Presenter(s)

    Matthew Peter Fazio, Kenneth Christopher Scudder

    Download

    Download Project (164 KB)

    Description

    This study is part of a series of studies in the Davis Center for Portfolio Management focused on portfolio weighting. It also considers the alpha generating capabilities of a concentrated portfolio of stocks using relative valuation and momentum stock weighting strategies. The top 10 holdings of the SPDR sector ETF XLI are used as the concentrated portfolio of stocks. Various price-to measures such as price to earnings and price to book are used to develop the weights for each stock in the concentrated portfolio. One year ahead expected earnings growth for each of the 10 stocks provides the basis for the earnings momentum weight component. Assuming the portfolio starts with a funding level of $5,000,000, a performance comparison is made with XLI, the DOW, and the S&P 500 for the year 2014 to determine if the concentrated portfolio generates alpha.

    Publication Date

    4-9-2015

    Project Designation

    Independent Research

    Primary Advisor

    Trevor C. Collier

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project

    Disciplines

    Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences

    Firm Characteristics, Concentrated Portfolio Strategies and Industrial Sector Price Movements in 2014

    Share

    COinS