Presenter(s)

Dede Ferry

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Description

A number of investment managers use high quality stocks as a key to their investment strategy. In this study I want to look at the relative performance of concentrated portfolios (25-30 stocks) of high quality stocks compared to the S&P 500 (i.e. the benchmark portfolio). Using the S&P’s quality ratings of A- through A+, I developed the following concentrated portfolios: (1) Mega Large Cap (2) Large Cap and (3) Mid-Cap. Two time periods are evaluated performance wise: (1) 12-31-07 – 12-31-13 and (2) 3-31-09 – 12-31-13. The 07-13 time interval includes the steep down swing period in the market which occurred during 2008 and the first part of 2009. Due to the housing crisis, the economy was also in free fall in the same period of time. The 09-13 time interval represents a highly volatile but strong up swing, period of the market. In this study I use the following portfolio weighting strategies to develop the returns to the concentrated portfolios: (1) market value weight (2) equal dollar weight (3) relative strength – momentum weight and (4) relative strength – concentrated weight.

Publication Date

4-9-2014

Project Designation

Independent Research

Primary Advisor

Robert Dean, Trevor Collier

Primary Advisor's Department

Economics and Finanace

Keywords

Stander Symposium project

Disciplines

Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

A Performance Analysis of Concentrated Portfolios of High Quality Stocks over the Highly Volatile Market Period of 2007 – 2013

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