Presenter(s)
Casey (Patrick) Casey Marsh
Files
Download Project (320 KB)
Description
In recent years a large number of Exchange Traded Funds (ETFs) have opted for fundamentals based portfolio stock weights rather than equal-weighted or market value weighted. Fundamentals-based weighting models are often referred to as smart beta models because they create stock betas more closely aligned with a stock's intrinsic value. In this study I developed a smart beta portfolio weighting model for the SPDR Healthcare Sector. I selected the top 20 Healthcare Sector stocks by market value as my test portfolio and based on a three year moving average of earnings per share I generated portfolio weights using the inverse coefficient of variation (1/Covariation). Since (1/Cov) is essentially a return-risk ratio, I gave higher weights to stocks with higher return-risk ratios. The portfolio weighting model is re-balanced annually. Portfolio Performance is calculated for the years 2009-2017 and the benchmark is the S&P 500 ETF (SPY).
Publication Date
4-18-2018
Project Designation
Independent Research
Primary Advisor
Tony S. Caporale, Robert D. Dean
Primary Advisor's Department
Economics and Finance
Keywords
Stander Symposium project
Recommended Citation
"A Smart Beta Portfolio Model fo the SPDR Healthcare Sector: An Empirical Analysis, 2009-2017" (2018). Stander Symposium Projects. 1158.
https://ecommons.udayton.edu/stander_posters/1158