Presenter(s)

Nathan Jabaay, Kevin Cullen

Comments

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

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Description

In this study, I use firm revenue growth as my factor weight. I carry out two empirical tests: (1) my revenue growth factor based portfolio weighing model outperforms an equal weight portfolio model over the period 2009-2022; (2) firm revenue growth is a priced-in risk factor in the equity market. For my first test, I compare the long run cumulative returns for the revenue growth factor based portfolio weighing model to the returns for the equal weight portfolio, 2009-2022. For my second test, I determine if my portfolio weighing model generates excess returns over the broad market benchmark, the S&P 500 index, for the period 2009-2022. I use two investment strategies, a buy and hold strategy and an adjustable shares strategy, to generate the returns for my portfolio weighing model.

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 Factor Based Portfolio Weighing Model for the S&P 500 Health Care Sector (XLV): An Empirical Analysis of Portfolio Returns, 2009-2022

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