Open AccessKINERJA PORTOFOLIO SAHAM BERDASARKAN STRATEGI INVESTASI MOMENTUM PADA INDEKS KOMPAS100
Author(s) -
Putu Riska Yunita Srinandari,
Ni Luh Putu Wiagustini
Publication year - 2019
Publication title -
e-jurnal manajemen
Language(s) - English
Resource type - Journals
ISSN - 2302-8912
DOI - 10.24843/ejmunud.2019.v08.i09.p07
Subject(s) - contrarian , portfolio , sharpe ratio , momentum (technical analysis) , investment strategy , stock exchange , econometrics , economics , index (typography) , financial economics , stock (firearms) , monetary economics , computer science , finance , geography , archaeology , world wide web , market liquidity
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.