In today's society most swedish people are saving money on saving accounts that give nointerest return. So, in this study we have examined two investment strategies GrahamScreener and Dogs of the dow. We wanted to see how the two strategies perform on theswedish stock markets and even see which one of them performs the best and gives back thehighest interest rate. After we have tested the two strategies on the two different markets overa 14-years period we got the resultat that Graham Screener is a way better strategy than Dogsof the dow. This gave us the conclusion that the theory that the efficient market hypothesisgives us that you can't overperform the market could be questioned with the data and theresultat this study gave us

This study shows how the two investment strategies Net-nets and magic formula performs on the Swedish stock markets subgroups Small, Mid and Large Cap. Also, with the intention to see which of these two strategies suits the private investors on the Swedish stock market and see which gave the highest rate of return. The results after a 15-year long time period showed us that Magic Formula was the one to be preferred on the Swedish stock market much due to the incompatibility of Net-nets on the Swedish stock market. Mainly because of the small sample of compatibility companies that suited the Net-nets instructions. Magic Formula was therefore able to yield a higher rate of return on all the subgroups compared to Net-nets and gave us the conclusion that it performs best on the Mid Cap on the Swedish stock market.

För företag som är i behov av externt kapital och extern kompetens med ett stort kontaktnät, kan en affärsängel vara till stor hjälp. I utbyte mot kapital och egen kompetens får affärsängeln delar av det investerade företaget, som den i sin tur förväntar sig få finansiell avkastning på.Författarna har genomfört en kvalitativ undersökning genom att intervjua affärsänglar med syftet att undersöka de investeringsmotiv och investeringsstrategier som de har vid sina investeringar. Författarna ger även en grundläggande sammanfattning av vad affärsänglarna beaktar vid en investering och vad de generellt har för uppfattning av vad det innebär att vara en affärsängel. Slutsatserna som analysen låg till grund för var att det inte alltid är avkastningen som är det viktigaste investeringsmotivet. Att vara delaktig och medverka till de investerade företagens utveckling var ett mer förekommande svar på frågan om affärsängelns syn på investeringsmotiv. Affärsänglarnas investeringsstrategier är att de vill delta aktivt i de investerade företagen och bidra med den kompetens och erfarenhet de besitter. Relationen med entreprenören var lika viktig som företagets produkt. / For companies that are in need of external capital and external expertise with a large network, a business angel can be very helpful. In exchange for capital and self-competence the business angel gets a share of the invested company, which it in return expects to get financial returns. The authors have conducted a qualitative study by interviewing business angels with the aim to examine the investment motive and investment strategies that they have on their investments. The authors also give a basic summary of what business angels account for in an investment and what they generally have the perception of what it means to be a business angel. The conclusions of the analysis was based on that it is not always the return of the investment that is the most important investment motive. Being involved and help the invested companies’ development was a more appropriate response to the question of the business angels approach to investment motives. The business angels investment strategies are that they want to participate actively in the invested companies and help with the skills and experience they possess. The relationship with the entrepreneur was as important as its product.

Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. This thesis aims to amend to the previous work on carbon reducing strategies and ESG-investing with the addition of water usage and waste management, especically using raw data of these measures instead of ESG-ratings. Index replicating portfolios have become more and more popular as it proves harder and harder to beat the index, offering good returns along with cheap and uncomplicated portfolio construction and management. In a trending market, the fear of missing out and the demand for market return can make an index replicating strategy a way for investors to have market exposure but still remain diversied and without confusion about which horses to bet on. This thesis studies the relationship between tracking-error and the increase of sustainability in a portfolio through reduction of the intensity of carbon emissions, water usages and poor waste management. To be able to make a fair comparison, these measures are normalized by dividing each measure by the reported annual revenue. These three obtained intensities are then implemented individually, as well as all together into index replicating portfolios in order to study the effect from decreasing them. First and foremost we study the effect on the tracking-error, but also the effects on returns and volatility. We also study the effect on liquidity and turnover in the portfolios to show that it is possible to implement extensive sustainability increasing methods into an index replication equity portfolio. We follow the UCITS-directory to avoid overweightin specic companies and only allow the portfolios to overweight a sector with maximum 2%, in order to avoid an unwanted exposure to sectors with naturally lower intensities. The portfolios are obtained by using a multi-factor risk model to predict the expected statistical behaviour in relation to the chosen factors. Followed by applying Markowitz Modern Portfolio Theory through a convex optimization problem with the objective function to minimize tracking-error. All displayed portfolios had stable and convex optimization and were compliant with the UCITS-directory. We limited our study to only North American stocks and chose the index "MCSI NA" to replicate. Only stocks that were a part of the index were allowed to invest in and we did not allow negative weights for any stocks. The portfolios were constructed and backtested for the period 2014-12-01 until 2019-03-01 with rebalancing quarterly at the same points in time that the index is rebalanced by MCSI. We found that it was possible to implement extensive sustainability considerations into the portfolios and still keep a high correlation with the index whilst keeping low tracking-errors. We believe that most index replicating investors should be able to implement reductions of above mentioned intensities of about 40-60% without compromising tracking-errors,returns and volatility too much. We found evidence that during this time and in this market our low-intensities portfolios would have overperformed the index. We also found that returns increased and volatility decreased as we increased the reduction of each individual measure and all three collectively. Reducing carbon intensity seemed to drive positive returns and lower volatility the most, but we also observed apositive effect from reduction of all intensities. Our belief before conducting this study was that sustainability should have a negative effect on returns due to the limitation of the feasible area of investing. This motivated us to build portfolios with intent to makeup for these lesser returns and hopefully "beat the index". This failed in almost all cases and the only way we were able to beat the index were through implementing sustainability in our portfolios.

Bakgrund: Målet med de flesta investeringar är att nå en hög avkastning till låg risk. Tidigare forskning har identifierat möjligheter till att överträffa marknaden vilket motsäger hypotesen om den effektiva marknaden. Investeringar i småbolag har blivit alltmer attraktivt de senaste åren vilket lyfter frågan angående hur en investering i dessa aktier kan genomföras på ett framgångsrikt sätt. Småbolagsaktier, och framförallt de allra minsta aktierna sett till marknadsvärde, förknippas ofta med högre risk. Detta medför att det är av relevans att undersöka huruvida en riskjusterad överavkastning är möjlig vid en applicering av dessa med befintliga investeringsstrategier. Syfte: Syftet med denna uppsats är att analysera huruvida det existerar en småbolagseffekt på den svenska aktiemarknaden mellan 2007-2019. Studien syftar även till att undersöka om det går att generera riskjusterad överavkastning vid investeringar i småbolagsaktier genom att kombinera dessa med alternativa investeringsstrategier som momentumeffekten samt relativvärdering i form av bolag med låga EV/EBITDA- multiplar. Metod: Studien har genomförts med en kvantitativ metod och en deduktiv ansats. Nio portföljer har konstruerats utefter olika bolagsstorlekar samt olika investeringsstrategier under tidsperioden 2007-2019 på den svenska aktiemarknaden. Dessa portföljer har sedan utvärderats sett till både avkastning samt riskjusterad avkastning för att slutligen testas statistiskt genom parata t-test. Slutsats: En småbolagseffekt kunde inte observeras på den svenska aktiemarknaden under den studerade tidsperioden. De portföljer som baserades på bolagen med lägst marknadsvärde presterade en signifikant lägre avkastning än jämförelseindexet. Vid en applicering av momentumeffekten samt låga EV/EBITDA- multiplar på småbolag kunde däremot fyra av fyra portföljer observeras generera en riskjusterad överavkastning relativt jämförelseindexet. Denna överavkastning kunde dock inte säkerställas statistiskt och skulle därmed kunna vara slumpmässig. / Background: The goal of most investments is to achieve a high return at a low risk. Previous research has identified opportunities to exceed the market, which contradicts the efficient-market hypothesis. Investments in small enterprises have become increasingly popular in recent years, which raises the question of how an investment on these markets can be done successfully. Small company shares, and especially the smallest shares in terms of market value, are often associated with higher risk. This means that a study that investigates whether a risk-adjusted excess return is possible with the application of existing investment strategies is of relevance. Purpose: The aim of this study is to analyze whether there exists a small firm effect on the Swedish stock market between the years 2007-2019. The study also aims to investigate whether it is possible to generate risk-adjusted excess returns when investing in small companies and combine these investments with alternative strategies such as the momentum effect and relative valuation in terms of companies with low EV / EBITDA multiples. Methodology: The study was conducted with a quantitative methodology and a deductive design. Nine portfolios were designed with different company sizes and based on different investment strategies during the period 2007-2019 on the Swedish stock market. These portfolios have then been evaluated in terms of both returns and risk-adjusted returns and the results were then finally statistically tested through the implement of parwise t-tests. Conclusion: A small firm effect could not be observed on the Swedish stock market during the examined time period. The portfolios based on the companies with the lowest market value generated a significantly lower return than the benchmark index. Meanwhile, when applying the momentum effect and the strategy of low EV/EBITDA multiples on small companies, four out of four portfolios were found to generate a risk-adjusted excess return relative to the benchmark index. However, this excess return could not be statistically proven and could thus be the result of randomness.

