Abstract
The purpose of this study was to determine the performance of the stock portfolio using the momentum investment strategy on the Kompas100 index. The scope of this research area are companies incorporated in the Kompas100 Index listed in the Indonesia Stock Exchange for the period 2012-2017. The number of samples used was 53 samples. The method of data collection is done through non-participant observation and using two different test analysis techniques on average. Based on the results of data analysis it was found that the results of the two different test averages of Sharpe Index on the winner's portfolio get insignificant results and the loser portfolio gets significant results. This made no momentum but a contrarian strategy, where the loser portfolio measured by the Sharpe Index significantly decreased during the ownership period of 3, 6, 12 months and made the loser portfolio suffer prolonged losses. The results of this study reflect that contrarian strategy is a strategy used by investors to expect a reversal of stock returns at a certain time period, namely the rate of return that is initially positive or negative is expected to experience a reversal in a certain period of time.
 Keywords: stock portfolio performance, momentum investment strategy, Kompas100 index.
Highlights
The purpose of this study was to determine the performance of the stock portfolio using the momentum investment strategy on the Kompas100 index
companies incorporated in the Kompas100 Index listed in the
The method of data collection is done through non-participant observation
Summary
Penelitian ini akan dilakukan di perusahaan-perusahaan Indeks Kompas100 yang sahamnya tercatat di Bursa Efek Indonesia (BEI), dan aktif diperdagangkan selama periode Januari 2012 sampai dengan Desember 2017. Obyek penelitian ini adalah kinerja portofolio saham dengan menggunakan strategi investasi momentum pada perusahaan yang termasuk di dalam Indeks Kompas100 yang sahamnya tercatat di Bursa Efek Indonesia. Risk-adjusted portofolio winner-loser adalah pengukuran kinerja portofolio yang sudah memasukkan faktor risiko, di dalam penelitian ini menggunakan indeks Sharpe portofolio saham winner dan loser berdasarkan strategi investasi momentum pada perusahaan-perusahaan yang termasuk di dalam Indeks Kompas100 selama periode 2012 sampai 2017. Kriteria sampel dalam penelitian ini adalah saham-saham yang menerbitkan laporan tahunan dan terdaftar secara konsisten selama 5 tahun pada Indeks Kompas 100 di Bursa Efek Indonesia (BEI) periode 2012-2017.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
