return and risk for individual asset

7/24/2019 Return and Risk for Individual Asset

1/31

Return

Risk forIndividu

Asset

!"#$% '()*"

+%,$( -./ 012/3/

+%,$( 0(4%*),% '*


2/31

Return

67%8"9 $%3: #";1*/91, #%*"


3/31

Return Realisasian


4/31

6*1)(*3 $%3: )19%, )1*@%#"> *1)(*3 *19"8%8"%3 #",")(3: 413::(3%.%

*1)(*3 *1%9"8%8"%3 ;1323: .%*13% #":(3%.%3 81?%:%" 8%9%, 8%)( ;1

#%*" ;1*(8%,%%3A

B1?1*%;% ;13:(.(*%3 *1)(*3 *19"8%8"%3

! C/)%9 D1)(*3

! D19%2=1 *1)(*3

! D1)(*3 E(4(9%2=1

! F#@(8)1# *1)(*3


5/31

Total Return

! G1*(;%.%3 *1)(*3 .1819(*(,%3 #%*" 8(%)( "3=18)%8" #%9%4 8(%)( ;1*"/#1

)1*)13)(H

! C1*#"*" #%*" I%;")%9 :%"3 J9/88K L 819"8", (3)(3: J*(:"K ,%*:% "3=18)%8" 81.%*%3:#13:%3 ,%*:% ;1*"/#1 9%9( #%3 $"19# L ;*1813)%81 ;131*"4%%3 .%8 ;1*"/#".)1*,%#%; ,%*:% "3=18)%8" ;1*"/#1 )1*)13)( #%*" 8(%)( "3=18)%8"

!"#$%&!(##(##$)(##$M N"19#

!"#$%&+,-,.!(##(##$%/#)(##$


6/31

!"#$%&"()#*) +),)-

.!/0 1$2$&"3 .1/0 4"/5#3 .4

OPQP ORST OTT

OPPT ORSS OTT T>TUTVK

OPPO ORPT OTT T>TRR

OPPW OQOT OST T>TPS

OPPX WTOT OST T>OPX

OPPY OPTS WTT T>TYR

VKDOPPTZ JOHRRS [ OHRST M OTTK\OHRST

Z T>TUT

E/3)/, D1)(*3 0%,%4


7/31

!"#$%&".60 7)8$/)9 :)$3 .;%


8/31

Relatif Return

! D19%2` *1)(*3 #%;%) #":(3%.%3 %;%?"9% )/)%9 *1)(*3 ?1*3"9%" 31:%2` .%

*19%2` *1)(*3 ?1*3"9%" ;/8"2`

! D19%2` *1)(*3 #";1*/91, #13:%3 *(4(8L

F)%( !"#$%&!(#%/#)(##$

!"#$%&!(##(##$%/#)(##$ M O


9/31

Relatif return

!"#$%&"6

()#*) +),)- .!/0=

1$2$&"3 .1/0?

4"/5#3 .4/0@

4"9)CD 4"/E A @

OPQP ORST OTT

OPPT ORSS OTT T>TUT O>T

OPPO ORPT OTT T>TRR O>TOPPW OQOT OST T>TPS O>T

OPPX WTOT OST T>OPX O>O

OPPY OPTS WTT T>TYR O>T

!"#$%&$&&'!$())%$'')$()' Z O>TUT


10/31

! D1)(*3 /)%9 ,%3$% 413:(.(* ;1*(?%,%3 .14%4.4(*%3 ;%#%

)1*)13)( 8%@%> )1)%;" 2#%. 413:(.(* )/)%9 #%*" .14%.4(*%3 $%

! b3)(. 413:1)%,(" )/)%9 .14%.4(*%3>


11/31

c1)1*%3:%3 L

! ?"%8%3$% #":(3%.%3 3"9%" D; O

! D) Z *1)(*3 ;1*"/#1 .1])> 4(9%" #%*" %a%9 ;1*"/#1 J) Z OK 8%4;%

J) Z 3K


12/31

!"#$%&" ()#*) +),)-.!/0

1$2$&"3.1/0

4"/5#3.4/0

FGG

OPQP ORST OTT O>TT

OPPT ORSS OTT T>TUT O>TU

OPPO ORPT OTT T>TRR O>OYW

OPPW OQOT OST T>TPS O>WS

OPPX WTOT OST T>OPX O>YP

OPPY OPTS WTT T>TYR O>SU

%K TTT d JO M T>TUTK Z O>TUT

?K TUT d JO M T>TRRK Z O>OYW


13/31

Return Disesuaikan

! D1)(*3 81?19(43$% ,%3$% 413,(.(* ;1*(?%,%3 3"9%" (%3: )1)

414;1*24?%3:.%3 23:.%) #%$% ?19" #%*" 3"9%" (%3: )1*81?()H

! 01,"3::% ;1*9( #"818(%".%3 #13:%3 23:.%) "3e%8" $%3: %#%> #1

414;1*24?%3:.%3 3)&% 3),#3/> %)%( ./4&'5/6&07#8,)0 3),#3/

!1$4 ! ,$%!-),$%56-#$

DOF Z *1)(*3 818(%"%3 "3e%8"

D Z*1)(*3 3/4"3%9


14/31

E/3)/, L

D1)(*3 81?18%* OR_ $%3: #")1*"4% 81)%,(3 #%*" 81?(%, 8(*%) ?1

#"818(%".%3 #13:%3 23:.%) "3e%8" 81?18%* S _ (3)(. )%,(3 $%3:

414?1*".%3 *1)(*3 *"19 81?18%*L

DOF Z gJOMT>ORK\JOMT>TSKh]O

Z T>OOY %)%( OO>Y_H


15/31

Rata-Rata Geomerik

5":(3%.%3 (3)(. 413:,")(3: *%)%]*%)% $%3: 414;1*,%2.%3 23:

.(4(9%2` #%*" a%.)( .1 a%.)(H

D^!.,2$%!1$ 32$%!1* 3+,$%!1& -/7$)& #$

D^Z*%)%]*%)% :1/41)*".

