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The Effectiveness of a Momentum Strategy for Internet Stocks.ppt

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The Effectiveness of a Momentum Strategy for Internet Stocks.ppt Powered By Docstoc
					     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
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
 Portfolio Turnovers
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
     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)       0.96
Average      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 ???

				
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posted:10/24/2012
language:English
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