Fundamentals Based Stock Weighting for Concentrated Portfolios in the Industrials Sector: An Empirical Analysis, 2009-2017
Will Luis Perez
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.
Tony S. Caporale, Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium project
"Fundamentals Based Stock Weighting for Concentrated Portfolios in the Industrials Sector: An Empirical Analysis, 2009-2017" (2019). Stander Symposium Projects. 1469.