A Smart Beta Concentrated Portfolio Model for the Information Technology Sector: An Empirical Analysis, 2009-2017

Smart beta models are essentially factor weighting models with a focus on fundamental based stock weights (FBSW). A growing number of investment managers are now using them to generate increased alpha over their performance benchmarks. In this study I use a two factor weighting model for 10 and 20 stock concentrated portfolios in the S&P 500 Information Technology Sector ETF (XLK). I use sales growth and relative price change as my weighting factors and test two hypotheses: (1) FBSW models will outperform the broad market (S&P 500) over long periods of time and (2) FBSW models will outperform their sector counterpart over long periods of time. The period of analysis is 2009-2017.https://ecommons.udayton.edu/stander_posters/2437/thumbnail.jp