Presenter(s)

    Michael Jablonski, Chasen Kern

    Comments

    9:00-10:15, Kennedy Union Ballroom

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    Description

    For our project, we calculated the single year return for each of the sectors of the S&P 500 (excluding real estate) since January 1, 1990. After calculating the single year return, we created a table to visualize returns compared to the benchmark. In this table, we can observe how industries returned nominally when directly related to the S&P 500. This table reaffirms our findings in the 5-year period as each sector can have multiple years of either over or underperforming the index. This allows us to conclude that performance in a single year does not necessarily drive a mean reverting tendency in a one-year period but may possess a mean reverting tendency over a longer time frame. The next step in confirming this would be creating a regression that lags the performance of each sector. This can help us determine with statistical confidence over various time periods. In the short-term momentum appears to be a determinate of results, but potentially shifting as the time gets stretched longer.

    Publication Date

    4-23-2025

    Project Designation

    Independent Research

    Primary Advisor

    Henry G. Willmore

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium, School of Business Administration

    Single Year Sector Return Compared to S&P 500 since 1990

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