Value at Risk of Momentum Investment Strategy: Indonesia's Liquid Stocks Portfolio
The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid shares in Indonesia stock exchange period 2008-2016. The purpose of this study are to analyse the value of momentum investment strategy risk reduction with the Value at Risk approach to historical-volatility approach and examine differences in risk reduction performance by winner and loser portfolios formed from a collection of liquid shares in the Indonesia stock exchange for the period 2008-2016. The stocks selection method in forming winners and losers portfolio done by Jegadesh and Titman procedure (1993) followed by calculation of risk reduction with the VaR-HisVol approach. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk reduce than loser.