No description available.

No description available.

Flera tidigare studier har visat att det går att generera överavkastning genom att investera i aktier baserat på olika nyckeltal. Genom relativvärdering ställs företag i relation mot varandra för hitta indikationer på under- eller övervärdering. För att bidra ytterligare till den redan existerande forskningen fokuserar författarna till studien på en specifik bransch, industribranschen. Genom en branschindelning bör jämförbarheten öka mellan nyckeltal. Syftet med studien är att undersöka huruvida det är möjligt att generera överavkastning genom att investera i undervärderade aktier i industribranschen enligt nyckeltalen P/E, DY och P/BV. Resultatet kommer att härledas till och diskuteras utifrån teorier inom Behavioral Finance, för att förstå och förklara resultatet. Undersökningen baseras på en kvantitativ metod där tre nyckeltal har undersökts. Fem portföljer har skapats för respektive nyckeltal under tidsperioden 2001-2010. Vidare har allmänt publicerade rekommendationer samt förändringar i nyckeltalen i extremportföljerna undersökts för att bidra till en underliggande förklaring av resultatet. Studiens resultat stödjer tidigare forskning och vi kan visa att samtliga värdeportföljer presterar bättre än motsvarande tillväxtportföljer för de tre nyckeltalen. Störst överavkastning ger portföljer baserat på ett lågt P/BV. Vi har kunnat statistiskt säkerställa överavkastning mellan värde- och tillväxtportfölj för nyckeltalen P/E och P/BV. Effekten existerar alltså även i en specifik bransch och industribranschen visade upp en starkare effekt än tidigare studier där hela marknaden har undersökts. Vidare drar vi slutsatsen att överoptimistiska analyser leder till för höga förväntningar och i kombination med ett flockbeteende bland investerare är detta en förklarande faktor till studiens resultat. / Previous studies have shown the possibility to generate excess returns through investing in stocks based on multiples. A strategy called relative valuation, where companies are compared to one another, aims to find signs of under- or overvaluation. To support existing research, the authors of this study focus on a specific sector, the industrial sector. Supposedly by focusing on one sector the comparability improves. The purpose of the study is to investigate whether it’s possible to generate excess return through investing in undervalued stocks in the industrial sector, according to the multiples P/E, DY and P/BV. Theories from Behavioral Finance will be used to explain, and understand, the result. The study is based on a quantitative method to examine three multiples. During the period 2001-2010 five portfolios were created for each multiple. Publically published recommendations and the change in multiples for the outlying portfolios have been examined to support the explanation for the results. This study supports previous research and shows that, according to the three used multiples, value portfolios perform better than corresponding growth portfolios. The portfolio based on a low P/BV achieves the highest excess return. We can statistically prove that the value portfolios for P/E and P/BV achieve excess returns over their corresponding growth portfolios. The anomaly also exists in a specific sector and the industrial sector proved to have a stronger effect compared to previous studies with a full market research. We can also see that the analyses are overly optimistic and that this leads to high expectations. This in combination with the behavior of herding is a factor explaining the result of the study.

