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The materials sector performance has had a challenging time over the last few years. A slow down in China and Europe certainly have been contributing factors in XLB's weak performance. In this study, I evaluate a portfolio weighting model based on capture ratios. The covariance in price peformance between large-cap stocks in the materials sector and the market (S&P 500). In this study I use a concentrated portfolio of the 10 biggest cap-weighted stocks in XLB and weight their position in the portfolio by upside/downside capture ratios. I then test the following hypotheses; 1.)The 10 materials stocks portfolio weighted by upside/downside capture ratios outperforms the market (S&P 500) 2.) The upside/downside capture ratio weighted concentrated portfolio of materials stocks outperforms XLB and 3.) The concentrated portfolio of materials stocks, performance wise, compares favorably to other weighting strategies.

Publication Date


Project Designation

Independent Research

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics & Finance


Stander Symposium poster


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