Presenter(s)
Jacob James Willmann
Files
Download Project (191 KB)
Description
Smart beta models are essentially factor weighting models with a focus on fundamental based stock weights (FBSW). A growing number of investment managers are now using them to generate increased alpha over their performance benchmarks. In this study I use a two factor weighting model for 10 and 20 stock concentrated portfolios in the S&P 500 Information Technology Sector ETF (XLK). I use sales growth and relative price change as my weighting factors and test two hypotheses: (1) FBSW models will outperform the broad market (S&P 500) over long periods of time and (2) FBSW models will outperform their sector counterpart over long periods of time. The period of analysis is 2009-2017.
Publication Date
4-24-2019
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 Concentrated Portfolio Model for the Information Technology Sector: An Empirical Analysis, 2009-2017" (2019). Stander Symposium Projects. 1437.
https://ecommons.udayton.edu/stander_posters/1437