Backtesting Adaptations of Greenblatt's Magic Formula on Indonesian Stock Exchange

M NAGA ABHISTA K, Marshall Xiayin Ma, Ph.D.

2022 | Skripsi | S1 MANAJEMEN

Penelitian ini berfokus pada penerapan Greenblatta's magic formula (2006) dan beberapa adaptasi sederhananya di Bursa Efek Indonesia selama periode April 2006 hingga April 2022. Selama periode sampel penuh, semua variasi magic formula yang diuji mampu mengungguli pasar dengan portofolio GMF30 menunjukkan CAGR 28,05% sebagai portofolio berkinerja terbaik sedangkan indeks JKSE mengembalikan CAGR 7,83%. Atas dasar penyesuaian volatilitas, GMF30 menghasilkan rasio Sharpe 0,89 dan rasio Sortino 1,78 sedangkan JKSE menghasilkan rasio sharpe 0,17 dan rasio Sortino 0,26. Namun, penelitian ini menemukan bahwa kinerja formula ajaib asli dan adaptasinya jauh lebih tinggi selama paruh pertama periode penelitian (2006-2013) dibandingkan dengan paruh kedua (2014-2021).

This study focus on applying Greenblatta's magic formula (2006) and some of its simple adaptations in the Indonesian Stock Exchange over the period of April 2006 to April 2022. Over the full sample period, all tested variations of the magic formula are able to outperform the market with GMF30 portfolio showing 28.05% CAGR as the best performing portfolio whereas the JKSE index return 7.83% CAGR. On a volatility adjusted basis, the GMF30 earns a 0.89 Sharpe ratio and a 1.78 Sortino ratio whereas the JKSE yields a sharpe ratio of 0.17 and a Sortino ratio of 0.26. Though, this study found the performance of the original magic formula and its adaptations to be far greater in magnitude over the first half of the study period (2006-2013) in comparison to the latter half (2014-2021).

Kata Kunci : Magic Formula, JKSE, Greenblatt, Value, Indonesia