Investment Analysis and
Portfolio Management
Part 1: BACKGROUND
1
Seting
Investasi
2
Alokasi Aset
3
Investasi
RETURN RISIKO PASAR MODALChapter 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 ?
Why Do Individuals Invest?
• Menyimpan uang (tidak
mengkonsumsinya) = individu
mempertukarkan (
tradeoff
) konsumsi
sekarang dg konsumsi mendatang yg
lebih besar
04
.
1
$
%
4
00
.
1
$
+
=
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
• 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
)
Measures of
Historical Rates of Return
Holding Period Return
10
.
1
$200
$220
Investment
of
Value
Beginning
Investment
of
Value
Ending
HPR
=
=
=
1.1
Measures of
Historical Rates of Return
Holding Period Yield
HPY = HPR - 1
1.10 - 1 = 0.10 = 10%
Annual Holding Period Return
– Annual HPR = HPR
1/n
notasi n = jumlh tahun investasi berrlangsung
Annual Holding Period Yield
– Annual HPY = Annual HPR - 1
Measures of
Measures of
Historical Rates of Return
Arithmetic Mean
1.4
annual
of
sum
the
HPY
:
where
HPY/
AM
∑
∑
=
=
n
Measures of
Historical Rates of Return
Geometric Mean
1.5
[
]
(
) (
)
(
n
)
n
HPR
HPR
HPR
:
follows
as
returns
period
holding
annual
the
of
product
the
:
where
1
HPR
GM
2
1
1
K
×
=
−
=
π
π
A Portfolio of Investments
• Rerata Return historis bg portofolio
investasi = rata-rata tertimbang HPYs
untuk
investasi
individual
dlm
portofolio.
Computation of Holding
Period Yield for a Portfolio
#
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
$
1,200,000
1.20 20%
0.05
0.010
B
200,000
$
20
$
4,000,000
$
21
$
4,200,000
1.05
5%
0.20
0.010
C
500,000
$
30
$
15,000,000
$
33
$
16,500,000
1.10 10%
0.75
0.075
Total
$
20,000,000
$
21,900,000
0.095
21,900,000
$
20,000,000
$
HPY =
1.095
- 1
=
0.095
=
9.5%
HPR =
=
1.095
Exhibit 1.1
Expected Rates of Return
• Risiko : ketidakpastian bhw
investasi akan menghasilkan
tingkat return harapan
• Probabilitas: kemungkinan (%)
dari suatu hasil
Expected Rates of Return
∑
=
×
=
n
i
1
i
Return)
(Possible
Return)
of
y
Probabilit
(
)
E(R
Return
Expected
)
R
(P
....
)
)(R
(P
)
)(R
[(P
1
1
+
2
2
+
+
n
n
)
)(R
P
(
1
i
i
n
i
∑
=
1.6
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
Probability Distributions
Investasi bebas risiko
0.00
0.20
0.40
0.60
0.80
1.00
-5%
0%
5%
10% 15%
Exhibit 1.2
Probability Distributions
Investas aset berisiko dg 3 return yg mungkin
0.40
0.60
0.80
1.00
Probability Distributions
Risky investment with ten possible rates of return
0.00
0.20
0.40
0.60
0.80
1.00
-40% -20% 0%
20% 40%
Exhibit 1.4
Measuring the Risk of
Expected Rates of Return
2 n 1 i
