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Model Indeks Tunggal (Single-Index Model)

The document discusses the single-index model, which was developed by William Sharpe in 1963 as a simplification of the Markowitz model. The single-index model can be applied to both individual assets and portfolios. It is based on the observation that a security's price moves in line with market movements, so its return may correlate due to common responses to market changes. The model partitions a security's return into two components - one that depends on market movements, and one that is independent of the market. It examines how to calculate portfolio risk, expected returns, betas, alphas, variances, and covariances using the single-index model. Diversification is also discussed in the context of reducing nonsystematic risk

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Erry
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63 views

Model Indeks Tunggal (Single-Index Model)

The document discusses the single-index model, which was developed by William Sharpe in 1963 as a simplification of the Markowitz model. The single-index model can be applied to both individual assets and portfolios. It is based on the observation that a security's price moves in line with market movements, so its return may correlate due to common responses to market changes. The model partitions a security's return into two components - one that depends on market movements, and one that is independent of the market. It examines how to calculate portfolio risk, expected returns, betas, alphas, variances, and covariances using the single-index model. Diversification is also discussed in the context of reducing nonsystematic risk

Uploaded by

Erry
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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MODEL INDEKS TUNGGAL

(Single-index model)
Pendahululuan
• Dikembangkan oleh William Sharpe (1963)
• Merupakan penyederhanaan dari model
Markowitzt
• Single index model juga dapat diapliasikan
baik pada aset tunggal maupun portofolio.
• Model indeks tunggal didasarkan pada
pengamatan bahwa harga dari sebuah
sekuritas bergerak seiring dengan pergerakan
pasar.
• Hal ini berarti return dari sekuritas mungkin
berkorelasi karene adnya reaksi umum
(common response) terhadap perubahan nilai
pasar
Model Indeks Tunggal
•
• Variabel merupakan komponen return
sekuritas yang tidak tergantung oleh
pergerakan pasar

• Maka persamaan 1 menjadi

• E(
Variance return
•
Single-Index Model Continued

• Risk and covariance:


– Total risk = Systematic risk + Firm-specific
risk:  i2   i2 M2   2 (ei )
– Covariance = product of betas x market index
risk:
Cov ( ri , rj )   i  j M2

– Correlation = product of correlations with the


market index 2 2
 i  j M  i M  j M
2

Corr ( ri , rj )    Corr (ri , rM ) xCorr (rj , rM )


 i j  i M  j M

8-6
Concept Check 1
Stock Capitalization Beta Mean Excess Std. dev
Return
A $3.000 1,0 10% 40%
B $1.940 0,2 2 30
C $1.360 1,7 17 50

The standard deviation of the market index portfolio is 25%


a. What is the mean excess return of the index portfolio?
b. What is the covariance between stock A and stock B?
c. What is the covariance between stock B and the index?
d. Break down the variance of stock B into its systematic and firm-specific
components.

8-7
Concept Check 2
•Suppose that the index model for the excess
returns of stock A and B is estimated with
the following results

Find standard deviation of each stock and


the covariance between them
8-8
Analisis Portfolio Menggunakan
Single-Index Model
• Expected return portfolio
• E(
• E()
• E()

8-9
• Beta portofolio
•

• Alpha portofolio

8-10
Risiko Portofolio
• Varians sekuritas tunggal

• Varians portofolio

8-11
Index Model and Diversification
• Portfolio’s variance:

      ( eP )
2
P
2
P
2
M
2

• Variance of the equally weighted portfolio


of firm-specific components:
2
n
1 2 1 2
 (eP )      (ei )   (e)
2

i 1  n  n
• When n gets large,  2 (e ) becomes
P
negligible
8-12
Figure 8.1 The Variance of an Equally
Weighted Portfolio with Risk Coefficient
βp in the Single-Factor Economy

8-13
Concept Check 3

• Reconsider concept check 2. suppose we


form an equally weighted portfolio of A and
B. What will be the nonsystematic
standard deviation of that portfolio

8-14
Portfolio Optimal Berdasarkan
Indeks Tunggal

8-15

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