Mankeu, Keown, Bab 8

8/9/2019 Mankeu, Keown, Bab 8

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Risk

and

Re

turnCAPITALMARKETTHEORY


2/51

Oleh :

Habib Kusuma (12)

Marisa Hanifah (19)

Putri Zuhria (26)

Richo Mukti Ardiyanto (28)


3/51

Portfoio R!turns and Portfoio

Risk

"n this cha#t!r$ %! can o%!r th! risk of our#ortfoio %ithout o%!rin& th! #ortfoio's !#!ct!d

rat! of r!turn %ith a##ro#riat! di!rsi*cation+


4/51

,acuatin& th! -#!ct!d R!turn of a Portfoio

.h! !#!ct!d rat! of r!turn for a #ortfoio ofin!stm!nts is sim#y a weighted average o the

e!"e#ted rates o return of the individualin!stm!nts in that #ortfoio+


5/51

E!"e#ted Portolio Returns $

(/raction of Portfoio "n!st!d in Ass!t 1 -#!ct!dRat! of R!turn on Ass!t 1) 0 (/raction of Portfoio"n!st!d in Ass!t 2 -#!ct!d Rat! of R!turn onAss!t 2) 0

(/raction of Portfoio "n!st!d in Ass!t n -#!ct!dRat! of R!turn on Ass!t n)


6/51

Portfoio -#!ct!d Rat! of R!turn

E%r"ortolio& 341 -(r1)5 0 342 -(r2)5 0

34 -(r)5 0 + 34n -(rn)5

-(r#ortfoio) th! !#!ct!d rat! of r!turn on a

#ortfoio of n ass!ts+

4i th! #ortfoio %!i&ht for ass!t i+-(ri) th! !#!ct!d rat! of r!turn

!arn!d by ass!t i+


7/51

-am#!

"f %! in!st in t%o &rou# in 7 7$ &rou# on! hasa !#!ct!d r!turn 12: and &rou# t%o has a

!#!ct!d r!turn 8:+ ;o$

-(r#ortfoio) 341 -(r1)5 0 342 -(r2)5

($7 12 :) 0 ($7 8 :)

1 :


8/51

-auatin& Portfoio Risk

Portolio 'iversi(#ation

,ombinin& in!stm!nts in a #ortfoio !ads to riskr!duction+

.his !

E)e#t : th! standar d!iation of a #ortfoio's r!turn

is ty#icay less than th! a!ra&! of standardd!iations of th! r!turns of !ach of th! #ortfoio'sindiidua in!stm!nts+


9/51

-am#!

;ho# s! t%o #roducts$ sun&ass!s and umbr!a+;un&ass!s has 2: rat! of r!turn in sunny

s!ason and : in rainy+ =mbr!a has 2: rat! ofr!turn in rainy and : in sunny+

"f

A+ ;unny s!ason as on& as rainy s!ason so!#!ct!d rat! of r!turn is 1:+ >ot : if ?ust in!st

in on! #roduct+

@+ Product is sun&ass!s and sunscr!!n$ it has nob!n!*t b!caus! of #!rf!ct corr!at!d (?ust in on!s!ason)


10/51

And to !nsur! that #rob!m$ that not !!ry sin&!in!stm!nt is corr!at!d$ than %! us! #orrelation

#oe*#ient+ .h! di!rsi*cation b!n!*ts %i b! &r!at!r %h!n

th! corr!ations ar! o% or n!&ati!+


11/51

Correlation ,etween invest-entreturns

'iversi(#ation ,ene(ts

01 >on!+ >o risk has b!!n !iminat!d

b!caus! th!r! is no r!ai!d by

combinin& th! in!stm!nt sinc! th!y

mo! to&!th!r #!rf!cty+

.h!r! is substansia au! to

di!rsi*cation

B1 Ci!rsi*cation is !tr!m!y !

in #ortfoio risk+ "n fact$ it is #ossib!

to s!!ct th! #ortfoio %!i&ht for t%o

in!stm!nt %hos! r!turns ar!

