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

Title

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

Authors

Files

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 poster

Comments

Presenter: Will Luis Perez

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

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