Alexander Kubalski, Margaret E. Schutter
Download Project (263 KB)
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.
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
"Portfolio Weighting Strategies for a concentrated portfolio of Consumer Discretionary stocks: An Empirical Analysis, 2010-2015" (2016). Stander Symposium Projects. 678.
Arts and Humanities Commons, Business Commons, Education Commons, Engineering Commons, Life Sciences Commons, Medicine and Health Sciences Commons, Physical Sciences and Mathematics Commons, Social and Behavioral Sciences Commons