#!rf!cty n!&ati!y corr!at!d$ such

that a ariabiity is !iminat!d from

th! #ortfoio r!turn and standard

d!iation is !ro


12/51

Ci!rsi*cation D!ssons

Portfoio can b! !ss risky than th! a!ra&! risk ofits indiidua in!stm!nt+

.o r!duc! that$ is to combin! in!stm!nts that donot mo! to&!th!r ( has a n!&ati! corr!ation )


13/51

,h!ck#oint 8+1

P!nny ;im#son has a door#ri!+ And h! %ant toin!st no mor! than 27: in th! stock of -MR$ so

h! consid!rin& in!stin& th! r!mainin& E7: in acombination of a riskBfr!! in!stm!nts in =+;+

H! !#!ct!d to !arn 8: on th! -m!rson shar!sand 12: from th! ;tarbucks shar!s$ and F: fromtr!asury bis+

;o h! d!cid!s to #ut 27: in -m!rson$ 27: in;tarbucks$ 7: in .r!asury bis+

;o %hat rat! of r!turn shoud h! !#!ctG


14/51

;.-P 1 Pictur! th! #rob!m

,at!&ory 1:

2:

F:

6:

8:

1:

12:

1F:

.r!asury bis

-MR

;tarbucks


15/51

;t!# 2 C!cid! on a soution strat!&y

;t!# ;o!

E%r"ortolio& $ (12 +F ) 0 ( I +8 ) 0 ( I +12 )

+E or E:

;t!# F Anay!

;o$ th! !#!ct!d r!turn is E:+

E %Return& .eight Produ#t

=+;tr!asurybis

F+: +7: 2+:

-MR 8+: +27: 2+:

;@=J 12+: +27: +:

E+:


16/51

,acuatin& th! ;tandar

C!iation of Portfoio's R!turn

.h! standard d!iation in #ortfoio r!turn

.h! #ro#ortion of #ortfoio that is in!st!d in ass!t i

.h! standard d!iation of rat! of r!turn !arn!d by ass!t i

.h! corr!ation co!Lci!nt b!t%!!n th! rat!s ofr!turn !arn!d by ass!t " and ?


17/51

-am#!

Patty r!c!i!d 2+$ in!st N in ,oca ,oa and Nin A##!+ ;tandard d!iation is $2+ and th!

corr!ation co!Lci!nt is $E7+

;o$

$18E

"f th! corr!ation is #!rf!ct #ositi!$ th! costandardd!iation is aik! %!i&ht!d a!ra&! of !achin!stm!nts+


18/51

;yst!matic Risk and Mark!t

Portfoio

"t %oud b! an on!rous task to cacuat! th!corr!ations %h!n %! ha! thousands of #ossib!

in!stm!nts+

,a#ita Ass!t Pricin& Mod! or th! ,APM #roid!sa r!ati!y sim#! m!asur! of risk+


19/51


Portfoio (cont+)

,APM assum!s that in!stors chos! to hod th!o#timay di!rsi*!d #ortfoio that incud!s a

risky in!stm!nts+ .his o#timay di!rsi*!d#ortfoio that incud!s a of th! !conomy's ass!tsis r!f!rr!d to as th! -arket "ortolio+


20/51


Portfoio (cont+)

Accordin& to th! ,APM$ th! r!!ant risk of anin!stm!nt r!at!s to ho% th! in!stm!nt

contribut!s to th! risk of this mark!t #ortfoio+


21/51


Portfoio (cont+)

.o und!rstand ho% an in!stm!nt contribut!s toth! risk of th! #ortfoio$ %! cat!&ori! th! risks of

th! indiidua in!stm!nts into t%o cat!&ori!s ;yst!matic risk$ and

=nsyst!matic risk


22/51


Portfoio (cont+)

.h! s/ste-ati# risk com#on!nt m!asur!s th!contribution of th! in!stm!nt to th! risk of th!

mark!t+ /or !am#! 4ar$ hik! in cor#orat! tarat!+

.h! uns/ste-ati# risk is th! !!m!nt of riskthat do!s not contribut! to th! risk of th!

