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A number of studies conducted by students in the Davis Center for Portfolio Management suggest that the fundamental characteristics of stocks can be successfully used to generate portfolio alpha. In this study, several key valuation measures are used to develop portfolio weights for a concentrated portfolio of Consumer Staples stocks. They are, Price to Book, Price to Earnings, Price to Sales, and Price to Cash Flow. In addition, expected earnings growth one year ahead is also included in the weighting process. Two weighting strategies are used: (1) higher price to's get higher weights and (2) higher inverted weighted price to's get higher weights. The 10 stock portfolio performance is then compared to the performance of the DOW, The S&P 500, and the Consumer Staples SPDR ETF on a quarterly and yearly bases for 2014.
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
Arts and Humanities | Business | Education | Engineering | Life Sciences | Medicine and Health Sciences | Physical Sciences and Mathematics | Social and Behavioral Sciences
Beebe, David Jack, "A Fundamental Approach To Portfolio Weighting For Consumer Staples Stocks" (2015). Stander Symposium Posters. 631.
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