Fundamentals Based Stock Weighting for Concentrated Portfolios in the Industrials Sector: An Empirical Analysis, 2009-2017

Title

Fundamentals Based Stock Weighting for Concentrated Portfolios in the Industrials Sector: An Empirical Analysis, 2009-2017

Authors

Files

Description

More and more Exchange Traded Funds (ETF's) are using fundamentals based factor weighting (FBFW) to enhance performance and generate alpha. In this study I develop a two factor weighting model for a concentrated portfolio of 10 and 20 stocks in the S&P500 Industrial Sector ETF XLI. I use sales growth and relative price change as my weighting factors and test two hypotheses (1) Concentrated stock portfolios with FBFW models can outperform the broad market over long periods of time and (2) Concentrated stock portfolios with FBFW models can outperform their market weighted sector counterparts 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 poster

Comments

Presenter: Will Luis Perez

Fundamentals Based Stock Weighting for Concentrated Portfolios in the Industrials Sector: An Empirical Analysis, 2009-2017

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