A Factor Based Portfolio Weighing Model for the S&P 500 Health Care Sector (XLV): An Empirical Analysis of Portfolio Returns, 2009-2022
Nathan Jabaay, Kevin Cullen
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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.
Jon Fulkerson, Robert Dean
Primary Advisor's Department
Economics and Finance
Stander Symposium, School of Business Administration
Institutional Learning Goals
"A Factor Based Portfolio Weighing Model for the S&P 500 Health Care Sector (XLV): An Empirical Analysis of Portfolio Returns, 2009-2022" (2023). Stander Symposium Projects. 2848.
Presentation: 9:00-10:15 a.m., Kennedy Union Ballroom