A Two-Factor Portfolio Model for 6 SPDR Sectors with Industrial Production the “State” Economic Variable: An Empirical Analysis 2009-2019
Nicholas Allen Cragon
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In this study, I follow the Stephen Ross/Robert Merton approach and develop a portfolio factor weighting model for 6 SPDR sectors using the "State" economic variable Industrial Production as my principal factor loading. The 6 SPDR sectors making up my portfolio are: (1) Consumer Staples, (2) Consumer Discretionary, (3) Healthcare, (4) Industrials, (5) Information Technology, and (6) Utilities. I test two hypotheses: (1) the 6 SPDR sector Industrial Production factor weighting model generates excess returns over the broad market index S&P 500 i.e. it is a priced-in risk factor. (2) It has persistence in excess returns over a long period of time. The period of analysis is 2009-2019, a long-term bull market for U.S. equities.
Tony S. Caporale, Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium project, School of Business Administration
United Nations Sustainable Development Goals
"A Two-Factor Portfolio Model for 6 SPDR Sectors with Industrial Production the “State” Economic Variable: An Empirical Analysis 2009-2019" (2021). Stander Symposium Projects. 2274.