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Since the recession in 2008, the stock market has experienced periods of extreme volatility, with market moves of 200-400 points on almost a daily basis. One sector that should do well when market volatility is high and rising is consumer staples. In this study I use a dynamic pricing model to determine the portfolio weights for the 10 largest value weighted stocks in the consumer staples sector. The model relies on the upside/downside Capture Ratios (U/D) for each stock to calculate the portfolio weights and dollar investment in each stock. I test the following hypotheses: (1) Stocks with higher U/D ratios generate higher excess returns relative to the market, (2) The U/D weighted portfolio of consumer staples stocks outperforms the consumer staples sector (XLS), (3) The U/D weighted portfolio performance wise, compares favorably to other portfolio weighting strategies.
Trevor C Collier
Primary Advisor's Department
Economics & Finance
Stander Symposium poster
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Verrilli, Sam William, "Portfolio Weights and Capture Ratio Analysis: A Look at Performance in the Consumers Staples Sector 2010-2015" (2016). Stander Symposium Posters. 703.
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