Investment strategy on indonesia islamic stocks using Greenblatt Magic Formula

https://doi.org/10.35912/ijfam.v5i3.1322
Published: Dec 4, 2023

Abstract:

Purpose: This study analyzes the portfolio form based on the Magic Formula investment strategy introduced by Greenblatt (2006).

Research methodology: The portfolio formed is evaluated using the Sharpe, Treynor, and Jensen indices.

Results: The results show that the Magic Formula investment portfolio provides higher returns than the reference index from June 2018 to May 2021, specifically -1.45% compared to -3.26%. The performance evaluation value of the Magic Formula investment portfolio was better than that of the reference index.

Limitations: Although the Magic Formula portfolio performs well during the study period, investment portfolios can also be built and evaluated using other portfolio formulas.

Contribution: This evidence shows that the Greenblatt Magic Formula investment strategy performs well because it can provide a greater return with less risk.

Keywords:
1. Investment Strategy
2. Joel Greenblatt
3. Magic Formula
4. Portfolio
5. Sharia Stock
Authors:
1 . Alfianto Hendry Setiawan
Faculty of Economics and Management, IPB University, Indonesia
2 . Resfa Fitri
Faculty of Economics and Management, IPB University, Indonesia
3 . Marhamah Muthohharoh
Faculty of Economics and Management, IPB University, Indonesia
4 . Mohammad Iqbal Irfany
Faculty of Economics and Management, IPB University, Indonesia
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How to Cite
Setiawan, A. H., Fitri, R., Muthohharoh, M., & Irfany, M. I. (2023). Investment strategy on indonesia islamic stocks using Greenblatt Magic Formula. International Journal of Financial, Accounting, and Management, 5(3), 281–296. https://doi.org/10.35912/ijfam.v5i3.1322
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Issue & Section
Vol. 5 No. 3 (2023): December
Articles
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This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

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  2. Al Firdausi, M. K., Askandar, N. S., & Sudaryanti, D. (2021). Penilaian Efisiensi Investasi Saham Yang Terindeks Saham Syariah Dengan Metode Capital Asset Pricing Model (CAPM)(Sektor Industri Barang Konsumsi Pada Indeks Saham Syariah Indonesia Periode Agustus 2018-Juli 2020). Jurnal Ilmiah Riset Akuntansi, 10(04).
  3. Bodie, Z., Kane, A., & Marcus, A. (2018). Essentials of Investments (11th ed.): McGraw Hill.
  4. Budi, R. (2009). Dasar-dasar Analisis Fundamental Saham Laporan Keuangan Perusahaan: Gajah Mada University Press.
  5. Darmadji, T., & Fakhruddin, H. (2012). Pasar Modal di Indonesia: Pendekatan Tanya Jawab (Ketiga). Salemba Empat.
  6. Ekawati, E., & Yanti, I. (2022). Pengaruh ISR, Leverage dan Likuiditas terhadap ERC pada Perusahaan yang Terdaftar di ISSI Tahun 2015-2020. Bukhori: Kajian Ekonomi Dan Keuangan Islam, 1(2), 147-163.
  7. Fatima, A. (2019). Cognitive dissonance and investors’ decision-making: A review. International Journal of Financial, Accounting, and Management, 1(1), 39-45.
  8. Greenblatt, J. (2006). The little book that beats the market: John Wiley & Sons.
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  10. Hartono, J. (2008). Portfolio theory and investment analysis. Yogyakarta: BPFE.
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  12. IFRS. (2017). Primary Financial Statements: Earnings Before Interest and Tax (EBIT). Retrieved from https://www.ifrs.org/content/dam/ifrs/meetings/2017/march/iasb/primary-financial-statements/ap21a-pfs.pdf
  13. Institute, C. (2020). Portfolio Management in Practice, Volume 1: Investment Management (CFA Institute Investment Series): Wiley.
  14. IPSAS. (2021). Exposure Draft 78: Property, Plant, and Equipment. Retrieved from https://www.ifac.org/system/files/publications/files/ED-78-Property-Plant-Equipment.pdf
  15. Irham, F. (2015). Manajemen Investasi Teori dan Soal Jawab. Jakarta: Salemba Empat.
  16. Keuangan, D. S. A. (2007). Standar Akuntansi Keuangan. Salemba Empat. Jakarta.
  17. Kooli, C., Shanikat, M., & Kanakriyah, R. (2022). Towards a new model of productive Islamic financial mechanisms. International Journal of Business Performance Management, 23(1-2), 17-33.
  18. ksei. (2021). Statistik Pasar Modal Indonesia. Retrieved from https://www.ksei.co.id/files/Statistik_Publik_Desember_2021.pdf
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  21. OJK. (2020). Keputusan Dewan Komisioner OJK Nomor KEP-63/D.04/2020 tentang Daftar Efek Syariah. Retrieved from https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/daftar-efek-syariah/Pages/Keputusan-Dewan-Komisioner-OJK-Nomor-KEP-63-tentang-Daftar-Efek-Syariah.aspx
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  24. Olayinka, A. A. (2022). Financial statement analysis as a tool for investment decisions and assessment of companies’ performance. International Journal of Financial, Accounting, and Management, 4(1), 49-66.
  25. Pae, Y., & Sabbaghi, N. (2015). Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas. Journal of Financial Stability, 18, 203-207.
  26. Rafki, M., Wiliasih, R., & Irfany, M. I. (2022). Faktor-Faktor yang Memengaruhi Volume Perdagangan Sukuk Ritel SR-008 di Indonesia. Bukhori: Kajian Ekonomi Dan Keuangan Islam, 1(2), 95-117.
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  28. Shabrina, W., & Hadian, N. (2021). The influence of current ratio, debt to equity ratio, and return on assets on dividend payout ratio. International Journal of Financial, Accounting, and Management, 3(3), 193-204.
  29. Sudana, I. M. (2013). Diversifikasi Investasi Saham: Perbandingan Risiko Total Portofolio Melalui Diversifikasi Domestik Dan Internasional. Jurnal Manajemen Teori dan Terapan| Journal of Theory and Applied Management, 6(1).
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  32. Tandelilin, E. (2017). Pasar modal manajemen portofolio & investasi. Yogyakarta: PT Kanisius.
  33. Tannadi, B. (2019). Ilmu Saham: Elex Media Komputindo.
  34. Zimon, G. (2021). Working Capital. Encyclopedia, 1(3), 764-772.