Presenter(s)
Daniel Montgomery, Vincent Rullo
Files
Download Project (114 KB)
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
Recommended Citation
"A Multi-Sector Portfolio Weighting Model with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns, 2009-2022" (2023). Stander Symposium Projects. 2843.
https://ecommons.udayton.edu/stander_posters/2843

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