ANALYSIS OF INVESTMENT PORTFOLIO STRATEGY USING BUFFETT, GRAHAM, AND LYNCH METHOD IN IDX

• Main Author: Hengky Wirawan, Ganda
• Format: Theses
• Language: Indonesia
• Subjects: Manajemen umum
• Online Access: https://digilib.itb.ac.id/gdl/view/57354
• Institution: Institut Teknologi Bandung

Warren Buffett, Benjamin Graham, and Peter Lynch are three (3) famous investors’ gurus in the world that have already proved that they can outperform the market by value investing method. Method that they are using are based on fundamental analysis and they screen the company’s stock based on several key financial ratios and criteria that they found important in analysing the company. In this project, Author conducted research and study to find out the applicability of the screening method made by the gurus in Indonesia Stock Exchange (IDX) using equally weighted method, back testing it in May 2012 until December 2020 periods, and evaluate the performance of each type of portfolios made using Sharpe ratio, Treynor ratio, and Jensen’s alpha. The result of this project is all type of these portfolios are having positive risk adjusted returns. Peter Lynch type of portfolio is having the highest annualized return 24.04 % or 613 % cumulative return, while Warren Buffett and Benjamin Graham are having annualized returns 9.42 % (or cumulative return 216.48%) and 8.3 % (or cumulative return 198.27%) respectively. Moreover, Author found that those three types of portfolios are having beta (?) nearly the same with one (1) means that the portfolios are having same risk with its systematic (market) risk. The limitation of this research is on the fundamental quantitative aspects based on previous historical financial statement data and excluded earnings growth projection, back testing period from May 2012-December 2020 and using equally weighted method for stock’s portfolio weighting. Author hopes that in the future research can accommodate earnings growth projection, longer back testing period, and using portfolio weighting as suggested in their books.