Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The Magic Formula & Net-Nets: Vilken av dessa strategier har resulterat i bäst avkastning mellan 2007 och 2017?
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
University West, School of Business, Economics and IT, Divison of Law, Economics, Statistics and Politics.
2018 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I detta arbete jämförs de två investeringsstrategierna Magic Formula och Net-Nets mot varandra för att ta reda på vilken av dem som har presterat bäst avkastning på den svenska marknaden mellan år 2007 och 2017. De två strategierna ställs även mot de svenska indexen OMXS30, OMX Stockholm Largecap och OMX Stockholm Midcap, då urvalet av bolag som inkluderas i strategierna är mellanstora och stora bolag. Data har inhämtats för att kunna beräkna värderingsmodellerna CAPM och Fama French trefaktormodell, prestationsmått såsom Sharpekvot och Treynorkvot, samt för att utföra regressioner. Resultaten visar att den strategi som både är mest diversifierad samt har presterat den bästa avkastningen är Magic Formula.

Abstract [en]

In this work, the two investment strategies Magic Formula and Net-Nets, are compared against each other to find out which them has achieved the best return between 2007 and 2017 in the Swedish market. The two strategies are also set against the Swedish indices OMXS30, OMX Stockholm Largecap and OMX Stockholm Midcap, because the selection of companies included in the strategies is medium and large companies. Data have been obtained to calculate the Capital Asset Pricing Model, CAPM, and Fama French three factor model, FF3, performance measurements such as Sharpe ratio and Treynor ratio, and to perform regressions. The result shows that the strategy that is both most diversified and has achieved the best return is the Magic Formula.

Place, publisher, year, edition, pages
2018. , p. 42
Keywords [sv]
CAPM, Fama & French, Magic Formula, Net-Nets, Värdeinvestering, Sharpekvot, Treynorkvot
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-12674Local ID: NAX500OAI: oai:DiVA.org:hv-12674DiVA, id: diva2:1230973
Subject / course
Nationalekonomi
Educational program
Mäklarekonom
Supervisors
Examiners
Available from: 2018-07-05 Created: 2018-07-05 Last updated: 2018-07-05Bibliographically approved

Open Access in DiVA

No full text in DiVA

By organisation
Divison of Law, Economics, Statistics and Politics
Economics

Search outside of DiVA

GoogleGoogle Scholar

urn-nbn

Altmetric score

urn-nbn
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf