1 / 14

US and World’s Industries: An Analysis of Returns & Correlations

US and World’s Industries: An Analysis of Returns & Correlations. Presented by New Millenium Capital Julie Bowser Tommy Kriengprarthana Klao Sanasen Courtenay Sturdivant February 26, 1999. Agenda. Project Overview Methodology Data Analysis Return – Sharpe Ratio

ceri
Download Presentation

US and World’s Industries: An Analysis of Returns & Correlations

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. US and World’s Industries:An Analysis of Returns & Correlations Presented by New Millenium Capital Julie Bowser Tommy Kriengprarthana Klao Sanasen Courtenay Sturdivant February 26, 1999

  2. Agenda • Project Overview • Methodology • Data Analysis • Return – Sharpe Ratio • Volatility – Correlation • Regression Results • Conclusion

  3. Project Overview Task: To examine equity returns of the world’s industries when the US market performs well and badly.

  4. Methodology

  5. Data Analysis

  6. Data Analysis

  7. Data Analysis

  8. Data Analysis

  9. Data Analysis

  10. Data Analysis

  11. Regression Results

  12. Regression Results LOW Fractile (BEST) Coefficients T-stat Constant (0.04956) -9.5 Diff(T-Bond Yield, 1) (0.02031) -1.7 Electricity, Lag 2 (0.14774) -1.4 Defensive industry ConsumerGoods, Lag 2 (0.44514) -2.9 Defensive industry 3.6 Leisure, Lag 1 0.44555 Moves with market Metals, Lag 1 (0.32460) -2.6 Defensive industry R-squared 40.32% Standard Error Est. 0.0266311 HIGH Fractile (BEST) Coefficients T-stat Constant 0.06979 22.3 Diff(U.S. Inflation, 1) (0.01736) -2.0 2.8 Airlines, Lag 1 0.19020 High Beta, Moves with market Chemicals, Lag 2 (0.17363) -2.3 2.4 Health, Lag 2 0.16303 High Beta, Moves with market Metals, Lag 1 (0.21803) -3.0 R-squared 27.63% Standard Error Est. 0.0173702

  13. Conclusion • Betas/coefficients change over time and market. • HIGH fractile - inflation more significant • LOW fractile - Bond yields • Most important variable for predicting industry returns is the bond yields. • Strategy for investing in different market situations.

  14. Questions?

More Related