Download Full Text (246 KB)


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


Project Designation

Independent Research

Primary Advisor

Trevor C Collier

Primary Advisor's Department

Economics & Finance


Stander Symposium poster


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

A Portfolio Weighting Strategy  For a Portfolio of 9 Large Cap Healthcare Stocks:  The Case for Capture Ratios, 2010 - 2015