Studies that show market/sector incfluence on stock perfroma

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kjm
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Joined: Wed Aug 26, 2009 1:05 pm

Studies that show market/sector incfluence on stock perfroma

Post by kjm »

I remember seeing statistics somewhere online that reflect academic research done to determine how much of a stock's performance is due to the actual stock itself, how much is due to the sector's performance, and how much is due to the impact of the broader market. These statistics were expressed as percentages. It looked something list this: '60% of a stock's performance is due to overall market conditions, 30% is the result of the sector a stock is in, 10% of performance is due to the quality of the security itself.' I just pulled these numbers out of thin air, I'm interested in the real numbers and maybe a study that backs up the numbers. Can someone point me in the right direction? Thanks.
Topic Author
kjm
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Joined: Wed Aug 26, 2009 1:05 pm

Post by kjm »

Really? No one has run into these numbers before? I'm trying to extol the virtues of indexing to a friend, and I want to be able to point to some numbers.
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Taylor Larimore
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Location: Miami FL

Policy (Asset Allocation) and Performance

Post by Taylor Larimore »

Hi kjm:

Perhaps these are the numbers you are looking for:

Does Asset Alloction Policy Explain 400, 90, or 100% of Performance?
"Simplicity is the master key to financial success." -- Jack Bogle
Topic Author
kjm
Posts: 54
Joined: Wed Aug 26, 2009 1:05 pm

Post by kjm »

Thanks Taylor, but that's not quite what I was looking for. Do you know of any study that proves total returns are more closely tied to overall asset allocation than the individual stocks/bonds one owns? Thanks!!!
EyeDee
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Joined: Tue Feb 20, 2007 12:15 am

Asset Allocation

Post by EyeDee »

.
You might want to research the Brinson, Hood, and Beebower Asset Allocation studies. Wikipedia talks about them here: http://en.wikipedia.org/wiki/Asset_allocation
Randy
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