Presenter(s)

Chris P. Sammons, Jessica Thomas

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Description

The purpose of this study is to determine which S&P 500 sectors outperform in four types of markets. The first market is a long-term market that includes a series of upswings and downswings with an overall upward trend. We use the time period 2005-2011 to represent this type of market period. The second type of market, a downswing market, is represented by the time period 1/1/08-3/31/09. The third type of market, an upswing market, is represented by the time period 3/31/09-12/31/10. The fourth type of market is a trading range, or overall flat market, and is represented by the 12 months in 2011. Upside and downside capture ratios are calculated for all four market for all 10 S&P 500 sectors and compared for outperformance. Results are forthcoming.

Publication Date

4-18-2012

Project Designation

Independent Research

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Upside/Downside Capture Ratios and S&P 500 Sector Returns in Volatile Markets

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