Presenter(s)

William A Binnie

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Description

The Information Technology Sector has experienced very uneven price performance since the 2008 recession. Slower growth globally as well as in the United States clearly has contributed to this uneven performance. In this study I examine whether or not a different portfolio weighting scheme based on more volatile market price dynamics provides a better mean - variance efficient performance for XLK. Using a concentrated portfolio of 10 XLK mid to large cap stocks, I developed portfolio weightings for each stock based upon their upside/downside price capture ratios. I then test the following hypotheses; 1.) The 10 XLK stocks, weighted by upside/downside capture ratios outperform the market 2010 - 2015. 2.) The 10 XLK stock capture ratio weighted portfolio outperforms the sector XLK. 3.) The 10 stock XLK portfolio, performance wise, compares favorably to other portfolio weighting strategies.

Publication Date

4-9-2016

Project Designation

Independent Research

Primary Advisor

Trevor C. Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

A longitudinal analysis of the Information Technology Sector (XLK) performance 2010 - 2015: The Case for Capture Ratios.

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