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of Select Sector SPDRs

Abstract

Sturm [2010] find that an equally weighted portfolio of sector ETFs outperformed the S&P 500 on both an absolute and risk-adjusted basis over the 2000–2007 period. State Street Global Advisors find similar results during the 2001–2010 period. The authors reconsider these fi ndings for the longer 1989–2011 period. They fi nd that an equally weighted portfolio of sector ETFs did not outperform the S&P 500 over this longer period. They also find that an equally weighted portfolio of sector ETFs tends to be less volatile than the S&P 500 and may outperform it on a risk-adjusted basis during periods of heightened market volatility.