SOAL 1 SOAL 2

Loan 37,500,000 1. Jumlah kas/sekuritas yang ha

Initial investment 11,250,000 Initial margin requirement
Proceeds 48,750,000 Short position
Current share price 7,500 Jumlah kas/sekuritas yang disetor
Number of shares bought 6,500 shares
2. Maintenance Margin (short sel
1. Maintenance Margin (trading)

(6.500𝑃−37.500.000)/6.500𝑃=27,5% Liability
Equity
Total
6.500𝑃−37.500.000=1.787,5𝑃
(43.500.000−10.000𝑃)/10.000𝑃=4
4.712,5𝑃=37.500.000

𝑃=7.957,56 43.500.000−10.000𝑃=4.000𝑃
2. Rate of Return
14.000𝑃=43.500.000

𝑃=3.107,14

Principal of the loan 37,500,000

Interest of the loan 3,750,000 (10% x 37.500.000)
Principal & interest 41,250,000
Current share value 53,625,000 (6.500 lembar x 8.250)
Initial Investment 11,250,000

Rate of return
=(53.625.000−41.250.000−11.250.000)
/11.250.000
Rate of return=10%
1. Jumlah kas/sekuritas yang harus disetor
Initial margin requirement 45%
Short position 30,000,000 (harga saham x jumlah saham yang dipinjam)
Jumlah kas/sekuritas yang disetor 13,500,000 (initial margin requirement x short position)

2. Maintenance Margin (short selling)

30,000,000
13,500,000
43,500,000

.500.000−10.000𝑃)/10.000𝑃=40%

43.500.000−10.000𝑃=4.000𝑃

14.000𝑃=43.500.000

𝑃=3.107,14
SOAL 3

NAV Awal Distribusi Income

Tahun
Tahun dan Capital Gain
2015 $19.20 $0.80
2016 $19.45 $0.05
2017 $20.00 $0.20
2018 $19.75 $0.00
2019 $20.10 $0.15

a Tahun HPR Holding Period Return

2015 Notes:
2016 5.47% Sorot cell, ada
2017 3.08% penjelasannya^^
2018 -0.25%
2019 1.77%

b Arithmetic return 2.52% Arithmetic Return

Geometric return 2.50%

c Dollar weighted return

Period 0 1 2 3
Cash flow ($96.00) $62.35 $0.10 $0.40

Dollar-weighted return(IRR) 3.36%

 4
$40.20
 Nilai portfolio 12,500,000

Business Probability Value at End of

Scenario Annual Dividend (d)
Conditions (b) Year (c)
1 Recession 0.1 6,500,000 650,000
2 No Growth 0.17 9,750,000 1,150,000
3 Steady Growth 0.55 16,000,000 2,800,000
4 Optimal Growth 0.18 20,200,000 4,000,000

1 Holding Period Return setiap skenario

Recession:
6.500.000 - 12.500.000 + 650.000 = -42.80%
12,500,000

No Growth
9.750.000 - 12.500.000 + 1.150.000 = -12.80%
12,500,000

Steady Growth
16.000.000 - 12.500.000 + 2.800.000 = 50.40%
12,500,000

Optimal Growth
20.200.000 - 12.500.000 + 4.000.000 = 93.60%
12,500,000

2 Expected Holding Period Return

Business Cond. HPR Probability HPR x Probability

Recession -42.80% 0.1 -0.0428
No Growth -12.80% 0.17 -0.02176
Steady Growth 50.40% 0.55 0.2772
Optimal Growth 93.60% 0.18 0.16848
Expected HPR 38.11%

3 Standar Deviasi
Deviasi = HPR - Expected HPR

Business Cond. HPR Exp. HPR Deviasi Prob. x Deviation^2

Recession -42.80% 38.11% -0.81 0.07
No Growth -12.80% 38.11% -0.51 0.04
Steady Growth 50.40% 38.11% 0.12 0.01
Optimal Growth 93.60% 38.11% 0.55 0.06
Variance 0.17
Standar Dev 0.42
Diketahui:
Total dana PT Maju Jaya 10,000,000,000
Informasi Saham A
Expected Return 10.00%
Standard Deviation 5.00%
Informasi Saham B
Expected Return 25.00%
Standard Deviation 20.00%
Koefisien korelasi 0.70
Risk-free rate 5.6%

Jawab:
Proporsi investasi
Porsi investasi di saham A 5,000,000,000 50%
Porsi investasi di saham B 5,000,000,000 50%

Portofolio Expected return

Portfolio Return = (Wa x ERa) + (Wb x ERb)
Portfolio Return = (50% x 10%) + (50% x 25%)
Portfolio Return = 17.50%

Portfolio Risk

Portfolio Risk = √(Wa² x σa²))+(Wb² x σb²)+ (2 x Wa x Wb x pAB x σa x σb)

Portfolio Risk = √(0,5² x 0,05²))+(0,5² x 0,2²)+ (2 x 0,5 x 0,5 x 0,7 x 0,05 x 0,2)
Portfolio Risk = 10.31%
x σa x σb)
0,05 x 0,2)
Share Current Estimated Expected DividendBeta E[r] Risk free
Price Price
A 275 290 4 2.2 6.91% 6%
B 57 62 2 1.4 12.28% 6%
C 165 180 5 3 12.12% 6%
D 320 330 10 0.65 6.25% 6%

2. Saham yang dapat direkomendasikan adalah saham B dan C, Jika harus dirangkin menjadi seperti ini
Rank: 1= B, 2= C, 3=D, 4=A
risk market risk premium CAPM alpha

8% 2% 10.40% -3.49% Overprice

8% 2% 8.80% 3.48% Underprice
8% 2% 12.00% 0.12% Underprice
8% 2% 7.30% -1.05% Overprice
 Yields

Maturity (years)
Coupon
YTM
Callable in years
Call price

a.
Bond price $1,462.30

Yield to call 4.64%

b.
New call price 1,100.00

Yield to call 3.71%

c.
New call time (years) 3

Yield to call 0.93%

 20
10.0%
6.0%
7
1,200.00

=500∗1/(3%) [1−1/(1+3%)^40 ]+1000∗1/ 〖 (1+3%)

=((1000∗10%)+□(64&(1200−1462.3)/
4.70%

=((1000∗10%)+□(64&(1100−1462.3)
3.77%

0.94% =((1000∗10%)+□(64&(1200−1462.3)/3) )
]+1000∗1/ 〖 (1+3%) 〗 ^40
= $1,462.30

&(1200−1462.3)/7) )/□(64&(1200+1462.3)/2)
r= 4.70%

4&(1100−1462.3)/7) )/□(64&(1100+1462.3)/2)
= 3.77%

200−1462.3)/3) )/□(64&(1200+1462.3)/2)
= 0.94%
 Price Change

Duration 10
YTM 7.0%
YTM change 0.05%
Basis point 5

Δ𝑃/𝑃=−𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛∗Δ𝑦/(1+𝑦)
0.47%

−10∗(−0,05%)/(1+7%)=0.47% (𝑜𝑟 𝑎𝑛 𝑖𝑛𝑐𝑟𝑒𝑎𝑠𝑒 𝑜𝑓 0.742%)