Pembahasan Ujian PAI: F10 – No. 12 – Mei 2026

• Tingkat bunga bebas risiko (risk-free rate): \(r_{f} = 4\%\)
• Data Premi Risiko dan Sensitivitas (Beta) Saham:
  

  Faktor Risiko	\(E(R_{i}) – r_{f}\)	\(\beta_{i}\)
  Market	6%	0,9
  SMB	2%	-0,3
  HML	3%	0,5
  Momentum	4%	0,2

$$E\left(R_{s}\right) = r_{f} + \beta_{s}^{Mkt}\left(E\left(R_{Mkt}\right) – r_{f}\right) + \beta_{s}^{SMB}E\left(R_{SMB}\right) + \beta_{s}^{HML}E\left(R_{HML}\right) + \beta_{s}^{PR1YR}E\left(R_{PR1YR}\right) – r_{f}$$

$$E\left(R_{s}\right) = 4\% + 0{,}9(6\%) + (-0{,}3)(2\%) + 0{,}5(3\%) + 0{,}2(4\%)$$
$$E\left(R_{s}\right) = 4\% + 5{,}4\% – 0{,}6\% + 1{,}5\% + 0{,}8\%$$
$$E\left(R_{s}\right) = 11{,}1\%$$

Jadi, expected return dari saham tersebut sebesar 11,1%.