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

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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.

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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
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Analisis Portfolio Menggunakan
Single-Index Model
• Expected return portfolio
• E(
• E()
• E()

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• Beta portofolio
•

• Alpha portofolio

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 Risiko Portofolio
• Varians sekuritas tunggal

• Varians portofolio

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 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
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Figure 8.1 The Variance of an Equally
Weighted Portfolio with Risk Coefficient
βp in the Single-Factor Economy

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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

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Portfolio Optimal Berdasarkan
Indeks Tunggal

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