Presenter(s)

    Benjamin Louis France

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    Description

    In this study I develop a five SPDR sector portfolio with the principal factor U.S wages and salaries. I use three measures of wages and salaries: (1) Wages and Salaries-Private (WS-P) (2) Wages and Salaries-Goods (WS-G) and (3) Wages and Salaries-Services (WS-S). The SPDR sectors included in my portfolio weighting model are (1) Consumer Staples, (2) Consumer Discretionary, (3) Industrials, (4) Healthcare, and (5) Information Technology. Using monthly data over the 2009-2019 time period, I regress Wages and Salaries on the Price Index for each SPDR sector to obtain a long-term measure of sector price momentum (the regression slope coefficients). The long-term price momentum becomes the original sector portfolio weight which in turn determines the beginning shares held in a sector. After the first year, the original shares are adjusted up or down based on the yearly changes in each sector's price index. I test two hypotheses: (1) The five SPDR sector portfolio outperforms the S&P 500 over the 2009-2019 time period i.e, the state economic variable is a priced in risk factor. (2) The five SPDR sector portfolio shows persistence in excess returns over the S&P 500.

    Publication Date

    4-22-2021

    Project Designation

    Independent Research

    Primary Advisor

    Tony S. Caporale, Robert D. Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project, School of Business Administration

    United Nations Sustainable Development Goals

    Quality Education

    A Two Factor Portfolio Weighting Model with Wages and Salaries as the State Economic Variable: An Empirical Analysis 2009-2019

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