Nicholas C. Jacobs
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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.
Trevor C Collier
Primary Advisor's Department
Economics and Finance
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"Capture Ratio Analysis and The Materials Sector XLB: A Performance Review for 2010-2015" (2016). Stander Symposium Posters. 725.
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