Chris P. Sammons, Jessica Thomas
Download Project (163 KB)
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.
Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Upside/Downside Capture Ratios and S&P 500 Sector Returns in Volatile Markets" (2012). Stander Symposium Projects. 173.