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Description

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

4-9-2016

Project Designation

Independent Research

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics & Finance

Keywords

Stander Symposium poster

Disciplines

Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

Capture Ratio Analysis and The Materials Sector XLB: A Performance Review for 2010-2015

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