Presenter(s)

Dimitra A Spandonidis

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Description

In this study I developed two concentrated portfolios of consumer discretionary stocks, one with 10 stocks and the other with 20 stocks. The stocks were selected on the basis of market size, with the largest market cap stocks chosen for inclusion in the portfolios. Return on equity (ROE) is used as the weighting factor. In order to account for risk, the standard deviation of each stocks ROE on a rolling 5 year basis is used to contrast the weights. I test the hypothesis that (1) the ROE weighted portfolios will out perform the consumer discretionary sector XLY and (2) the ROE weighted portfolios will outperform the S&P 500 Index (SPX).

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

Concentrated Portfolios, Portfolio Weighting Models and the Consumer Discretionary Sector. An Empirical Analysis 2006-2016

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