Presenter(s)

    Daniel Montgomery, Vincent Rullo

    Comments

    Presentation: 9:00-10:15 a.m., Kennedy Union Ballroom

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    Description

    In this study we conduct two empirical tests. First, we determine if the revenue growth factor weighted multi-sector portfolio outperforms an equal weight portfolio over the period 2009-2022. Second, we test to see if revenue growth is a “priced-in risk factor” by determining if the long term returns to our portfolio weighting model are in excess of the returns to the broad market index S&P 500.60 stocks from six S&P 500 sectors make up the portfolio. The six sectors are: (1) Consumer Discretionary, (2) Healthcare, (3) Industrials, (4) Information Technology, (5) Real Estate, and (6) Communication Services. Historically, these six sectors contribute most of the returns to the S&P 500. To generate our returns, we use two investment strategies: (1) Buy and Hold, and (2) Adjustable Shares.

    Publication Date

    4-19-2023

    Project Designation

    Independent Research

    Primary Advisor

    Jon Fulkerson, Robert Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium, School of Business Administration

    Institutional Learning Goals

    Scholarship

    A Multi-Sector Portfolio Weighting Model with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns, 2009-2022

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