Building a Systematic Innovation Factor in Stock Investing
This paper has several aims. First, it seeks to answer whether a portfolio comprised of top innovators outperforms the S&P 500 index. To achieve this, a strategy was developed to invest long in top innovators based on their ranking, and its performance was compared to that of the broad-based index. Secondly, the paper aims to assess the volatility associated with innovative stocks, given the common belief that higher innovativeness carries higher risk. Additionally, it seeks to analyse the impact of sector factors on the portfolio's performance. Finally, the paper conducts a comparative analysis between the portfolio's performance and that of the ARK Innovation ETF (ARKK), which specifically focuses on investing in companies relevant to the theme of disruptive innovation.
© 2024 The Author(s). Published by RITHA Publishing. This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited.
Vojtko, R. & Pauchlyová, M. (2024). Building a Systematic Innovation Factor in Stock Investing. Journal of Research, Innovation and Technologies, Volume III, 1(5), 41-49. https://doi.org/10.57017/jorit.v3.1(5).03
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