Mary H. Viertel



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In highly volatile market periods, many investors tend to reduce their risk by purchasing higher quality stocks. The purpose of this study is to evaluate the returns of different portfolio weighting strategies on portfolios of high quality stocks over an observed volatile market period. In this study, I examine two overall investment strategies: (1) size: defined as market capitalization, and (2) growth vs. value: defined as price to book ratio during the period of 2008 to 2011. This time period includes the year 2008 as the model for a downswing period, 2009 for a rebound period, 2010 for an upswing period, and 2011 for a trading range period. I use mock portfolios of one million dollars to evaluate the performance of the portfolios over time. Within the two investment strategies, I weight the portfolios by several weighting mechanisms including size (market capitalization), valuation (price to book ratio), profitability (return on assets), and operating efficiency (operating margin). In essence, I want to determine which overall investment strategy has the best returns for the overall period, the downswing period, the rebound period, the upswing period, and the trading range period. Within those strategies, I want to see which portfolio weighting mechanism works best.

Publication Date


Project Designation

Honors Thesis

Primary Advisor

Robert D. Dean

Primary Advisor's Department

Davis Center for Portfolio Management


Stander Symposium project

Portfolio Investment and Weighting Strategies for High Quality Stocks 2008 to 2011:  A Study in Portfolio Management