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Analyzing the dynamic relationship between consumer spending patterns and stock market sector performance
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| 1.59 MB | Adobe PDF |
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The study delves into the performance of the MRTS 452 – General Merchandise Stores
signal across 32 years, linking it to the 12 Industry Portfolios from Fama-French. In contrast to
findings in smaller time frames, the signal did not replicate similar risk-adjusted performance
for the Consumer Discretionary/Durable sector. However, the combination of the 12 sectors into
a Long-Short strategy emerged as a resilient approach, exhibiting heightened diversification,
effective risk mitigation, and adaptability to varying market conditions. This strategy excelled
in managing downside risk, challenging the efficient hypothesis. Concurrently, the Long-Only
portfolio demonstrated superior overall returns and lower volatility, outperforming the
benchmark.
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Consumer behavior Quantitative strategies Market signals Consumer spending