Authors

Files

Download

Download Full Text (211 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 poster

Comments

Presenter: Brendan James McDonnell

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

Share

COinS