Authors

Presenter(s)

Reed Thomas Aleck

Files

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Description

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.

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 Posters, School of Business Administration

United Nations Sustainable Development Goals

Quality Education

A Two-Factor Portfolio Weighting Model for 6 SPDR Sectors with Consumer Credit the

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