A Comparative Analysis of Rules Based Versus Passive Index Portfolio Returns (2009-2017)
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).
Tony S Caporale, Robert D Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"A Comparative Analysis of Rules Based Versus Passive Index Portfolio Returns (2009-2017)" (2019). Stander Symposium Posters. 1508.