Open AccessPerformance Analysis of Investment Portfolio Strategy Using Warren Buffett, Benjamin Graham, and Peter Lynch Method in Indonesia Stock Exchange
Author(s) -
Ganda Hengky Wirawan,
Erman Sumirat
Publication year - 2021
Publication title -
european journal of business and management research
Language(s) - English
Resource type - Journals
ISSN - 2507-1076
DOI - 10.24018/ejbmr.2021.6.4.1040
Subject(s) - treynor ratio , sharpe ratio , stock exchange , portfolio , financial economics , economics , stock market , stock (firearms) , risk–return spectrum , econometrics , modern portfolio theory , market portfolio , actuarial science , mathematics , history , finance , context (archaeology) , archaeology
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 analyzing 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 (β) nearly the same with one (1) means that the portfolios are having same risk with its systematic (market) risk.