Does momentum matter using daily returns to create trading strategies for internet stocks
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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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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


Introduction

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


Assumptions

Assumptions

  • Commission Fee: $6 / trade

  • Bid / Ask Spread: 0.30%

  • Portfolio Size: $50 million

  • Turnover buy/hold equal-weighted portfolio: 10%


Number of stocks in the sample

Number of Stocks in the Sample


Portfolios

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)


Results

Results


Portfolio turnovers

Portfolio Turnovers


Best strategy buy bottom 10

Best Strategy: Buy Bottom 10


Summary results

Summary Results


Does momentum matter using daily returns to create trading strategies for internet stocks

Q&A ???


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