Presenter(s)

John Tausch Gizzie

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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

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