Concentrated Portfolios, Portfolio Weighting Models and the Consumer Discretionary Sector. An Empirical Analysis 2006-2016
Dimitra A Spandonidis
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).
Independent Research - Undergraduate
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Concentrated Portfolios, Portfolio Weighting Models and the Consumer Discretionary Sector. An Empirical Analysis 2006-2016" (2017). Stander Symposium Posters. 890.