does momentum matter ? using daily returns to create trading strategies for internet stocks
DESCRIPTION
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. - PowerPoint PPT PresentationTRANSCRIPT
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
• 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
• 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
-
20
40
60
80
100
120
140
160
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
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
Val
ue
of
1 d
oll
ar i
nve
sted
Buy Top
Sell Bottom
Momentum Portfolio
Benchmark
Contrarian
Sell Top
Buy Bottom
Portfolio Turnovers
0
5
10
15
20
25
30
35
40
45
50
Nu
mb
er
of
Sto
cks T
rad
ed
Top Portfolio
Bottom Portfolio
Top + Bottom Portfolio
Benchmark
Portfolio Top Bottom Top + Bottom Benchmark
Average 8.17 8.27 16.44 0.57 STD 1.28 1.27 1.96 2.74 Min 4.00 4.00 10.00 - Max 10.00 10.00 20.00 44.00
Best Strategy: Buy Bottom 10
0.00
2.00
4.00
6.00
8.00
10.00
12.00
14.00
16.00
18.00
Val
ue
of
1 d
oll
ar i
nve
sted
Benchmark
Buy Bottom
Summary Results
Portfolio Buy Top Sell Bottom Momentum Benchmark Contrarian Sell Top Buy Bottom
Betas 1.19 (0.95) 0.24 1.00 (0.24) (1.19) 0.96Average 0.17% -1.02% -0.85% 0.37% -0.14% -0.66% 0.53%
STD 4.18% 3.56% 4.47% 2.53% 4.47% 4.17% 3.56%Min -16.06% -16.89% -19.10% -12.79% -28.24% -33.59% -13.76%Max 33.23% 13.22% 27.40% 11.28% 18.02% 15.76% 16.29%# 1 7 1 0 3 5 4 7# 2 3 2 1 8 5 4 4# 3 5 2 4 5 1 2 8# 4 1 1 6 7 7 1 4# 5 3 8 3 4 3 4 2# 6 6 6 5 0 5 4 1# 7 2 7 8 0 1 8 1
Q&A ???