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ETF Performance of The Biggest 12 Economic Sectors (2020) - AlternativeSoft Technology has been the industry sector with the highest Annualized Return and Annual Sharpe Ratio in 2020. In this article we will analyse the performance of industries via sector specific ETFs taken from Morningstar. A total of 525 EFTs worldwide for 12 economic sectors were used for this analysis. For each industry we computed AUM weighted statistics. Table 1: Performance of the economic sectors in 2020 Annualized Return Normal Monthly VaR 95% 33.92% The table above is ranked based on annualized returns. The techno...

The Optimal Tradeoff Between Diversification and Outperformance May 26, 2021 Warren Buffet once said that, “diversification is protection against ignorance”. Of course, the other side is true as well: strategies that aren’t adequately diversified run a substantially higher risk of ruin. The goal of this paper is to find a useful approximation for portfolio size that a. increases the potential for alpha (return over benchmark) at a constraint of b. minimal beta (volatility relative to benchmark). To explore this question, we look at S&P 500 stocks over the last three calendar years and...