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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


Project Designation

Independent Research

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Davis Center for Portfolio Management


Stander Symposium poster

Developing a Valuation Based Portfolio of Dow Jones Stocks