang diharapkan, variance, standard deviasi, NAV, Value at Risk (VaR), distribusi normal, tingkat kepercayaan.
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PREFACE Assalamualaikum wr.wb Firstly, I wish offer my sincere thanks to my Lord, Allah SWT for His guidance and always give me spirit to finish my final work. This final work is the graduation requirement for last year student in School of Business and Management. I take this topic, value at risk topic, because there were many discussion to prevent the risk in financial area. Therefore, the value at risk become one of the hot topic in manage and control the risk occurred. This final work can’t be finish without participation from many related parties, and author would like to give greatest thank for: My families; my father, my mother, my sisters: mita, ica and nabila for their unflagging support, love and understanding. The author likes to thank to Mr. Sudarso, my advisor for his encouragement and guidance, he provided help which made this final work finished. I would also thank to Mrs. Yunieta and Mrs. Danti for many consultations, their give me invaluable help, have guided me with their idea and encouraged every progress of my final work, as well as for providing me with their time and methods of value at risk to finish my final work. Thank also to Mr. Ari from securities company x for allowing me to discuss his securities firm and providing me with historical data and to Mr. Deddy who give me many good suggestion for my final work. I must also thank to all my friends, Yoan for her kindness to permit us using her house as our base camp. To Bunga for give me many help in technical problem. To Tifa, Riri, Acha, Anis, Panji (Kia), Ardhi, Ratih, Sekar, Hardi, Iin, Gagay, Indri, Gebyar, Kepeng, and SBM 04 who always give me support every day to finish my final work and always ready to provide their help for me. A final thank you has to go to SBM Administration crew, Mr. Iwan, Mr. Yayat and Mrs. Ikum who always warn me about the deadline of final work and never being tired to concern to every student, especially SBM 04. Finally, needless to say I take full responsible for the ideas and calculation within this final work. Bandung, 17 September 2007
Astri Ayuningtias
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VALUE AT RISK ANALYSIS IN MUTUAL FUND COMPANY (STUDY CASE: SECURITY COMPANY X) FINAL PROJECT
By:
Astri Ayuningtias
ID No: 19004025
Undergraduate Program School of Business and Management Institut Teknologi Bandung 2007
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