Bakgrund: Ett växande intresse för aktiemarknaden har lett till utvecklandet av ett flertalinvesteringsstrategier för att generera överavkastning gentemot marknaden. Att observeraolika multiplar eller bolags marknadsvärde har blivit två populära tillvägagångssätt vidinvesteringsbeslut. Tidigare studier har främst fokuserat på antingen småbolagseffekteneller olika multiplar. Det finns således ett intresse att kombinera två olika strategier ochundersöka småbolagsaktier med låga och höga EV/EBITDA- samt EV/Sales-multiplar. Syfte: Studiens syfte är att analysera huruvida det är möjligt att generera riskjusteradöveravkastning genom investeringar baserade på EV/EBITDA- samt EV/Sales-multiplari bolag som är noterade på OMX Stockholm Small Cap. Vidare ämnar studien analyserainvesteringsstrategiernas historiska prestationer i relation till olikamarknadsförhållanden. Genomförande: Studien har genomförts med en kvantitativ metod och en deduktivansats. Fyra portföljer har konstruerats utefter bolag med låga och höga multiplar som ärnoterade på OMX Stockholm Small Cap under tidsperioden 2007–2020. Både verkligoch ackumulerad avkastning har beräknats för portföljerna för att därefter kunna testatsstatistiskt med parade t-test. Vidare har portföljernas riskjusterade avkastning beräknatsgenom Sharpekvot, Jensens alfa och Treynorkvot. Resultat: Tre av fyra portföljer genererade högre ackumulerad avkastning änjämförelseindex, dock hindrar svag statistisk evidens möjligheten att säkerställaöveravkastningen över tid. Portföljerna med höga EV/EBITDA- och EV/Sales-multiplarpresterade betydligt bättre än portföljerna med låga multiplar. Trots att alla portföljergenererade högre värden än jämförelseindex i Sharpekvot, Jensens alfa och Treynorkvot,kunde inte riskjusterad överavkastning säkerställas för någon portfölj. / Background: A growing interest in the stock market had led to the development ofmultiple investment strategies with the purpose of achieving excess return. Two popularapproaches of investing are choosing companies based on different multiples or based oncompanies’ market capitalization. Previous studies have mainly focused on either thesmall firm effect or different multiples. Therefore, by combining two strategies andinvesting in Small Cap stocks with low and high EV/Sales and EV/EBITDA multiples, anew investment strategy may emerge. Purpose: The purpose of this study is to analyze whether is it possible to achieve riskadjusted excess return by investing in companies that are listed on OMX Stockholm SmallCap based on EV/EBITDA and EV/Sales multiples. Furthermore, the study aims toanalyze the historical performance of the investment strategy during different marketconditions. Method: This study was conducted with a quantitative method and a deductive design.Four portfolios were designed based on companies listed on OMX Stockholm Small Capwith low and high multiples between the years 2007-2020. Both real and cumulativereturn have been calculated for the portfolios in order for them to be statistically testedwith paired t-tests. Furthermore, risk-adjusted return has been calculated for the portfoliosby using the Sharpe Ratio, Jensen’s Alpha and Treynor Ratio. Result: Three out of four portfolios generated higher levels of cumulative return than thechosen stock index. However, because of weak statistical evidence, excess return overtime could not be concluded. The portfolios with high EV/EBITDA and EV/Salesmultiples performed better than the portfolios with low multiples. Despite that all theportfolios generated higher values of Sharpe Ratio, Jensen’s alpha, and Treynor Ratiothan the chosen stock index, the risk-adjusted return could not be statistically proven.

This study will investigate how Joel Greenblatts magic formula has performed on the Swedish stock market compared to the OMXSPI index. The study will also investigate how different portfolio sizes when using the magic formula will perform in a risk perspective to see if it has been more rewardable to take more risk.