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Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks

Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks. BA 453 - International Investments The Fuqua School of Business. Presented by: Juan Pablo de Miguel Matthias Hoffmann Bernardo Martinez Sergio Penchas Will Walker.

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Does Momentum Matter ? Using Daily Returns to Create Trading Strategies for Internet Stocks

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  1. Does Momentum Matter ?Using Daily Returns to Create Trading Strategies for Internet Stocks BA 453 - International Investments The Fuqua School of Business Presented by: Juan Pablo de Miguel Matthias Hoffmann Bernardo Martinez Sergio Penchas Will Walker

  2. Introduction • Sample: 9/17/97 - 12/31/00 • Data: daily returns of up to 143 internet stocks • Portfolio Selection based on last day’s top 10 performers and bottom 10 performers • Transaction costs: nominal fee and bid-ask spread

  3. Assumptions • Commission Fee: $6 / trade • Bid / Ask Spread: 0.30% • Portfolio Size: $50 million • Turnover buy/hold equal-weighted portfolio: 10%

  4. Number of Stocks in the Sample

  5. Portfolios • Buy Top Performers • Buy Bottom Performers • Sell Top Performers • Sell Bottom Performers • Momentum (Buy Top / Sell Bottom) • Contrarian (Sell Top / Buy Bottom) • Benchmark (Equal-Weighted Buy / Hold)

  6. Results

  7. Portfolio Turnovers

  8. Best Strategy: Buy Bottom 10

  9. Summary Results

  10. Q&A ???

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