Consider the following information:

State Probability ABC, Inc. (%)

Boom 0.25 15
Normal 0.5 8
Slowdown 0.15 4
Recession 0.1 -3
What is the expected return?
What is the variance?
What is the standard deviation?

Prob ABC Inc (1 x 2)

(1) (2) (3)
0.25 15% 0.0375
0.5 8% 0.04
0.15 4% 0.006
0.1 -3% -0.003

Exp Return = 8.05%

PORTFOLIO
Porttfolio hanya terdiri dari Stock L dan Stock S
Portfolio Weight
Stock L 50%
Stock S 50%
Rate of return if state occurs
State of the ec. Probability Stock L
Recession 0.5 -20%
 Boom 0.5 70%

Menghitung Expected Return of Portfolio

(1) (2) (3)

State of the ec. Probability Portfolio return
Recession 0.5 0.5 x - 20% + 0.5 x 30% = 5%
Boom 0.5 0.5 x 70% + 0.5 x 10% = 40%

Menghitung Variance of Portfolio

(1) (2) (3)

State of the ec. Probability Portf Return
Recession 0.5 5%
Boom 0.5 40%

(1) (2) (3) (4)

State of the e Probability Portf Return Tot P Ret
Recession 0.5 5% 2.5%
Boom 0.5 40% 20.0%

E(Rp) = 22.5%
Diketahui:
Portfolio terdiri dari stock A, stock B dan Stock C
Portfolio Weight
Stock A 50%
Stock B 25%
Stock C 25%
Rate of return if state occurs
State of the ec. Probability Stock A
Boom 0.4 10%
Bust 0.6 8%

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of return if state occurs

State of the ec. Probability Stock A
Boom 0.4 10%
Bust 0.6 8%

E(Rp) = 0.4 x 13.75% + 0.6 x 5% =

s2p = 0.4 x (13.75% - 8.50%)2 + 0.6 x (5% - 8.50%)2 =

sp = 0.042866 =
Diketahui:
Portfolio terdiri dari stock X, stock Y dan Stock Z
Portfolio Weight
Stock X 50%
Stock Y 25%
Stock Z 25%
Rate of return if state occurs
State of the ec. Probability Stock X
Boom 0.2 10%
Normal 0.6 8%
Recession 0.2 2%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of return if state occurs

State of the ec. Probability Stock X
Boom 0.2 10%
Normal 0.6 8%
Recession 0.2 3%

E(Rp) = 0.2 x 13.75% + 0.6 x 5.75% + 0.2 x 2.25% =

s2p = 0.2 x (13.75% - 6.65%)2 + 0.6 x (5.75% - 6.65%)2 + 0.2 x

sp = 0.038000 =
 (2 x Exp Ret) 4kwadrat (1 x 5)
(4) (5) (6)
7.0% 0.0048303 0.0012076
0.0% 0.0000002 0.0000001
-4.1% 0.0016403 0.0002460
-11.1% 0.0122103 0.0012210

s2 = 0.2675%

s = 5.17%

e of return if state occurs

Stock S
30%
 10%

(3) (4)
Portfolio return (2x3)
x - 20% + 0.5 x 30% = 5% 0.025
x 70% + 0.5 x 10% = 40% 0.2

E(Rp) = 22.50%

(4) (5) (6)

Deviasi dr port. ret. 4 kwadrat (2 x 5)
-17.50% 0.030625 0.0153125
17.50% 0.030625 0.0153125

s2p = 0.030625

sp = 17.5%

(5) (6) (7)

Deviasi dr port. ret. 5 kwadrat (2 x 5)
-17.50% 0.030625 0.0153125
17.50% 0.030625 0.0153125

s2p = 0.030625

sp = 17.5%
Stock C

Rate of return if state occurs

Stock B Stock C
15% 20%
4% 0%

Rate of return if state occurs

Stock B Stock C Portfolio
15% 20% 13.75%
4% 0% 5.00%

8.50%

2
+ 0.6 x (5% - 8.50%)2 = 0.0018375

4.3%
 Rate of return if state occurs
Stock Y Stock Z
15% 20%
4% 3%
0% -5%

Rate of return if state occurs

Stock Y Stock Z Portfolio
15% 20% 13.75%
4% 3% 5.75%
2% 1% 2.25%

.75% + 0.2 x 2.25% = 6.65%

2
+ 0.6 x (5.75% - 6.65%)2 + 0.2 x ( 2.25% - 6.65%)2 = 0.001444

3.8%
Cara 1
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if state occurs
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

