A 3 Factor Portfolio Weighting Model for Select Stocks in the Consumer Discretionary Sector: An Empirical Analysis from 2009-2019
Emily Keller, Daniel Collins Montgomery
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In this study we developed a 3 factor Portfolio weighting model for a concentrated portfolio of consumer discretionary stocks. The principal factors are sales growth(SG), gross operating profit (GOP), and short term(one-year) price momentum. The Period of analysis was 2009-2019. The factor weights for sales growth and gross operating profits are the slope coefficients from time trend univariate regressions with SG and GOP the Y-variables(in Logs) and time as the x-variable. The original shares held in each stock is adjusted yearly based on the short term price momentum in each stock. We test the hypothesis that the 3 factor weighting model generates excess returns over the S&P 500 broad market index for the period 2009-2019. Two factor weighting models are evaluated: (1) constant shares model, (2) adjusted shares model.
Tony S. Caporale, Robert D. Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium project, School of Business Administration
United Nations Sustainable Development Goals
"A 3 Factor Portfolio Weighting Model for Select Stocks in the Consumer Discretionary Sector: An Empirical Analysis from 2009-2019" (2021). Stander Symposium Projects. 2284.