mark!t+ .his com#on!nt is di!rsi*!d a%ay%h!n th! in!stm!nt is combin!d %ith oth!rin!stm!nts+ /or !am#! Product r!ca$ aborstrik!$ chan&! of mana&!m!nt+


23/51


Portfoio (cont+)

An in!stm!nt's syst!matic risk is far mor! im#ortant than itsunsyst!matic risk+

"f th! risk of an in!stm!nt com!s mainy from unsyst!matic risk$th! in!stm!nt %i t!nd to ha! a o% corr!ation %ith th! r!turns ofmost of th! oth!r stocks in th! #ortfoio$ and %i mak! a minorcontribution to th! #ortfoio's o!ra risk+


24/51


25/51

Ci!rsi*cation and

=nsyst!matic Risk

/i&ur! 8B2 iustrat!s that as th! numb!r ofs!curiti!s in a #ortfoio incr!as!s$ th! contribution

of th! unsyst!matic or di!rsi*ab! risk to th!standard d!iation of th! #ortfoio d!cin!s+


26/51

Ci!rsi*cation and

;yst!matic Risk

/i&ur! 8B2 iustrat!s that syst!matic or nonBdi!rsi*ab! risk is not r!duc!d !!n as %!

incr!as! th! numb!r of stocks in th! #ortfoio+

;yst!matic sourc!s of risk (such as inOation$ %ar$int!r!st rat!s) ar! common to most in!stm!ntsr!sutin& in a #!rf!ct #ositi! corr!ation and no

di!rsi*cation b!n!*t+


27/51

Ci!rsi*cation and Risk

/i&ur! 8B2 iustrat!s that ar&! #ortfoios %i notb! a

inOu!nc!d by syst!matic risk factors+


28/51

;yst!matic Risk and @!ta

;yst!matic risk is m!asur!d by ,eta #oe*#ient0%hich !stimat!s th! !t!nt to %hich a #articuar

in!stm!nt's r!turns ary %ith th! r!turns on th!mark!t #ortfoio+

"n #ractic!$ it is !stimat!d as th! so#! of astrai&ht in! (s!! *&ur! 8B)


29/51

Figure 8.3 cont.


30/51

Figure 8.3 cont.


31/51

@!ta

@!ta coud b! !stimat!d usin& !c! or *nanciacacuator$ or r!adiy obtain!d from arious

sourc!s on th! int!rn!t (such as ahoo /inanc!and Mon!y ,!ntra+com)


32/51


33/51

@!ta (cont+)

.ab! 8B1 iustrat!s th! %id! ariation in @!tas forarious com#ani!s+ =tiiti!s com#ani!s can b!

consid!r!d !ss risky b!caus! of th!ir o%!r b!tas+

/or !am#!$ a 1: dro# in mark!t coud !ad to a +EF: dro# in A-P but much ar&!r 2+9: dro# inAAPD+


34/51

,acuatin& Portfoio @!ta

.h! #ortfoio b!ta m!asur!s th! syst!matic risk ofth! #ortfoio and is cacuat!d by takin& a sim#!

%!i&ht!d a!ra&! of th! b!tas for th! indiiduain!stm!nts contain!d in th! #ortfoio+


35/51


(cont+)


36/51


(cont+)

-am#! 8+2 ,onsid!r a #ortfoio that is com#ris!dof four in!stm!nts %ith b!tas !Qua to 1+7$ +E7$

1+8 and +6+ "f you in!st !Qua amount in !achin!stm!nt$ %hat %i b! th! b!ta for th!#ortfoioG


37/51


(cont+)

Portfoio @!ta

+27(1+7) 0 +27(+E7) 0 +27(1+8) 0 +27 (+6)

1+12


38/51

8++ .h! ;!curity Mark!t Din!

and th! ,APM

.h! k!y insi&hts of th! ,APM ar! that in!stm!nts%ith th! sam! b!ta ha! th! sam! !#!ct!d rat!

of r!turn and that in!stors %i r!Quir! a hi&h!rrat! of r!turn on in!stm!nt %ith hi&h!r b!tas


39/51

/or !am#!$ !t's consid!r th! r!ation b!t%!!nth! b!ta and !#!ct!d r!turn of a #ortfoio$ 4M

