Kan Magic Formula generera Alpha på den Svenska aktiemarknaden efter kontroll för marknadsrisk, företagsstorlek och värdefaktor?

Detta är en Kandidat-uppsats från Uppsala universitet/Nationalekonomiska institutionen

Sammanfattning: This study intends to investigate the use of Joel Greenblatts investing strategy “Magic Formula” on the Swedish stock market for the 10-year period of last of March 2009 to last of March 2019-- a period characterized as a raging bull-market, mainly driven forward by historically low interest rates. This is done by the utilization of back testing, later comparing the returns with a benchmark(OMXSGI) as well as determining if the return can be aptly explained by the asset pricing models CAPM and Fama-French 3 factor with the use of regression analysis. The author found that after transactions cost the two portfolios created according to Magic Formula principles returned 22.63% and 22.21% CAGR which beat the benchmark 15.21% CAGR handily. The alpha of both created portfolios however was shown to be statistical insignificant on the 0.05 significance level when controlling for risk, size and value factors. Further studies are hence recommended—especially on markets which presumably are less efficient and/or over longer period of times with macroeconomic conditions that might reward value more strongly since Magic Formula seems to be capable of being a reasonable screening tool for these types of stocks.

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