Analisis Strategi Investasi Magic Formula pada Bursa Efek Indonesia

Miftahul Jannah, Fadlul Imansyah

Abstract


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.

Keywords


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

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DOI: https://doi.org/10.17509/jrak.v7i2.17698

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