Performance Evaluation of Momentum Strategy using 52-week high data in Indonesia Stock Exchange period 2012-2016

Abstract

A majority of the investors in the stock market always think that the right time to buy a stock is when there is a decline in stock price in the market. But in the real market, not all stock which declines will return to the highest level. There are several stocks which still continue to rise, and even break its highest level. The objective of this research is to evaluate the performance of momentum strategy using 52-week high data in the Indonesia Stock Exchange. This research uses monthly data of LQ45 from January 2012 until December 2016. The portfolio which is formed then will be backtested using portfolio attribution. The result shows that momentum strategy using 52week high is able to generate the return but still below the Jakarta Composite Index. The 52-week high strategy is more effective to generate the abnormal return in small capitalization companies.