Investment strategy on indonesia islamic stocks using Greenblatt Magic Formula
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.
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Agarwal, A. (2021). Study of machine learning algorithms for potential stock trading strategy frameworks. International Journal of Financial, Accounting, and Management, 3(3), 275-287.
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Greenblatt, J. (2006). The little book that beats the market: John Wiley & Sons.
Gustavsson, O., Strömberg, O., & Byström, H. (2017). Magic Formula Investment and The Swedish Stock Market. Bachelor’s Thesis. Lund University.
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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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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.
Pae, Y., & Sabbaghi, N. (2015). Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas. Journal of Financial Stability, 18, 203-207.
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.
Rani, P. (2019). Risk-Reward Agility of the Benjamin Graham and Joel Greenblatt? s Investment Philosophy in the Indian Stock Market. Risk, 3085, 492-498.
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.
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).
Sugiyono. (2014). Metode Penelitian kuantitatif, kualitatif dan R & D (19th ed.). Bandung: Alfabeta.
Syafitri, W., Effendi, J., & Irfany, M. I. (2022). Is there a Short-term Overreaction to Pandemic Covid-19?: A case study of the Indonesia Islamic Capital Market. al-Uqud: Journal of Islamic Economics, 6(2).
Tandelilin, E. (2017). Pasar modal manajemen portofolio & investasi. Yogyakarta: PT Kanisius.
Tannadi, B. (2019). Ilmu Saham: Elex Media Komputindo.
Zimon, G. (2021). Working Capital. Encyclopedia, 1(3), 764-772.
- Agarwal, A. (2021). Study of machine learning algorithms for potential stock trading strategy frameworks. International Journal of Financial, Accounting, and Management, 3(3), 275-287.
- 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).
- Bodie, Z., Kane, A., & Marcus, A. (2018). Essentials of Investments (11th ed.): McGraw Hill.
- Budi, R. (2009). Dasar-dasar Analisis Fundamental Saham Laporan Keuangan Perusahaan: Gajah Mada University Press.
- Darmadji, T., & Fakhruddin, H. (2012). Pasar Modal di Indonesia: Pendekatan Tanya Jawab (Ketiga). Salemba Empat.
- 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.
- Fatima, A. (2019). Cognitive dissonance and investors’ decision-making: A review. International Journal of Financial, Accounting, and Management, 1(1), 39-45.
- Greenblatt, J. (2006). The little book that beats the market: John Wiley & Sons.
- Gustavsson, O., Strömberg, O., & Byström, H. (2017). Magic Formula Investment and The Swedish Stock Market. Bachelor’s Thesis. Lund University.
- Hartono, J. (2008). Portfolio theory and investment analysis. Yogyakarta: BPFE.
- Hartono, J. (2014). Portfolio Theory and Practice with Excel. Jakarta: Salemba Empat, 221-228.
- 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
- Institute, C. (2020). Portfolio Management in Practice, Volume 1: Investment Management (CFA Institute Investment Series): Wiley.
- 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
- Irham, F. (2015). Manajemen Investasi Teori dan Soal Jawab. Jakarta: Salemba Empat.
- Keuangan, D. S. A. (2007). Standar Akuntansi Keuangan. Salemba Empat. Jakarta.
- 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.
- ksei. (2021). Statistik Pasar Modal Indonesia. Retrieved from https://www.ksei.co.id/files/Statistik_Publik_Desember_2021.pdf
- Laopodis, N. T. (2020). Understanding investments: Theories and strategies: Routledge.
- Mujadiddah, S., Achsani, N. A., & Irfany, M. I. (2020). Short-term overreaction of Islamic stocks to specific events in Indonesia. Journal of Islamic Monetary Economics and Finance, 6(1), 117-134.
- 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
- OJK. (2021a). Statistik Saham Syariah - Desember 2020. Retrieved from https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Pages/-Statistik-Saham-Syariah---Desember-2020.aspx
- OJK. (2021b). Statistik Saham Syariah - Februari 2021. Retrieved from https://www.ojk.go.id/id/kanal/syariah/data-dan-statistik/saham-syariah/Pages/-Statistik-Saham-Syariah---Februari-2021.aspx
- 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.
- Pae, Y., & Sabbaghi, N. (2015). Equally weighted portfolios vs value weighted portfolios: Reasons for differing betas. Journal of Financial Stability, 18, 203-207.
- 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.
- Rani, P. (2019). Risk-Reward Agility of the Benjamin Graham and Joel Greenblatt? s Investment Philosophy in the Indian Stock Market. Risk, 3085, 492-498.
- 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.
- 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).
- Sugiyono. (2014). Metode Penelitian kuantitatif, kualitatif dan R & D (19th ed.). Bandung: Alfabeta.
- Syafitri, W., Effendi, J., & Irfany, M. I. (2022). Is there a Short-term Overreaction to Pandemic Covid-19?: A case study of the Indonesia Islamic Capital Market. al-Uqud: Journal of Islamic Economics, 6(2).
- Tandelilin, E. (2017). Pasar modal manajemen portofolio & investasi. Yogyakarta: PT Kanisius.
- Tannadi, B. (2019). Ilmu Saham: Elex Media Komputindo.
- Zimon, G. (2021). Working Capital. Encyclopedia, 1(3), 764-772.