Investors view of risk

Risk Averse
Risk Neutral
Risk Seeking

 Hukum dasar dalam Investasi :

Semakin tinggi tingkat keuntungan investasi,

maka risikonya semakin tinggi

Kondisi Yang Tidak Pasti (Probabilistik)

Keputusan Investasi

Keputusan Investasi
(Investement Decision)

Keputusan Pendanaan
(Financing Decision)

Keputusan Dividen
(Dividen Policy)

MENGUKUR RISIKO & RETURN

UKURAN RISIKO :
DEVIASI STANDAR
UKURAN RETURN :
EXPECTED RETURN

Dominance Principle
Expected Return
4
2

3
1
Risk

2 dominates 1; has a higher return

2 dominates 3; has a lower risk
4 dominates 3; has a higher return

Risk and Rates of Return

Expected Return Calculation
Example
You are evaluating ASIIs common stock. You estimate the following
returns given different states of the economy
State of Economy

Probability

Return

Economic Downturn
Zero Growth
Moderate Growth
High Growth

.10
.20
.40
.30

5%
5%
10%
20%

Expected Return Calculation

E(r) = ?

State of Economy
Economic Downturn
Zero Growth
Moderate Growth
High Growth

Probability
x
.10
x
.20
x
.40
x
.30

Return
5%
5%
10%
20%

Expected Return Calculation

Example
You are evaluating ASIIs common stock. You estimate the following
returns given different states of the economy
State of Economy
Economic Downturn
Zero Growth
Moderate Growth
High Growth

Probability
x
.10
x
.20
x
.40
x
.30

Return

= 0.5%
=
1%
=
4%
=
6%
E(r) =10.5%

5%
5%
10%
20%

Expected (or average) rate

of return on stock is 10.5%

Measuring Risk
Risk () = ?

Example
Compute the standard deviation on ASII common stock.
the mean E (r) was previously computed as 10.5%
State of Economy

Probability

Return

Economic Downturn
Zero Growth
Moderate Growth
High Growth

.10
.20
.40
.30

5%
5%
10%
20%

Risk and Rates of Return

Measuring Risk
Standard Deviation (s) measure the
dispersion of returns.
State of Economy

Probability
x
.10
x
.20
x
.40
x
.30

Return
( 5% 10.5%)2
Economic Downturn
( 5% 10.5%)2
Zero Growth
( 10% 10.5%)2
Moderate Growth
( 20% 10.5%)2
High Growth
s2 =
s =
Higher standard deviation, higher risk
s =

=
=
=
=

24.025%
6.05%
0.10%
27.075%
57.25%
57.25%
7.57%

Relative Dispersion
Coefficient of Variation

CV = s / E (r)

CV expresses how much dispersion

exists relative to the mean of a
distribution and allows for direct
comparison of dispersion across
different data sets.

Coefficient of Variation
CV = ?
Investment A has an E (r ) of 7% and a s of .05
Investment B has an E (r ) of 12% and a s of .07
Which is riskier?
As CV is .05/.07 = .714
Bs CV is .07/.12 = .583
A has .714 units of risk for each unit of return while B
has .583 units of risk for each unit of return. A is riskier,
it has more risk per unit of return.

Risiko Sistematis dan Tidak Sistematis

Unsystematic Risk (Risiko Tidak Sistematis)
Risiko yang dapat dihilangkan melalui diversifikasi
Misal : pemogokkan buruh, perubahan manajemen,
inovasi, kebakaran, dan sebagainya
Systematic Risk (Risiko Sistematis)
Risiko yang tidak dapat dihilangkan melalui diversifikasi
Misal : peraturan pemerintah, kenaikkan pajak, resesi,
evaluasi, dan sebagainya

 Total Risiko = Risiko tidak sistematis + Risiko sistematis

Risiko Portofolio
Risiko Total
Risiko tidak sistematis

Risiko sistematis

Jumlah Saham dalam Portofolio

Hubungan Risiko dan Keuntungan

Menurut CAPM
CAPM (Capital Asset Pricing Model)

Teori Ini mendefinisikan hubungan antara

risiko dengan tingkat keuntungan aktiva
pada kondisi equilibrium

CAPM
ki = krf + (km krf) . bi
(untuk saham individu)
kp = krf + (km krf) . bp
(untuk saham portofolio)
Bermanfaat untuk mengevaluasi rencana
keuntungan dengan membandingkan expected
rate of return (keuntungan yang diharapkan)
dengan required rate of return (keuntungan yang
disyaratkan)

Contoh Soal
- Jika diketahui expected rate of return (keuntungan
yang diharapkan) sebesar 22 %.
- Saham ini memiliki beta 1,5; dan
- Tingkat keuntungan portofolio pasar (IHSG) 20% serta
- Tingkat keuntungan bebas risiko 10%.

Untuk mengambil keputusan membeli saham atau

tidak, maka harus menghitung tingkat keuntungan yang
diisyaratkan.
Berapa tingkat keuntungan yang disyaratkan?
Catatan: Apabila tingkat keuntungan yang disyaratkan
(required rate of return) lebih besar dari tingkat
keuntungan yang diharapkan (expected rate of return),
maka saham tersebut sebaiknya ditolak.

Jawaban
Tingkat Keuntungan yang disyaratkan:
Ki = krf + (km krf) . Bi
= 10% + (20% - 10%) . 1,5
= 25%
Keuntungan yang disyaratkan (required
rate of return) 25% lebih besar dari
keuntungan yang diharapkan (expected
rate of return) 22%, maka saham tersebut
ditolak untuk dibeli

WANT TO MINIMIZE RISK?

Dont put your eggs in

one basket
OR

Put your eggs in one basket

and WATCH IT!

Pemilihan Alternatif
Investasi
Derivatives

Expected
Return

Properti/real
asset
Mutual Fund

Saham Preferen
Tabungan

Opsi
Saham Biasa

Deposito
Saham Konvertibel

Risk
Free Rate

Obligasi
Obligasi Corporasi
Pemerintah

Risk

TERIMA KASIH