Add to ORKGThe Capital Asset Pricing Model (CAPM) indicates that individual stocks are systematically influenced by overall price movements in the market. One way of measuring these systematic movements is through capture ratios. In this study I utilize upside/downside capture ratios to develop portfolio weights for 9 large cap Health Care stocks which make up the largest overall weight in the Health Care Sector XLV. I test the following hypotheses: (1) The upside/downside capture ratio weighted portfolio outperforms the market (S&P 500), (2) the upside/downside capture ratio weighted portfolio outperforms XLV. (3) The performance of the upside/downside capture ratio weighted healthcare portfolio compares favorably to other weighting strategies.ht...
The health care industry has grown five-fold as a percentage of total U.S. market capitalization sin...
The purpose of this study is to determine which S&P 500 sectors outperform in four types of markets....
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...
Recent interest by investment managers in Portfolio Weighting Strategies other than market capitaliz...
Since the recession in 2008, the stock market has experienced periods of extreme volatility, with ma...
The Information Technology Sector has experienced very uneven price performance since the 2008 reces...
Because of the slow growth globally as well as in the United States after the 2008 recession, the fi...
A key factor in portfolio returns is the weights given to stocks in a portfolio of stocks. Capital A...
The materials sector performance has had a challenging time over the last few years. A slow down in ...
Based on the studies of Eugene Fama, Cliff Asness, Robert Novy-Marx and others, profitability is con...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Rules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are inc...
In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap,...
In recent years a large number of Exchange Traded Funds (ETFs) have opted for fundamentals based por...
Schiller’s Cyclically Adjusted Price/Earnings Ratio (CAPE) has been used by financial economists to ...
The health care industry has grown five-fold as a percentage of total U.S. market capitalization sin...
The purpose of this study is to determine which S&P 500 sectors outperform in four types of markets....
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...
Recent interest by investment managers in Portfolio Weighting Strategies other than market capitaliz...
Since the recession in 2008, the stock market has experienced periods of extreme volatility, with ma...
The Information Technology Sector has experienced very uneven price performance since the 2008 reces...
Because of the slow growth globally as well as in the United States after the 2008 recession, the fi...
A key factor in portfolio returns is the weights given to stocks in a portfolio of stocks. Capital A...
The materials sector performance has had a challenging time over the last few years. A slow down in ...
Based on the studies of Eugene Fama, Cliff Asness, Robert Novy-Marx and others, profitability is con...
The two major approaches to weighting market indexes are price weighting (DOW) and market cap weight...
Rules based portfolios of stocks, often referred to as Smart Beta or Quant based portfolios, are inc...
In highly volatile market periods, many investors tend to reduce their risk by purchasing large cap,...
In recent years a large number of Exchange Traded Funds (ETFs) have opted for fundamentals based por...
Schiller’s Cyclically Adjusted Price/Earnings Ratio (CAPE) has been used by financial economists to ...
The health care industry has grown five-fold as a percentage of total U.S. market capitalization sin...
The purpose of this study is to determine which S&P 500 sectors outperform in four types of markets....
In highly volatile market periods, many investors tend to reduce their risk by purchasing higher qua...