APLIKASI Z-SCORE METHOD DALAM PEMBENTUKAN PORTOFOLIO
Jurusan Akuntansi Sekolah Administrasi Bisnis dan Keuangan
Institut Manajemen Telkom
Jl. Telekomunikasi No.1 Terusan Buah Batu, Bandung, 40257
Korespondensi dengan Penulis:
Deannes Isynuwardhana: Telp. +62 227 503 509
The problem that often occurs in forming portfolio is regarding the selection and weighting the stock to be included in portfolio. This study attempts to solve the problem by using a simple model, which is expected to be applied easily by investors. This is a descriptive research with quantitative approach, and using stocks that categorized as “blue chip” in Indonesia’s stock exchange as a sample. Stock selection process using Z-score method with 6 criteria, which is, price earning ratio, price to book value, debt to equity ratio, gross profit margin, return on equity, and stock’s historical price. The weighting of each stock in portfolio than calculated using Bodie, Kane, and Markus (2011) approach. The coefficient of variation, risk and return of the market used as benchmark to measure portfolio performance. The result shows that portfolio which formed by Z-score method would gives higher return than the market. Although the portfolio provides greater risk, but not comparable with the marker return that gave negative results in return. The result suggest that portfolio created using the Z-score method can be applied by investors in Indonesia’s stock exchange.
Key words: portfolio, return, stock, Z–score method