Alexander Kubalski, Margaret E. Schutter



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Recent interest by investment managers in Portfolio Weighting Strategies other than market capitalization has led to a rapid increase in fundamental based indexing. In their study I use the price dynamics of firms relative to the market (S&P 500) to weight a 10 stock portfolio of Consumer Discretionary firms. The weighting model is based on the capture ratio of the price changes for each stock compared to the S&P 500. In particular, an upside/downside capture ratio is developed for each stock based on a years worth of daily price changes. The following hypotheses are tested: 1) Firms with higher upside/downside capture ratios have higher expected returns. 2) The Consumer Discretionary portfolio weighted by upside/downside capture ratios out performs the market and the Consumer Discretionary Sector. 3) The upside/downside capture ratio performs well against other portfolio weighting strategies.

Publication Date


Project Designation

Independent Research

Primary Advisor

Trevor C. Collier

Primary Advisor's Department

Economics and Finance


Stander Symposium poster


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Portfolio Weighting Strategies for a concentrated portfolio of Consumer Discretionary stocks: An Empirical Analysis, 2010-2015