I recently heard a fund manager asked why he focused on the Technology sector. He replied that there was a study done showing that the alpha concentration was the highest in the Technology sector. I wanted to verify if this was true, so I conducted my own study using the Quantopian data. After looking at the data I determined that there was higher alpha in certain sectors but Technology was not the highest. Although Technology did improve for longer holding times. The second finding was that the advantage that certain sectors have appears to be relatively stationary. I hope you find these results useful.
Feedback is welcome and appreciated.
A detailed explanation of the method is included inside the notebook along with all the relevant code.