Menghitung Expected Return of Portfolio

(1) (2) (3)

State of the ec. Probability Portfolio return
Recession 0.5 0.4 x - 20% + 0.6 x 30% = 10%
Boom 0.5 0.4 x 70% + 0.6 x 10% = 34%

Menghitung Variance of Portfolio

(1) (2) (3)

State of the ec. Probability Portf Return
Recession 0.5 10%
Boom 0.5 34%
Cara 2
Diketahui:
Porttfolio hanya terdiri dar Stock X dan Stock Y
Portfolio Weight
Stock X 40%
Stock Y 60%
Rate of return if state occurs
State of the ec. Probability Stock X
Recession 0.5 -20%
Boom 0.5 70%

Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of return if state occurs

State of the ec. Probability Stock X
Boom 0.5 -20%
Bust 0.5 70%

E(Rp) = 0.5 x 10% + 0.5 x 34% =

s2p = 0.5 x (10% - 22%)2 + 0.5 x (34% - 22%)2 =

sp = 0.12 =
of return if state occurs
Stock Y
30%
10%

(3) (4)
Portfolio return (2x3)
- 20% + 0.6 x 30% = 10% 0.05
70% + 0.6 x 10% = 34% 0.17

E(Rp) = 22.00%

(4) (5) (6)

Deviasi dr port. ret. 4 kwadrat (2 x 5)
-12.00% 0.0144 0.0072
12.00% 0.0144 0.0072

s2p = 0.0144

sp = 12.0%
of return if state occurs
Stock Y
30%
10%

Rate of return if state occurs

Stock Y Portfolio return
30% 10.00%
10% 34.00%

22.00%

+ 0.5 x (34% - 22%)2 = 0.0144

12.0%
Q&P-7
Based on the following information, calculate the expected return
and standard deviation for the two stocks:
Rate of return if state occurs
State of the ec. Probability Stock A Stock B
Recession 0.2 0.06 -0.20
Normal 0.6 0.07 0.13
Boom 0.2 0.11 0.33

Jawab:
(1) (2) (3)
Probability Stock A (1 x 2)
0.2 0.06 0.012
0.6 0.07 0.042
0.2 0.11 0.022

Exp RA = 0.076

(1) (2) (3)

Probability Stock B (1 x 2)
0.2 -0.20 -0.04
0.6 0.13 0.078
0.2 0.33 0.066

Exp RB = 0.104

Q&P-8

A Portfolio is invested 20% in Stock G, 60% in Stock J and 20% in Stock K

The expected return on these stocks are 8%, 15% and 22% respectively
What is portfolio expected return ? How do you interpret your answer?
 Weight Exp Return
Stock G 20% 8%
Stock J 60% 15%
Stock K 20% 22%
What is the expected return?

Exp Rp = WG xRG + WJ RJ + WK RK

Exp Rp = 20% x 8% + 60% x 15% + 20% x 22%

Exp Rp = 15.00%

Q & P - 11
You own a stock portfolio invested 25% in stock Q, 20% in stock R, 25% in stock S
and 30% in stock T
The betas for these stocks are 0.6, 1.70, 1.15 and 1.12, respectively.
What is portfolio beta?

Weight Beta
Stock Q 25% 0.6
Stock R 20% 1.7
Stock S 25% 1.15
Stock T 30% 1.12

bp = 25% x 0.6 + 20% x 1.7 + 25% x 1.15 + 30% x 1.12

bp = 1.1135

Q & P - 13
A stock has a beta of 1.3, the expected return on the market is 14%, and
the risk free rate is 6%. What must the expected return on this stock be?
 R = 6% + 1.3 ( 14% - 6% )

R = 16.40%

Q & P - 14
A stock has an expected return of 14%, the risk free rate is 5%, and
the market risk premium 7%. What must the beta of this stock be?

