Sumber : “Manajemen Portofolio : Penerapannya dalam Investasi Saham

ZALMI ZUBIR MBA

Teaching Materials
1. Students carry a laptop
2. Students carry 2 company stock price data.
Teaching Process
1. Mahasiswa dibimbing membuat portfolio.
2. Menjelaskan teori portofolio sambil membuat
program simulasi portofolio.
3. Melakukan perubahan investasi setiap minggu.
4. Memberikan laporan perkembangan portofolio
mingguan dan akhir periode.
5. Presentasi
Ch. 1
Stock Return Saham dan
Portfolio
Portfolio
Portfolio is a collection of investments held by a
person / institution.
Portfolio is an investment on more than one
instrument.
 Expected Return

Ri = ∑ Rit /n
t=1

Ri = 1/n ∑ Rit

t=1

Ri = Average or expected return stock i

n = time period or number of observation days
Rit = Stock return i in Day t
Daily Stock Return
Pt – Pt-1 Dt
Rt = +

Rt
P
= Stock
Pt-1
t-1 return Day t

Pt-1 = Stock Price Day t-1

Rt = Stock Price Day t
Dt = Deviden Day t
Stock Expected Return
R1 + R2 + R3 +………..R31
Ri =

30
Ri = Average return atau expected
return stock i
R1... R31 = Stock return saham Day-1 – Day 30
Expected Return Portfolio
Rp = w1R1 + w2R2
n

Rp = ∑wiRi
i=1

Rp = expected return portfolio

wi = porsi saham ke i dalam portfolio
Ri = expected return saham ke i
 Ch. 2
Stock Risk and Portfolio
Risk Factors
1. Interest rate risk
2. Market risk
3. Inflation risk
4. Business risk
5. Financial risk
6. Liquidity risk
7. Exchange rate risk atau currency risk
8. Country risk
Varians, Stock Risk
n

i2 = 1/n ∑(Rit -Ri)2

t=1

Deviasi Standar =
i2
Portfolio Risk
p2 = E(Rit -Ri)2
Subsitusikan Rit dengan w1R1t + w2R2t

= E[(w1R1t + w2R2t) – (w1R1 + w2R2)]2

= E[(w1(R1t-R1) + w2(R2t-R2)]2
p2 = E[w12(R1t -R1)2 + 2w1w2(R1t -R1)(R2t -R2) + w22(R2t -R2)2]
= w12E(R1t -R1)2 + 2w1w2 E(R1t -R1)(R2t -R2) + w22 E(R2t -R2)2
= w1212 + 2w1w2 E(R1t -R1)(R2t -R2) + w2222

p2 = w1212 + 2w1w212 + w2222

w1….wn = porsi saham dalam portfolio

Corelation Coeficient and KOVARIANS
12
12 =
12

KOVARIANS

12 = 1212

p2 = w1212 + 2w1w2 12=1 2 + w2222

12
Steps to create a Portfolio of 2 Stocks
1. Find Stock Price of 2 Company in 30 Trading
days on www.yahoofinance.com.
2. Calculate Return
3. Calculate Expected Return
4. Calculate Varians
5. Calculate Standar deviasi
6. Calculate Kovarian dan Koefisien Korelasi
7. Define Weight of every Stock
8. Define Return dan Risk of Portfolio
 Stock Price and Return
2 company in 30 Trading days
P ASGR (P t-1 - Pt )/Pt-1 P GAJAH TUNGGAL (P t-1 - Pt )/Pt-1
Tgl Harga Saham ASGR Return Saham ASGR Harga Saham GJTL Return Saham GJTL
30-Dec-05 295 560
1 2-Jan-06 300 0.01695 570 0.017857143
2 3-Jan-06 300 0.00000 590 0.035087719
3 4-Jan-06 300 0.00000 590 0
4 5-Jan-06 305 0.01667 580 -0.016949153
5 6-Jan-06 305 0.00000 590 0.017241379
6 9-Jan-06 315 0.03279 640 0.084745763
7 11-Jan-06 315 0.00000 650 0.015625
8 12-Jan-06 305 -0.03175 630 -0.030769231
9 13-Jan-06 305 0.00000 630 0
10 16-Jan-06 305 0.00000 610 -0.031746032
11 17-Jan-06 295 -0.03279 570 -0.06557377
12 18-Jan-06 295 0.00000 560 -0.01754386
13 19-Jan-06 305 0.03390 600 0.071428571
14 20-Jan-06 295 -0.03279 590 -0.016666667
15 23-Jan-06 285 -0.03390 570 -0.033898305
16 24-Jan-06 290 0.01754 570 0
17 25-Jan-06 290 0.00000 570 0
18 26-Jan-06 295 0.01724 620 0.087719298
19 27-Jan-06 310 0.05085 620 0
20 30-Jan-06 320 0.03226 630 0.016129032
21 1-Feb-06 315 -0.01563 630 0
22 2-Feb-06 305 -0.03175 680 0.079365079
23 3-Feb-06 310 0.01639 670 -0.014705882
24 6-Feb-06 305 -0.01613 660 -0.014925373
25 7-Feb-06 305 0.00000 670 0.015151515
26 8-Feb-06 295 -0.03279 690 0.029850746
27 9-Feb-06 305 0.03390 710 0.028985507
28 10-Feb-06 300 -0.01639 710 0
29 13-Feb-06 295 -0.01667 690 -0.028169014
30 14-Feb-06 300 0.01695 660 -0.043478261
31 15-Feb-06 300 0.00000 670 0.015151515
 Expected Return, varians, Standar Deviasi, Kovarians
2 company in 30 Trading days

