Analisis Portofolio Saham Motorola and G

ANALISIS PORTOFOLIO SAHAM
MANAJEMEN INVESTASI & PASAR MODAL

MAY 16, 2016
ACCOUNTING
Angga Bagas Samudra

ANALISIS PORTOFOLIO

Angga Bagas S
145020307111048

Part 1: Pada 1946 – 2001, Motorola memiliki rata-rata pengembalian
bulanan 1.75% dan std dev 9.73%. GM memiliki rata-rata pengembalian
1.08% dan std dev of 6.23%. Korelasinya 0.37.

wMot
0
0.25
0.50
0.75

1
1.25

Analisis Portofolio Saham

w GM
1
0.75
0.50
0.25
0
-0.25

E[RP]
1.08
1.25
1.42
1.58
1.75
1.92

MANIVEST – CC CLASS

var(RP)
38.8
36.2
44.6
64.1
94.6
136.3

stdev(RP)
6.23
6.01
6.68
8.00
9.73
11.67

TASK 3

Angga Bagas S

ANALISIS PORTOFOLIO

145020307111048

EFFICIENT SET CHART
2.1%

Motorola

Expected Return

1.7%

1.3%

GM
0.9%

0.5%
2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Stan dard Deviation of Retu rn

Analisis Portofolio Saham

MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S
145020307111048

Part 1-2 : Situasi yang sama dengan tingkat korelasi sebesar –1.0?
0.0? 1.0?

wMot
0
0.25
0.50
0.75
1

w GM

1
0.75
0.50
0.25
0

Analisis Portofolio Saham

E[RP]
1.08%
1.25
1.42
1.58
1.75

Std dev of portfolio
corr = -1
corr = 0
corr = 1
6.23%

6.23%
6.23%
2.24
5.27
7.10
1.75
5.78
7.98
5.74
7.46
8.85
9.73
9.73
9.73

MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S
145020307111048

EFFICIENT SET & ASET BEBAS RISIKO (T-BILLS/SBI)
2.2%

Expected Return

1.8%
corr=-1
1.4%

corr=-.5

corr=0

corr=1

1.0%

0.6%
0.0%

Analisis Portofolio Saham

2.0%

4.0%

6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Standard Deviation of Return
MANIVEST – CC CLASS

TASK 3

ANALISIS PORTOFOLIO

Angga Bagas S
145020307111048

Part 2: Penentuan alokasi portofolio saham dan SBI (T-Bill). Rate dari TBill adalah 0.12% (bulanan). Kita berharap tingkat pengembalian
saham adalah 0.75% (bulanan) dengan standar deviasi 4.25%.

w Stk
0
0.33
0.67
1

w Tbill
1
0.67
0.33
0

Analisis Portofolio Saham

E[RP]
0.12

0.33
0.54
0.75

MANIVEST – CC CLASS

var(RP)
0.00
1.97
8.11
18.06

stdev(RP)
0.00
1.40
2.85
4.25

TASK 3

Angga Bagas S

ANALISIS PORTOFOLIO

145020307111048

Mean/SD Trade-Off for Portfolios of T-Bills and The Stock Market
1.0%

Expected Return

0.8%

Stock Market
0.6%
50/50 portfolio

0.4%

0.2%

T-Bills
0.0%
0.0%

Analisis Portofolio Saham

1.0%

2.0%
3.0%
4.0%
Standard Deviation of Return

MANIVEST – CC CLASS

5.0%

6.0%

TASK 3

ANALISIS PORTOFOLIO

Analisis Portofolio Saham

MANIVEST – CC CLASS

Angga Bagas S
145020307111048

TASK 3