Presenter(s)

    Will Luis Perez

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    Description

    Based on Rob Arnott’s foundational work on using stock fundamentals to weigh portfolios of stocks, I developed a smart beta portfolio weighting model for the top 20 stocks by market value in the SPDR Industrial Sector. The model uses a portfolio weighting factor based on the coefficient of variation (COV). In essence, a stock gets a higher weight if the 1/COV (the return-risk ratio) is higher compared to other stocks. A three year moving average of earnings per share is used to calculate the return/risk ratio for each stock. The return-risk ratios are updated yearly with actual portfolio returns generated for the years 2009-2017. The performance 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

    A Smart Beta Portfolio Model for the SPDR Industrial Sector: An Empirical Analysis, 2009-2017

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