| Technically, there are two strategies that could be used in investment analysis, momentum and contarian strategies.The Momentum strategy is by contrast quite fashionable, as it promise excess return as well as an avoidance of positions which are against market trends. Those who belive in this strategy would buy stock when the price in increasing. On the Contrarian, those who believe in this strategy would buy stock when the price is decreasing. Furthermore, we could make two portfolios from these strategies, Momentum and Contrarian portfolio. Some studies in United State of America (USA) (Sheifer, Thaler, Jagadesh and Titman) Showed that: 1. In less than a year, Momentum Portfolio would give a better result than Contrarian portfolio; and 2. For 5-yaer-period, Contrarian portfolio would give a better result than Contrarian portfolio. Based on studies in USA, researcher would like to conduct similar study, with data from Bursa Efek Jakarta (BEJ) period January 2001 to December 2003. In this study, researcher formed two portfolios: 1. Momentum Portfolio, from top gainer stocks in December 2000, 2. Contrarian Portfolio, from top losser stocks in December 2000. Performance of these portfolio would be compared with Treynor method, Sharpe method and Jensen’s differential return, for three years in a row. Portfolio with higher result indicated a better one thab the other portfolio. The study was conducted using secondary data ( Januari 2001 to December 2003 ) from 38 listed companies with active stocks in BEJ. The result showed that for a 3-year-period, with Treynor method, Sharpe method, and Jensen’s differential return, Contrarian portfolio performance was giving a better result than Momentum portfolio. |