Snapshots of A Sector-Based Index for Risk-Averse Investors

Quickly apply original, key PMR-published papers with Snapshots—a short article companion that distills PMR research into compressed, digestible takeaways, so you can put the paper’s core ideas to work in your investment process—fast. This Snapshot article is based on research arguing that a sector index based on the covariance matrix’s leading eigenvector can have positive weights and, under specified conditions, be optimally held by virtually any risk-averse investor seeking sector exposure.