NAMA : REDI PERDIANSYAH

NIM : 55120110139
QUIZ KE : 9

SOAL 1
Sebuah portfolio terdiri dari 3 saham dengan komposisi 20% pada saham X dan saham
Y serta 60% pada saham Z dengan keterangan sbb :
Rate of Return if State Occurs
State of Probability of
Stock x Stock y Stock z
Economy State of Economy
(20%) (20%) (60%)
Bust 0,35 -15% 10% 5%
Boom 0,65 17,5% 15% 10%

Pertanyaan :
a) Berapa nilai expected return, nilai varian dan standard deviasi dari masing2 saham
diatas ?
b) Berapa nilai expected return, nilai varian dan standard deviasi dari portfolio yang
terdiri dari 3 saham diatas ?
Jawaban :
a) Mencari nilai expected return, nilai varian dan standard deviasi dari masing2 saham
adalah sebagai berikut :
I. Stock x
Probability of Rate of Return if
State of State of State Occurs
Dev2 p(i) x Dev2
Economy Economy
Stock x
Bust 0,35 -15% 4,46% 0,0156
Boom 0,65 17,5% 1,29% 0,0084
E(Rx) 6,13%
Variance 0,0240
Standar Deviation 15,50%

II. Stock y
 Probability of Rate of Return if
State of State of State Occurs
Dev2 p(i) x Dev2
Economy Economy
Stock y
Bust 0,35 10% 0,11% 0,0004
Boom 0,65 15% 0,03% 0,0002
E(Ry) 13,25%
Variance 0,0006
Standar Deviation 2,38%

III. Stock z
Probability of Rate of Return if
State of State of State Occurs
Dev2 p(i) x Dev2
Economy Economy
Stock z
Bust 0,35 5% 0,11% 0,0004
Boom 0,65 10% 0,03% 0,0002
E(Rz) 8,25%
Variance 0,0006
Standar Deviation 2,38%

b) Mencari nilai expected return, nilai varian dan standard deviasi dari portfolio yang
terdiri dari 3 saham diatas adalah sebagai berikut :

Rate of Return if State Occurs

State of Probability of
Stock x Stock y Stock z
Economy State of Economy
(20%) (20%) (60%)
Bust 0,35 -15% 10% 5%
Boom 0,65 17,5% 15% 10%

Expected Return Bust = (wx x Rbust,x ) + (wy x Rbust,y ) + (wz x Rbust,z )

Expected Return Bust = (20% x -15%) + (20% x 10%) + (60% x 5%)

Expected Return Bust = (3%) + 2% + 3%

Expected Return Bust = 2%

Expected Return Boom = (wx x Rboom,x ) + (wy x Rboom,y ) + (wz x Rboom,z )

Expected Return Boom = (20% x 17,5%) + (20% x 15%) + (60% x 10%)

Expected Return Boom = 3,5% + 3% + 6%

Expected Return Boom = 12,5%

Expected Return portofolio = [ wx x E(Rx) ] + [ wy x E(Ry) ] + [ wz x E(Rz) ]

Expected Return portofolio = [ 0,2 x 6,13% ] + [ 0,2 x 13,25% ] + [ 0,6 x 8,25% ]

Expected Return portofolio = 1,23% + 2,7% + 4,95%

Expected Return portofolio = 8,83%

Variance portofolio = [p(i)bust x ( E(Rbust) – E(Rportofolio))2] - [p(i)boom x ( E(Rboom) – E(Rportofolio))2]

Variance portofolio = [0,35 x (2% - 8,83%)2 ] – [0,65 x (12,5% - 8,83%)2]

Variance portofolio = [0,35 x 47,06%] + [0,65 x 13,47%]

Variance portofolio = 16,47% + 8,75%

Variance portofolio = 25,23%

Standar Deviationportofolio = 25,23

Standar Deviationportofolio = 5,02%

SOAL 2
 Berapa expected return menurut CAPM dari saham-saham dibawah ini, jika
risk-free rate = 6.15% and the market risk premium = 9.5% ?

 Saham mana yang over-value, under-value atau fair ?

Security E(R)  CAPM

Double Click 40,30% 4,03 ?
Coca Cola 16,50% 0,84 ?
Intel 18,45% 1,05 ?
Keithley Industry 10,20% 0,59 ?

JAWABAN

Diketahui bahwa :

Risk-free rate (Rf) = 6,15%

Market risk premium [E(RM) – Rf] = 9,5%

Sehingga nilai return menurut CAPM masing-masing stock adalah sebagai berikut :

E(Ri) = Rf + [ (E(RM) – Rf) x i

E(Rdouble click) = 6,15% + ( 9,5% x 4,03) = 44,44%

E(Rcocacola) = 6,15% + ( 9,5% x 0,84) = 14,13%

E(Rintel) = 6,15% + ( 9,5% x 1,05) = 16,13%

E(Rkeithley) = 6,15% + ( 9,5% x 0,59) = 11,76%

Sehingga dapat diketahui sebagai berikut :

 Security E(R)  CAPM Criteria Value
Double Click 40,30% 4,03 44,44% E(R) < CAPM Over-value
Coca Cola 16,50% 0,84 14,13% E(R) > CAPM Under-value
Intel 18,45% 1,05 16,13% E(R) > CAPM Under-value
Keithley Industry 10,20% 0,59 11,76% E(R) < CAPM Over-value