Brandon M. Capicotto, Ryan D. Hunn



Download Full Text (207 KB)


The purpose of this study is to determine the odds or probability that an S&P 500 sector will have positive returns when the market has positive returns. Using monthly data for the ten S&P 500 sectors and the S&P 500, a linear probability model was developed for three time periods: (1) the complete 2005-2010 period, (2) the market downswing period, 12-31-07 to 3-31-09 and (3) the market upswing period, 3-31-09 to 12-31-10. For each of the periods we also calculated the average positive return for each sector. Using 2011 as the forecasting period based on the number of months of positive returns for the S&P 500 in 2011, we estimate the number of positive returns and the average expected return for each sector. Because 2011 has very distinct upswing and downswing periods, we develop our forecast estimate for these periods using the probability outcomes for the upswing and downswing periods sited above. The estimates are then matched against actual results in 2011. Results are forthcoming

Publication Date


Project Designation

Independent Research

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Economics and Finance


Stander Symposium poster

A Linear Probability Model of the Likelihood of Positive Returns for the S&P 500 Sectors, 2005-2001