Hirschey, Nicholas H.Vasco, Tiago Senra Casanova2024-10-142024-10-142024-01-242023-12-19http://hdl.handle.net/10362/173439The 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.engConsumer behaviorQuantitative strategiesMarket signalsConsumer spendingmaster thesis203603516