Presenter(s)

    John Tausch Gizzie

    Download

    Download Project (421 KB)

    Description

    The efficient market hypothesis suggests technical analysis has no role to play in determining stock or portfolio returns. In practice, however, a large number of investment managers employ technical analysis to generate excess returns or alpha relative to the market. In this study, I test an intermediate, to long-term horizon technical analysis measure, the 200 day moving average (MA200), to determine if it generates portfolio alpha. The top ten stocks by market value in the SPDR sectors Consumer Discretionary (XLY), Information Technology (XLK), and Health Care (XLV) are treated as stock portfolios and each stock’s MA 200 is used as the portfolio weighting metric. The weighting decision rules are: (1) P>MA200 receives higher weights and (2) PS&P 500 ETF (SPY).

    Publication Date

    4-18-2018

    Project Designation

    Independent Research

    Primary Advisor

    Tony S. Caporale, Robert D. Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project

    Technical Analysis and S&P 500 Sector Returns, 2010-2016

    Share

    COinS