Download Full Text (186 KB)


In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap, higher quality stocks. The purpose of this study, controlling for firm size, is to evaluate different portfolio weighting strategies based on valuation, operating efficiency, and profitability. For this study, the analysis is on very large cap stocks called mega cap stocks. Returns for this size group will be first determined based on market cap weightings. These returns will be considered the benchmarks against which all other returns will be measured. Within each size group, portfolio weightings will also be constructed based on valuation, operating efficiency, and profitability measures. The particular metrics, in sequence, are price to book, operating margins, and return on assets. Returns for each year and for the complete period will be calculated for each of these weighting strategies and compared to the returns for the benchmark portfolio, as well as the S&P 500. Results of the analysis are forthcoming.

Publication Date


Project Designation

Independent Research

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Economics and Finance


Stander Symposium poster

Identifying Portfolio Investment Strategies for High Quality Ranked Stocks in the Highly Volatile Market Period 2008-2011