A Fundamentals Based Portfolio Weighting Model for the Information Technology Sector: An Empirical Analysis: 2009-2017
A central proposition in finance theory is that investors are risk averse and attempt to minimize the risk relative to expected returns regardless of the particular asset class being considered as an investment. In this study, I combine a fundamentals-based approach to portfolio weighting with a measure of return relative to risk to generate portfolio performance for the Top 20 Stocks by market value in the SPDR Information Technology Sector. I use a three-year moving average of each stock’s earnings per share to calculate the inverse of the coefficient of variation (1/cov), a return-risk ratio. Higher portfolio weights are given to stocks with higher 1/cov ratios. Stock weights are recalculated each year so that the portfolio is rebalanced annually. The initial investment is $1,000,000. Portfolio returns are generated for the years 2009-2017 and the performance benchmark is the SPDR S&P 500 ETF (SPY).
Tony S Caporale, Robert D Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"A Fundamentals Based Portfolio Weighting Model for the Information Technology Sector:
An Empirical Analysis: 2009-2017" (2018). Stander Symposium Posters. 1129.