Analisis Strategi Investasi Magic Formula pada Bursa Efek Indonesia

Miftahul Jannah, Fadlul Imansyah


This study aims to investigate the performance of the magic formula investment strategy introduced by Joel Greenblatt (2006) which was applied to the Indonesia Stock Exchange. Magic formula is a simple stock selection strategy by ranking stocks based on return on capital and earnings yield. The next step is to choose the top thirty stocks from the combined rank to become a portfolio. The kompas100 index was chosen for the indonesia stock market. Returns from the magic formula portfolio are then compared to market returns. Portfolio rebalancing is conducted annually. Sharpe, treynor, and jensen’s alpha analysis is used to measure returns adjusted for risk. Overall, this study shows that using return on capital and earnings yields can produce higher average returns than the market index from april 2013 to april 2018. The magic formula portfolio yields an average return of 12.67% and the market produces average returns 5.31% during the period under test.


Value Investing, Investment Strategy, Magic Formula, Return on Capital, Earning Yield

Full Text:



Alexander, G. (2016). Backtesting the Magic Formula in the Brazilian Stock Market. Master Degree Project in Finance. University of Gothenburg.

Berman, Y. (2017). The Impact of Time Horizon on the Effect of Diversification.

Blij, R.H., (2011). Back-Testing Magic, An Analysis of The Magic Formula Strategy. Master Thesis. Universiteit Van Tilburg.

Campbell, J.Y., Shiller, R.J., (1988). Stock Prices, Earnings and Expected Dividends. Journal of Finance, 43(3), pp.661-676.

Cochrane, J., (1999). New Facts in Finance, Economic Perspectives Federal Reserve Bank of Chicago. Economic Perspectives, 23(3), pp. 36-58.

Davydov, D., Tikkanen, J. & Aijo, J., (2016). Magic Formula vs. Traditional Value Investment Strategies in the Finnish Stock Market. Nordic Journal of Business, 65(3–4),pp. 38–54.

Fama, E., (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp. 282-417.

Fama, E. & French, K., (1992). The cross section of expected stock returns. The journal of finance, 47(2), pp. 427-465.

Fama, E. & French, K. (2004). The Capital Asset Pricing Model: Theory and Evi-dence. Journal of Economic Perspectives, 18(3), pp.25-46.

Gilles, D., Sornette, D. & Wohrmann, P., 2008. Look-Ahead Benchmark Bias in Portfolio Performance Evaluation, Zurich: ETH Zurich.

Graham, B. & Dodd, D., 2005. Security Analysis. 6th Edition ed. New York: McGraw-Hill Book Co.

Greenblatt, J. (2006).The little book that beats the market. Hoboken, N.J.: Wiley.

Grinblatt, M. and Moskowitz, T. (2004). Predicting stock price movements from pastreturns: the role of consistency and tax-loss selling. Journal of Financial Economics,71(3), pp.541-579.

Gupta, E., Preetibedi, P. and Mlakra, P. (2014). Efficient Market Hypothesis V/S Behavioural Finance. IOSR Journal of Business and Management, 16(4), pp.56-60.

Gustavsson, Oscar (2017). Magic Formula Investing and The Swedish Stock Market. Bachelor’s Thesis. Lund University.

Hongratanawong, L. (2014). The Study of The Magic Formula for Thailand and US Stock markets. UTCC International Journal of Business & Economics. 6(2), pp. 135-145.

Kok, U., Ribando, J., & Sloan, R. (2017). Fact About Formulaic Value Investing. Financial Analyst Journal, 73(2).

Lancetti, S. & Montier, J. (2006). The little note that beats the market. Global Equity Strategy.

Larkin, P. (2011). Can Individual Investors Capture The Value Premium?. Journal of Business & Economics Research (JBER), 7(5).

Montier, J., (2009). Value Investing: Tools and Techniques for Intelligent Investment. Chichester: John Wiley & Sons Ltd.

Panyagometh, K. (2012). Weight and Stock Selection for Equity Portfolio Management: Evidence from the Stock Exchange of Thailand. Business and Management Review. Vol 2(7), 20-27.

Persson, V. and Selander, N. (2009). Back testing “The Magic Formula” in the Nordic Region. Master. Stockholm School of Economics.

Ritter, J. (2003). Behavioural Finance. Pacific-Basin Finance Journal, 11, pp.429–437.

Schiller, Robert J., (2003). From Efficient Markets Theory to Behavioral Finance, Journal of Economic Perspectives 17:1, 83-104.

Sunendar, J., (2019). Cara Simple Berinvestasi di Pasar Modal. Pustaka Aura Semesta. Jakarta.

Szyszka, Adam, (2007). From the Efficient Market Hypothesis to Behavioral Finance: How Investors' Psychology Changes the Vision of Financial Markets, Working Paper.

Yangxiu, Y. (2013). Application of the Stock Selection Criteria of the Three Value Investor, Benjamin Graham, Peter Lynch, and Joel Greenblatt: A Case of Shanghai Stock Exchange From 2006 to 2011. International Journal of Scientific and Research Publication. 3(8).

Zack & Khan (2011). The Handbook of Equity Market Anomalies. Hoboken: John WIley & Sons

Zack & Kuhn (2011). The Handbook of Equity Market Anomalies. Hoboken: John WIley & Sons



  • There are currently no refbacks.

Creative Commons License

Jurnal Riset Akuntansi dan Keuangan  is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

View My Stats