Authors

Presenter(s)

Daniel Montgomery, Vincent Rullo

Comments

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

Files

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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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