Bibliographic record
Abstract
ABSTRACT This study examined performance of U.S. stock market during nineties, concentrating on performance of various industry sectors. study examined quarterly rates of return earned by stocks in various industry groups and performance of stock market as measured by Standard and Poor's 500 index. data used for this study covered a period beginning first quarter of 1990 through second quarter of 2001. study focused on both returns and risk provided by various industry sectors of stock market. profitability of various sector rotation strategies was also examined in this study. optimal strategy was a rebalancing of portfolio every quarter with stocks in industries that outperformed market in prior quarter. This strategy provided a very attractive risk-return portfolio characteristic and was also able to hold on to gains when market turned at start of new millennium. INTRODUCTION In recent years, with advent of index stocks traded on AMEX and other exchanges, a strategy of sector switching combined with momentum investing suddenly has become more cost effective as a whole basket of stocks can be purchased and sold with minimal transactions costs. This study examined possibility of earning excess rates of return based on a momentum identification strategy over decade of nineties. switching strategy was based on measuring momentum of stock market rates of return of various industry sectors in United States. On other hand, contrarian approach to investing suggests that over long term, all investment returns tend to regress toward their normal risk adjusted rate of return, in which case an industry that has under-performed in a given period will likely outperform market during next period. LITERATURE REVIEW A number of studies in past have found both positive and negative serial correlation of returns over different time periods based on different rebalancing Chan, Jegadeesh and Lakonishok found that strategies based on past returns provided significant returns over a horizon from six months to one year. They believe The source of these momentum profits may be tendency of at least some investors to chase past trends. These investors may rush to buy past winners and dump past losers, resulting in temporary price drifts for these stocks. Swinkels conducted a similar study in international context. His study examined momentum effect for Europe and Japan. His findings were that there was a significant momentum effect for Europe whereas it was nonexistent for stocks in Japan. Schiereck, De Bondt and Weber examined contrarian and momentum strategies in Germany. Their study examined returns and earnings of all major German companies over a period 1961-1991. They found that --what is perhaps most surprising is how closely results for Germany match findings for United States--Maybe general traits in human behavior and psychology overcame these differences--in social, cultural, and economic environment. Rouwenhorst found that international momentum returns are correlated with those of United States. His study covered 12 countries and found an internationally diversified portfolio of past winners outperformed past losers by about one percent per month. He believes that the exposure to a common factor may drive profitability of momentum strategies. METHODOLOGY This study used United States stock market price data to test following hypotheses: H0a: It is not possible to earn an excess risk-adjusted rate of return on stocks with a sector rotation strategy based on industry momentum. H1a: It is possible to earn an excess risk-adjusted rate of return on stocks with a sector rotation strategy based on industry momentum. H0b: It is not possible to earn an excess risk-adjusted rate of return on stocks with a sector rotation strategy based on a contrarian approach to industry momentum. …
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".