Add to ORKGBased on Rob Arnott’s foundational work on using stock fundamentals to weigh portfolios of stocks, I developed a smart beta portfolio weighting model for the top 20 stocks by market value in the SPDR Industrial Sector. The model uses a portfolio weighting factor based on the coefficient of variation (COV). In essence, a stock gets a higher weight if the 1/COV (the return-risk ratio) is higher compared to other stocks. A three year moving average of earnings per share is used to calculate the return/risk ratio for each stock. The return-risk ratios are updated yearly with actual portfolio returns generated for the years 2009-2017. The performance benchmark is the S&P 500 ETF (SPY).https://ecommons.udayton.edu/stander_posters/2177/thumbnail.j...
This study have focused on the creation of a smart beta investment strategy to make risks in terms o...
”Smart Beta” has been intriguing the long-term investing community for the past decade. Asset pricin...
This study is part of a series of studies in the Davis Center for Portfolio Management focused on po...
In recent years a large number of Exchange Traded Funds (ETFs) have opted for fundamentals based por...
Smart beta models are essentially factor weighting models with a focus on fundamental based stock we...
A central proposition in finance theory is that investors are risk averse and attempt to minimize th...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Schiller’s Cyclically Adjusted Price/Earnings Ratio (CAPE) has been used by financial economists to ...
Rules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are inc...
Portfolio stock weights based on the mean-variance proposition suggests that investors for any given...
The efficient market hypothesis suggests technical analysis has no role to play in determining stock...
In this study we develop concentrated portfolios of ten and twenty stocks for theS&P 500 Financial S...
We developed a portfolio weighting model for the information technology sector with consumer spendin...
In this study I developed two concentrated portfolios of consumer discretionary stocks, one with 10 ...
Because of the slow growth globally as well as in the United States after the 2008 recession, the fi...
This study have focused on the creation of a smart beta investment strategy to make risks in terms o...
”Smart Beta” has been intriguing the long-term investing community for the past decade. Asset pricin...
This study is part of a series of studies in the Davis Center for Portfolio Management focused on po...
In recent years a large number of Exchange Traded Funds (ETFs) have opted for fundamentals based por...
Smart beta models are essentially factor weighting models with a focus on fundamental based stock we...
A central proposition in finance theory is that investors are risk averse and attempt to minimize th...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Schiller’s Cyclically Adjusted Price/Earnings Ratio (CAPE) has been used by financial economists to ...
Rules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are inc...
Portfolio stock weights based on the mean-variance proposition suggests that investors for any given...
The efficient market hypothesis suggests technical analysis has no role to play in determining stock...
In this study we develop concentrated portfolios of ten and twenty stocks for theS&P 500 Financial S...
We developed a portfolio weighting model for the information technology sector with consumer spendin...
In this study I developed two concentrated portfolios of consumer discretionary stocks, one with 10 ...
Because of the slow growth globally as well as in the United States after the 2008 recession, the fi...
This study have focused on the creation of a smart beta investment strategy to make risks in terms o...
”Smart Beta” has been intriguing the long-term investing community for the past decade. Asset pricin...
This study is part of a series of studies in the Davis Center for Portfolio Management focused on po...