!Quas 8:$ and 2: in a riskBfr!! s!curity+ .h!mark!t #ortfoio has a b!ta of 1+ and$ andassum! that th! !#!ct!d r!turn for th! mark!t#ortfoio $-(rM) is 11:+ .h! riskBfr!! s!curity has ab!ta of $ and assum! it o


40/51

C1 4M 8: $8

-(rM) 11:

rf 6:

C2 -#!ct!d rat! of r!turn

C


41/51

4! aso can cacuat! th! #ortfoio b!ta$ %hichsays that a #ortfoio b!ta shoud b! !Qua to th!

%!i&ht!d a!ra&! of th! indiidua ass!t's b!tasthat mak! u# th! #ortfoio+


42/51


43/51

.h! strai&ht in! r!ationshi# b!t%!!n th! b!tasand !#!ct!d r!turn is ca!d th! s!curity mark!t

in!$ and its so#! is oft!n r!f!rr!d to as th!r!%ardBtoBrisk ratio+

4! can m!asur! th! so#! of th! s!curity mark!tin!+


44/51

=sin& th! ,APM to -stimat!

-#!ct!d Rat!s of R!turn

.h! ,APM #roid!s a th!ory of ho% risk and!#!ct!d r!turn ar! conn!ct!d or trad!d o< in th!

ca#ita mark!t+ /or !am#! b!ta for oo&! is $E7+ "f th! riskB

fr!! rat! of int!r!st in !conomy is curr!nty about6:$ and if th! mark!t risk #r!mium$ %hich is th!di


45/51


46/51


47/51

Pot th! s!curity mark!t in! and th! indiiduastocks

+7 +6 +E +8 +9 1 1+1 1+2 1+ 1+F

2

F

6

8

1

12

1F

16

1211

17

9

1F

stock

Din!ar (stock)

,eta

return e!"


48/51

A V%inn!rV may b! d!*n!d as a stock that fasabo! th! s!curity mark!t in!$ %hich m!ans

th!s! stocks ar! !#!ct!d to !arn a r!turn!c!!din& %hat shoud b! !#!ct!d &i!n th!irb!ta or syst!matic risk+ "n th! abo! &ra#h$ th!s!stocks incud! 2$ $ and 7+ VDos!rsV %oud b!thos! stocks fain& b!o% th! s!curity mark!tin!$ %hich ar! r!#r!s!nt!d by stocks 1 and F !!r

so si&hty+ Wur r!suts ar! !ss than c!rtain b!caus! %! ha!

#rob!ms !stimatin& th! s!curity mark!t in! %ithc!rtainty+ /or instanc!$ %! ha! diLcuty ins#!cifyin& th! mark!t #ortfoio


49/51

3412+#a"ital asset "ri#ing

-odel

RiskB/r!!$Rat! 0 -#!ct!d Mark!t B RiskB/r!!$R!turn Rat! @!ta

R!Quir!d$Rat! of$R!turn A +E7: 0 (1: B +E7:) 1+F

12+7:

@ +E7: 0 (1: B +E7:) +E7 8+FF:

, +E7: 0 (1: B +E7:) +8

8+E7:

C +E7: 0 (1: B +E7:) 1+2 11+27:


50/51

3413 +#a"ital asset "ri#ing-odel

R!Quir!d$Rat! of$R!turn RiskB/r!!$Rat! 0(Mark!t R!turn B RiskB/r!! Rat!) J @!ta

+7: 0 (1+7: B +7:) +E67

8+877:


51/51

3417+ +#a"ital asset "ri#ing-odel

"f th! !#!ct!d mark!t r!turn is 1+ #!rc!nt andth! risk #r!mium is 7+ #!rc!nt$ th! risk!ss rat!

of r!turn is 7 #!rc!nt (1+: B 7+:)+ .h!r!for!X

.asaco 7: 0 (1+: B 7:) +86F 9+78:

D@M 7: 0 (1+: B 7:) +69 11+F8:

-os 7: 0 (1+: B 7:) +7E7 8+7:

Mankeu, Keown, Bab 8

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