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 Regression Results Return – Sharpe Ratio Volatility – Correlation Regression Results Conclusion New Millenium Capital

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

Methodology New Millenium Capital

Data Analysis New Millenium Capital

Data Analysis New Millenium Capital

Data Analysis New Millenium Capital

Data Analysis New Millenium Capital

Data Analysis New Millenium Capital

Data Analysis New Millenium Capital

Regression Results New Millenium Capital

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 Leisure, Lag 1 0.44555 3.6 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 Airlines, Lag 1 0.19020 2.8 High Beta, Moves with market Chemicals, Lag 2 (0.17363) -2.3 Health, Lag 2 0.16303 2.4 High Beta, Moves with market Metals, Lag 1 (0.21803) -3.0 R-squared 27.63% Standard Error Est. 0.0173702 New Millenium Capital

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. New Millenium Capital

Questions? New Millenium Capital