Vincent Patrick Rullo
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We develop portfolio weighting models for 3 concentrated portfolios: (1) Top Ten by market value, (2) next Ten by market value, (3) Top Twenty by market value. The principal factor loading is Revenue Per Share Growth. Returns are calculated for 2009-2019, the base period,2009-2020, which includes effect of Covid19, and 2009-2021, which includes the effect of Covid-19 and rising interest rates. We test the hypothesis that Revenue Per Share Growth is a priced-in risk factor i.e., all three portfolios out perform the broad market over the abovementioned time periods. We also determine if the risk premium varies by size (Top Ten vs. Next Ten) and by diversification (Top Ten vs. Top Twenty). Finally, to check on the effects of Covid-19 and rising interest rates we check to see if the cumulative return growth for 2009-2020 and 2009-2021 declined relative to the base period, 2009-2019.
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
"The Effect of Size and Diversification on a Concentrated Portfolio of Consumer Discretionary Stocks: An Empirical Analysis of Portfolio Returns, 2009-2021" (2022). Stander Symposium Projects. 2664.