PT - JOURNAL ARTICLE AU - Jack Clark Francis AU - Christopher Hessel AU - Jun Wang AU - Ge Zhang TI - Portfolios Weighted by Repurchase and Total Payout AID - 10.3905/jpm.2010.36.4.077 DP - 2010 Jul 31 TA - The Journal of Portfolio Management PG - 77--83 VI - 36 IP - 4 4099 - https://pm-research.com/content/36/4/77.short 4100 - https://pm-research.com/content/36/4/77.full AB - Portfolios weighted by fundamental measures of company size, such as assets, dividends, sales, earnings, and employees, have recently attracted a lot of attention. Pioneering research has showed that these fundamental value–weighted portfolios, especially dividend-weighted portfolios, can achieve better mean returns and better Sharpe ratios than could be attained with the traditional market value– weighted portfolio. In this article, the authors examine three portfolios weighted by the additional fundamental measures of firm size—share repurchases, total payout, and earnings retention—and find that the repurchase-weighted portfolios and total payout–weighted portfolios have higher excess returns and higher Sharpe ratios than the other fundamental value–weighted portfolios, including the dividend-weighted portfolio. The repurchase-weighted portfolio shows a positive and statistically significant alpha of 2.77% after controlling for the Fama–French factors (market, size, and book-to-market) and Carhart’s momentum variable. The total payout–weighted portfolio also has a positive and significant alpha, albeit smaller than that of the repurchase-weighted portfolio.TOPICS: Portfolio construction, security analysis and valuation