Financial Sector Stocks: A Study in Portfolio Weighting Schemes 2006-2016
Daniel E Wollenberg
Because of the financial crisis in 2008, S&P 500 Financial stocks experienced both increased volatility and regulation in subsequent years, which had an important effect on financial stock prices and returns. In this study, I develop two portfolios of financial sector stocks that are weighed by return on equity (ROE). I construct the stock weights based on the premise that stocks with higher ROEs deserve higher weights. I also modify the weights by the standard deviations of the ROEs. I test the following hypotheses. (1) Risk adjusted ROE weighted portfolios outperform the S&P 500 Index (SPX) over the 2011-2016 time period. (2) Risk adjusted ROE portfolios outperform the market value weighted portfolio XLF over the 2011-2016 time period. Both buy and hold and rebalance strategies are used in the analysis of portfolio performance.
Independent Research - Undergraduate
Trevor C Collier
Primary Advisor's Department
Economics and Finance
Stander Symposium poster
"Financial Sector Stocks: A Study in Portfolio Weighting Schemes 2006-2016" (2017). Stander Symposium Posters. 959.