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This dissertation shows that scaling asset value-weighted returns from the S&P 500 index
increases the Sharpe ratio of the portfolio from 0.19 to 0.62. The average Sharpe ratio for
twelve value-weighted industry portfolios similarly increases from 0.39 to 0.72. Maintaining
a constant level of volatility over time proved to hedge the investors risk and we show that
using this constant measure of volatility over time, which corresponds to the historical
measure of average volatility for the S&P 500 index, yields results robust across different
indexes, sub-samples, across industries and for different sample restrictions. Robustness
was also tested for recession and expansion periods, with the results being stronger for
the latter. Finally, we compute a winner minus loser momentum strategy where the Sharpe
Ratio of the strategy increases from 0.28 with raw returns to 0.65 with scaled returns.