Presenter(s)
Mitchell V. Schleyer
Files
Download Project (187 KB)
Description
The Capital Asset Pricing Model (CAPM) indicates that individual stocks are systematically influenced by overall price movements in the market. One way of measuring these systematic movements is through capture ratios. In this study I utilize upside/downside capture ratios to develop portfolio weights for 9 large cap Health Care stocks which make up the largest overall weight in the Health Care Sector XLV. I test the following hypotheses: (1) The upside/downside capture ratio weighted portfolio outperforms the market (S&P 500), (2) the upside/downside capture ratio weighted portfolio outperforms XLV. (3) The performance of the upside/downside capture ratio weighted healthcare portfolio compares favorably to other weighting strategies.
Publication Date
4-9-2016
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
Recommended Citation
"A Portfolio Weighting Strategy For a Portfolio of 9 Large Cap Healthcare Stocks: The Case for Capture Ratios, 2010 - 2015" (2016). Stander Symposium Projects. 681.
https://ecommons.udayton.edu/stander_posters/681
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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
