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Over the last decade, based on the pioneering work of Rob Arnott, a growing number of investment managers are now using fundamental indicators to determine portfolio weights for stocks within exchange traded funds (ETFs). In this study I use fundamental metrics to evaluate the performance of three sector ETFs. In addition, I test the efficacy of using a concentrated portfolio of stocks for each sector as a proxy for total sector performance. The sector ETFs included in the study are consumer staples, consumer discretionary, and health care. The fundamental metrics used are Price to Book, Price to Sales, Price to Cash Flow, Price to Earnings and expected earnings per share growth one year ahead. The year of analysis is 2014.

Publication Date


Project Designation

Independent Research

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics & Finance


Stander Symposium poster

Fundamentally Based Portfolio Weighting Models: A Multi-Factor Approach