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 ???