D" Z*1)(*3 (3)(. ;1*"/#1 .1] 8(%)

41*(;%.%3 )*%#1]/j #%*" .1#(% %.)/* "3"H

! 014%."3 ?18%* *18"./ $%3: #")%3::(3:> 814%."3 ?18%* *1)(*3 $

#"./4;138%8".%3H

6!%3 7/*31 #%3 +%I,/a"I8> k*H JOPPWK L *18"./ 81?%:%" =%*"%?"9")%*1)(*3 $%3: #",%*%;.%3H

G1)/#1 b3)(3: 413:,")(3: *18"./ %#%9%, #1="%8" 8)%3#%* $%3: 4

;13$"4;%3:%3 3"9%"]3"9%" $%3: 8(#%, )1*@%#" #13:%3 3"9%" 1.8;1.)%


22/31

Resiko Berdasarkan Proba

'13$"4;%3:%3 0)%3#%* %)%( #1="%8" 8)%3#%* 41*(;%.%3 ;13:(.(

#":(3%.%3 (3)(. 413:,")(3: *18"./H 51="%8" 8)%3#%* #%;%) #")(9"8

+/19 !,8,.!19 #82!19 3 /7*--7$0*

019%"3 0)%3#%* 51="%8" *"8"./ #%;%) #"3$%)%.%3 #%9%4 ?13)(. =%*"%3L

=,%,!19 -!+/197*!,8,.!19 #82!19 3 /7*-

D(4(8 !%* #%9%4 ?13)(. '*/?%?"9")%8=,%,!19 -!:;!$7&!?=,%,!19 -


23/31

Resiko Berdasar Data His

D18"./ $%3: #"(.(* #13:%3 #1="%8" 8)%3#%* $%3: 413::(3%.%3 #%

81?%:%" ?1*".()L

+/!?:9!$7&


24/31

Koefisien Variasi


25/31

5%9%4 %3%9"8"8 "3=18)%8" %#% #(% `%.)/* $%3: ,%*(8 #";1*24?%3:.%

$%")( 1.8;1.)%8"%3 #%3 *"8"./ %.2=%H

D(4(8 c/1m8"13 !%*"%8"L

A=19 !!9B9CD)!"#$%&8CBE"C#,B9

c1)1*%3:%3L

E=" Z ./1m8"13 =%*"%8" (3)(. %.2=% .1]"


26/31

Properti Return Ekspekta

dan Varian


27/31

i"9%" 1.8;1.)%8"%3 414;(3$%" ?1?1*%;% ;*/;1*2H B1?1*%;% ;*/;

'*/;1*2 O

i"9%" 1.8;1.)%8"%3 #%*" ;13@(49%,%3 81?(%, =%*"%?19 %I%. l #13:%3 81?

82@%03!82@3%0

'*/;1*2 Y

!%*"%3 #%*" ;1*.%9"%3 8(%)( =%*"%?19 %I%. l #13:%3 81?(%, ./38)%3)%H

82C2@3!C282@3

'*/;1*2 W

i"9%" 1.8;1.)%8"%3 #%*" ;1*1.%9"%3 81?(%, =%*"%?19 %I%. l #13:%3 81?(%

'*/;1*2 X

!%*"%3 #%*" ;13@(49%,%3 8(%)( =%*"%?19 %I%. l #13:%3 81?(%, ./38)%3)=,%2@%03!=,%2@3

=,%2C2@3!07*2=,%2@3


28/31

Semivariance


29/31

0%9%, 8%)( .1?1*%)%3 413::(3%.%3 *(4(8 =%*"%3 %#9%, .%*13% *(

?/?/ $%3: 8%4% ?18%*3$% (3)(. 3"9%"]3"9%" #" ?%a%, 4%(;(3 #" %)

1.8;1.)%8"%3H '%#%,%9 "3#"="#( $%3: 414;(3$%" %n)(#1 ?1*?1#%

%.%3 414?1*".%3 ?/?/) $%3: 2#%. 8%4% )1*,%#%; #(% .19/4;/.

'13:(.(*%3 *"8"./ 81,%*(83$% ,%3$% 414%8(..%3 3"9%" #"?%a%,

#"1.8;1.*%8".%3 8%@%H k".% ,%3$% 3"9%" 8%2 8"8" $%3: #":(3%.%3> $%")3"9%" 1.8;1.*%8"3$%> 4%.% (.(*%3 *"8"./ 814%I%4 "3" #"81?() #13:

#%3 #",")(3: #13:%3 *(4(8

+".9F,%9,&G"!8.,!9#82!19 3 -7*/


30/31

Mean Absolute


31/31

B%". =%*"%3I1 #%3 814"=%*"%3I1 8%3%:) 8138"2` )1*,%#%; @%*%. #%*

1.8;1.*%8"%3> .%*13% ;13:(%#*%)%3 %.%3 414?1*".%3 ?/?/) $%3

#%"?%3#"3:.%3 @".% #"9%.(.%3 ;13:(%#*%)%3H '13:(.(*%3 *"8"./ $%

;13:(%#*%)%3 %#%9%, 41%3 %?8/9()1 #1="%2/3 JGF5K

H4/!8.3!9#82!19 3 3/

return and risk for individual asset

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