14% = 5% + b ( 12% - 5% )

b = ( 14% - 5% ) / 7% = 1.29

Q & P - 26
Consider the following information on Stock I dan II

Rate of return if state occurs

State of the ec. Probability Stock I Stock II
Recession 0.2 0.09 -0.30
Normal 0.6 0.42 0.12
Irrational exuberance 0.2 0.26 0.44

The market risk premium is 10%, and th risk free rate is 4%.
Which stock has the most systematic risk? Which one has the most unsystematic risk?
Which stock is "riskier" ? Explain.

RI = 4% + bI ( 14% - 4% ) =

bI = 28% / 10% = 2.82

RII = 4% + bII ( 14% - 4% ) =

bII = 6% / 10% = 0.60
 (4) (5) (6)
Dev fr Exp R 4 kwadrat (1 x 5)
-0.02 0.000256 0.0000512
-0.01 0.000036 0.0000216
0.03 0.001156 0.0002312

s2 = 0.0003040

s = 1.74%

(4) (5) (6)

Dev fr Exp R 4 kwadrat (1 x 5)
-0.28 0.076176 0.0152352
0.05 0.002916 0.0017496
0.25 0.064516 0.0129032

s2 = 0.0298880

s = 17.3%
5% in stock S
unsystematic risk?

32%

10%
1. Anda dihadapkan pada dua alternative investasi yang berisiko, yaitu saham perusahan A dan saham peru
dengan informasi sebagai berikut:

Keadaan Ekonomi Probabilitas Pendapatan A Pendapatan B

Resesi 0,20 0,06 -0,20
Normal 0,60 0,07 0,13
Baik 0,20 0,11 0,33

Jika Anda melakukan investasi pada kedua saham tersebut dengan proporsi 40% pada saham A dan sisanya
saham B, berapa pendapatan yang diharapkan dan risiko (SD) portofolio tersebut?

Investasi:
Saham A 40%
Saham B 60%

Rate of return if state occurs

State of the ec. Prob. Stock A Stock B
Resesi 0.2 6% -20%
Normal 0.6 7% 13%
Baik 0.2 11% 33%
Diminta:
1) Hitung return portfolio
2) Hitung Standard deviasi portfolio

Rate of return if state occurs

State of the ec. Probability Stock A Stock B
Boom 0.2 6% -20%
Normal 0.6 7% 13%
Recession 0.2 11% 33%

E(Rp) = 0.2 x -9.60% + 0.6 x 10.60% + 0.2 x 24.20% =

s2 p = 0.2 x (-9.60% - 9.28%)2 + 0.6 x (10.60% - 9.28%)2 + 0.2 x ( 24.20% - 9.28

sp = 0.108101 = 10.8%
ham perusahan A dan saham perusahaan B

si 40% pada saham A dan sisanya pada

ersebut?

rn if state occurs

rn if state occurs
Portfolio
-9.60%
10.60%
24.20%

9.28%

% - 9.28%)2 + 0.2 x ( 24.20% - 9.28%)2 = 0.01168576

1. Bapak Ali memiliki investasi dalam portofolio yang terdiri dari:

Saham Jumlah Investasi Expected Return Beta

PT Astra Rp 400 juta 8% 0,80
PT Bosoa Rp 200 juta 12% 0.95
PT Tjiwi Kimia Rp 300 juta 15% 1,10
PT Danamon Rp 400 juta 18% 1,40

a. Berapa pendapatan yang diharapkan dan beta dari portofolio?

b. Apakah beta dari portofolio ini lebih tinggi dari beta rata-rata sekuriti?

Saham Weight Expected Return Beta

Astra 31% 8% 0.8
Bosoa 15% 12% 0.95
Ciwi 23% 15% 1.1
Danamon 31% 18% 1.4

100% 1.0625
 WR WB
2.46% 0.246
1.85% 0.146
3.46% 0.254
5.54% 0.431

13% 1.077
(lebih tinggi)