P ASGR (Pt-1 - Pt )/Pt-1 P GAJAH TUNGGAL (P t-1 - Pt )/Pt-1

Tgl Harga Saham ASGR Return Saham ASGR Harga Saham GJTL Return Saham GJTL
30-Dec-05 295 560
1 2-Jan-06 300 0.01695 570 0.017857143
2 3-Jan-06 300 0.00000 590 0.035087719
3 4-Jan-06 300 0.00000 590 0
4 5-Jan-06 305 0.01667 580 -0.016949153
5 6-Jan-06 305 0.00000 590 0.017241379
…
…
25 7-Feb-06 305 0.00000 670 0.015151515
26 8-Feb-06 295 -0.03279 690 0.029850746
27 9-Feb-06 305 0.03390 710 0.028985507
28 10-Feb-06 300 -0.01639 710 0
29 13-Feb-06 295 -0.01667 690 -0.028169014
30 14-Feb-06 300 0.01695 660 -0.043478261
31 15-Feb-06 300 0.00000 670 0.015151515
Average Return 0.00080 =AVERAGE(return saham) 0.00645
Varians (α12) 0.00052 =VARP(return saham) 0.00132
Standar Deviasi 0.02282 =STDEVp(return saham) 0.03634
Covarians (σ12) 0.00029 =COVAR(returnASGR; returnGJTL)
Covarians dan Koefisien
Korelasi
Koefisien Korelasi
Saham ASGR GJTL
ASGR 1.00 0.36
GJTL 1.00

Koefisien Korelasi = (σ12)/ (stdev ASGR) x (stdev GJTL)

 Bobot , Return dan Resiko PORTOFOLIO

ASGR GJTL KODE Return Portfolio Varians Portfolio resiko Portfolio

100% 0% A 0.00080 0.00052 0.02282
90% 10% B 0.00137 0.00049 0.02209
80% 20% C 0.00193 0.00048 0.02192
70% 30% D 0.00250 0.00050 0.02231
60% 40% E 0.00306 0.00054 0.02324
50% 50% F 0.00363 0.00061 0.02465
40% 60% G 0.00419 0.00070 0.02646
30% 70% H 0.00475 0.00082 0.02859
20% 80% I 0.00532 0.00096 0.03099
10% 90% J 0.00588 0.00113 0.03358
0% 100% K 0.00645 0.00132 0.03634

p2 = w1212 + 2w1w212 + w2222

W1,2 = Bobot ASGR dan GJTL
R1,2 = Average Return ASGR dan GJTL Kovarians
 Gambarkan Eficient Set Portofolio Set
Saham ASGR dan GJTL

KODE Resiko Portfolio Return Portfolio 0.01

A 0.022821789 0.000802178
0.01
B 0.022092951 0.00136684

Return Portofolio
C 0.021918109 0.001931502 0.01
D 0.022310291 0.002496164 0
E 0.023240809 0.003060826 0
F 0.02464877 0.003625488
0
G 0.026458063 0.00419015
H 0.028592602 0.004754812 0
I 0.030985242 0.005319474 0
0.02 0.02 0.02 0.03 0.03 0.03 0.03 0.03 0.04 0.04
J 0.03358086 0.005884135
K 0.036335982 0.006448797 Resiko Portofolio

Sort, Insert “Scatter”

Pilih Kombinasi Portofolio yang memberikan
Resiko yang Paling Kecil

ASGR GJTL KODE Return Portfolio Varians Portfolio Resiko Portfolio

80% 20% C 0.001931502 0.000480404 0.021918109
90% 10% B 0.00136684 0.000488099 0.022092951
70% 30% D 0.002496164 0.000497749 0.022310291
100% 0% A 0.000802178 0.000520834 0.022821789
60% 40% E 0.003060826 0.000540135 0.023240809
50% 50% F 0.003625488 0.000607562 0.02464877
40% 60% G 0.00419015 0.000700029 0.026458063
30% 70% H 0.004754812 0.000817537 0.028592602
20% 80% I 0.005319474 0.000960085 0.030985242
10% 90% J 0.005884135 0.001127674 0.03358086
0% 100% K 0.006448797 0.001320304 0.036335982