A Portfolio Weighting Model for the S&P 500 Consumer Staples Sector with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns from 2009 to 2022

Authors

Presenter(s)

Isabella Abreu

Comments

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

Files

Description

In this study I pose two questions: (1) Can a revenue growth factor weighted portfolio of consumer staples stocks outperform an equal weight portfolio over the period of 2009 - 2022; (2) Firm revenue growth is a paired-in-risk factor. To answer the first question I can pair the long run cumulative returns for the revenue growth factor based portfolio weighing model to the returns for the equal weight portfolio weighing model, 2009 - 2022. For the second question, I can compare the returns for my portfolio weighing model to the returns for the S&P 500 ETF SPY to see if it generates excess returns over the long run period 2009 - 2022.

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 Portfolio Weighting Model for the S&P 500 Consumer Staples Sector with Firm Revenue Growth the Factor Weight: An Empirical Analysis of Portfolio Returns from 2009 to 2022" (2023). Stander Symposium Projects. 2869.
https://ecommons.udayton.edu/stander_posters/2869