A Two-Factor Portfolio Weighting Model for 6 SPDR Sectors with Consumer Credit the "State" Economic Variable: An Empirical Analysis 2009-2019
Reed Thomas Aleck
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The first objective of this study is to test the hypothesis that the state economic variable U.S. consumer credit is a priced in risk factor in the U.S. equity market. A second objective is to determine if a consumer credit derived factor weighted portfolio model shows persistence in generating excess returns over the broad market index S&P 500 over a long period of time. The period of analysis is 2009-2019. The actual factor weights are long and short term price momentum for the 6 SPDR sector ETFs: (1) Consumer Staples, (2) Consumer Discretionary, (3) Industrials, (4) Healthcare, (5) Information Technology, and (6) Financials. Two portfolio models are evaluated: (1) constant share model and (2) adjustable shares model.
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 Weighting Model for 6 SPDR Sectors with Consumer Credit the "State" Economic Variable: An Empirical Analysis 2009-2019" (2021). Stander Symposium Projects. 2283.