Presenter(s)

    Sarah Claiborne, Sean Dee

    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

    5Y Sector CAGR by Return and Rank since 1990

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