Presenter(s)

    Patrick W. Hull, Benjamin F. Rudman

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    Description

    In this study, we create a portfolio of Dow Jones stocks based on valuation rather than price of market cap weight. Our hypothesis is that giving higher portfolio weights to these stocks that are most undervalued will increase portfolio returns. Using a fair value index based on Morningstar fair value prices for each Dow Jones stock, we create a portfolio weighting model. Using the period of 2009-2011 for analysis, we compare the returns of the Dow Jones fair value portfolio to the Dow Jones weighted portfolio. We also divide this period into three sub periods; the rebound period (2009), the growth period (2010), and the trading range period (2011) and compare the performance of our Dow Jones fair value portfolio to the Dow Jones price weighted portfolio.

    Publication Date

    4-17-2013

    Project Designation

    Independent Research

    Primary Advisor

    Robert D. Dean

    Primary Advisor's Department

    Davis Center for Portfolio Management

    Keywords

    Stander Symposium project

    Developing a Valuation Based Portfolio of Dow Jones Stocks

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