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Magic Formula has its magic and Momentum has its moments.: -A study on magic formula and momentum on the Swedish stock market.
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Magic Formula har sin magi och Momentum har sina ögonblick. : -En studie om magic formula och momentum på den svenska aktiemarknaden. (Swedish)
Abstract [en]

The study examines how the investment strategy Magic Formula (Greenblatt, 2006) has performed on the Swedish stock market. It is also investigated how the performance is affected when the strategy is combined with momentum. Since the expected pension for future generations is expected to decline it is important to have private savings with as high return as possible. Therefore, it is relevant to investigate if simple investment strategies can be used to achieve higher return. The purpose with this study is to find out if the investment strategies Magic Formula and Magic Formula combined with momentum has had a higher risk-adjusted return than the benchmark index OMX30. The results show that both Magic Formula and Magic Formula combined with momentum yielded a higher risk-adjusted return than the benchmark index. The results also showed that Magic Formula yielded an even better risk-adjusted return when it was combined with momentum. We wish that the result that was found in this study will give inspiration to private investors in order to achieve a higher return in their savings and a more satisfactory pension in the future

Place, publisher, year, edition, pages
2019. , p. 51
Keywords [en]
Investment strategies, Magic formula, Momentum, Efficient market hypothesis, Swedish stock market, CAPM, Sharpe ratio
National Category
Business Administration
Identifiers
URN: urn:nbn:se:lnu:diva-85562OAI: oai:DiVA.org:lnu-85562DiVA, id: diva2:1326926
Subject / course
Business Administration - Management Accounting
Educational program
Business Administration and Economics Programme, 240 credits
Supervisors
Examiners
Available from: 2019-06-20 Created: 2019-06-18 Last updated: 2019-06-20Bibliographically approved

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Magic Formula has its magic and Momentum has its moments.(2010 kB)135 downloads
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CiteExportLink to record
Permanent link

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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