Business Cycle Patterns, Portfolio Weighting, and S&P Industrial Stock Returns: An Empirical Analysis 2006-2016
Nicholas C Jacobs
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.
Independent Research - Undergraduate
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Business Cycle Patterns, Portfolio Weighting, and S&P Industrial Stock Returns: An Empirical Analysis 2006-2016" (2017). Stander Symposium Posters. 885.