Add to ORKGRules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are increasingly being used by investment managers to enhance portfolio performance. In this study, I develop a fundamentals base 2 factor portfolio weighting model for 10 and 20 stock (concentrated) Portfolios in the S&P 500 Healthcare sector (XLV). I compare the the returns for these concentrated portfolios to the returns for the S&P 500 Index, ETF SPY, and the SPDR Healthcare Sector ETF, XLV. My sector weights are sales growth and relative price change, and the period of analysis is 2009-2017. I test the hypothesis that a rules based portfolio of stocks will outperform a broad based passive index (SPY) and its sector counterpart (XLV).https://eco...
Based on the studies of Eugene Fama, Cliff Asness, Robert Novy-Marx and others, profitability is con...
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...
A key factor in portfolio returns is the weights given to stocks in a portfolio of stocks. Capital A...
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...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Based on Rob Arnott’s foundational work on using stock fundamentals to weigh portfolios of stocks, I...
In this study I developed two concentrated portfolios of consumer discretionary stocks, one with 10 ...
In this study we develop concentrated portfolios of ten and twenty stocks for theS&P 500 Financial S...
In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have bec...
The efficient market hypothesis suggests technical analysis has no role to play in determining stock...
We develop portfolio weighting models for 3 concentrated portfolios: (1) Top Ten by market value, (2...
In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap,...
Recent interest by investment managers in Portfolio Weighting Strategies other than market capitaliz...
A central proposition in finance theory is that investors are risk averse and attempt to minimize th...
Based on the studies of Eugene Fama, Cliff Asness, Robert Novy-Marx and others, profitability is con...
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...
A key factor in portfolio returns is the weights given to stocks in a portfolio of stocks. Capital A...
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...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Based on Rob Arnott’s foundational work on using stock fundamentals to weigh portfolios of stocks, I...
In this study I developed two concentrated portfolios of consumer discretionary stocks, one with 10 ...
In this study we develop concentrated portfolios of ten and twenty stocks for theS&P 500 Financial S...
In an attempt to bridge the gap between active and passive investing, Smart Beta strategies have bec...
The efficient market hypothesis suggests technical analysis has no role to play in determining stock...
We develop portfolio weighting models for 3 concentrated portfolios: (1) Top Ten by market value, (2...
In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap,...
Recent interest by investment managers in Portfolio Weighting Strategies other than market capitaliz...
A central proposition in finance theory is that investors are risk averse and attempt to minimize th...
Based on the studies of Eugene Fama, Cliff Asness, Robert Novy-Marx and others, profitability is con...
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...
A key factor in portfolio returns is the weights given to stocks in a portfolio of stocks. Capital A...