Presenter(s)

    Brendan James McDonnell

    Download

    Download Project (184 KB)

    Description

    Rules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are increasingly being used by investment managers to enhance portfolio performance. In this study, I develop a fundamentals base 2 factor portfolio weighting model for 10 and 20 stock (concentrated) Portfolios in the S&P 500 Healthcare sector (XLV). I compare the the returns for these concentrated portfolios to the returns for the S&P 500 Index, ETF SPY, and the SPDR Healthcare Sector ETF, XLV. My sector weights are sales growth and relative price change, and the period of analysis is 2009-2017. I test the hypothesis that a rules based portfolio of stocks will outperform a broad based passive index (SPY) and its sector counterpart (XLV).

    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

    A Comparative Analysis of Rules Based Versus Passive Index Portfolio Returns (2009-2017)

    Share

    COinS