2015Spring FE582 Project

K Khashanah
4/14/2015
The S&P classification is done in two main ways:
The Global Industry Classification Standard (GICS) and the Industry Classification
Benchmark (ICB). We will only consider the GICS.
The GICS was developed by Morgan Stanley and S&P and has 10 sectors, 24 industry
groups, 67 industries and 147 sub-industries.
Sector
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Telecommunications
Materials
Utilities

ETF
Consumer Discret Sel Sect SPDR ETF
(XLY)
Consumer Staples Select Sector SPDR
ETF (XLP)
Energy Select Sector SPDR ETF (XLE)
Financial Select Sector SPDR ETF (XLF)
Health Care Select Sector SPDR ETF
(XLV)
Industrial Select Sector SPDR ETF (XLI)
Technology Select Sector SPDR ETF
(XLK)
Technology Select Sector SPDR ETF
(XLK)
Materials Select Sector SPDR ETF (XLB)
Utilities Select Sector SPDR ETF (XLU)

Often the Telecommunication sector and the Information Technology sector are
combined in one sector called the Technology sector.
For this project all data is between 2011-2013 daily.

1. Find an ETF that is a sector ETF such as

XLF Financial Select Sector SPDR Fund
Collect all Select Sector SPDR ETFs for other sectors. (Listed above)
2. Take companies that are classified under financials and establish correlations
with the ETF of the corresponding sector
3. Examine whether or not the classification makes sense based on a similarity
network. This means examine whether a company belonging to a sector according
to the GUCS classification is naturally correlated with the sector ETF of that
industry.
4. Develop an appropriate visualization tool for your project. (Note: Network plot is
required which can be done in R or d3js It is also better to draw clusters in
different color, type which can see the clusters intuitively)
There will be a presentation May 12th 6:15pm in Hanlon Lab (will send notification
if there is any change)