Business Cycle Patterns, Portfolio Weighting, and S&P Industrial Stock Returns: An Empirical Analysis 2006-2016

Business Cycle Patterns, Portfolio Weighting, and S&P Industrial Stock Returns: An Empirical Analysis 2006-2016

Presenter(s)

Nicholas C Jacobs

Description

In this study, I explain the returns of Industrial sector stocks during a period where both a downturn phase and a rebound phase in the U.S. economy occur. Using the profitability factor ROE, I test the hypothesis that a concentrated portfolio of ROE weighted Industrial sector stocks outperforms the S&P SPDR ETF (XLI) as well as SPY, the S&P 500 SPDR ETF. In addition, I use a stock weighting scheme based on the standard deviation of individual stocks and assume both "risk on" and "risk off" market conditions operate throughout the time period.

Publication Date

4-5-2017

Project Designation

Independent Research - Undergraduate

Primary Advisor

Trevor C. Collier

Primary Advisor's Department

Economics and Finance

Keywords

Stander Symposium project

Business Cycle Patterns, Portfolio Weighting, and S&P Industrial Stock Returns: An Empirical Analysis 2006-2016

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