Undersökningen genomförs baserat på finansiell data från tidsperioden 2005-2015 påStockholmsbörsen, genom fiktiva aktieportföljer som skapas efter Graham och Greenblattsstrategier. Portföljerna får ett tillskott på 50 000 kr vid två fasta datum årligen där de mest köpvärdaaktierna enligt respektive strategi inhandlas. I tillägg till dessa portföljer skapas ytterligare tvåportföljer med den skillnaden att halva placeringen årligen investeras i obligationsfonder.Resterande investeras i enlighet med Grahams respektive Greenblatts strategier. Undersökningenvisar att båda värdeinvesteringsstrategierna gav en hög avkastning. Bäst resultat fick Greenblattsportfölj som påvisade en genomsnittlig årlig avkastning på hela 19,37 procent! och ett betavärdejämfört med populationen på 0,79. Grahams strategi gav en genomsnittlig årsavkastning på 10,71procent och hade ett något lägre betavärde på 0,7. Samtidigt gav de alternativa portföljerna enavkastning på 10,93 respektive 7,52 procent med viktade betavärden om 0,39 och 0,35 jämfört medpopulationen som helhet. Stockholmsbörsen avkastade under perioden 9,44 procent.

Uppsatsen undersöker hur Joel Greenblatts investeringstrategi The Magic Formula presterat på Stockholmsbörsen mellan mars 1993 och mars 2013. Formeln presenteras i Greenblatts bok "The Little Book that Beats the Market" från 2006 och sorterar ut de aktier som har bäst kombinerad ranking av två nyckeltal; Direktavkastning och Avkastning på Kapital. Aktierna bildar en portfölj, vars utveckling jämförs med index. Resultatet av undersökningen visar att The Magic Formula slår index på Stockholmsbörsen och har en högre riskjusterad avkastning. Slutsatsen blir således att Greenblatts investeringstrategi är effektiv på Stockholmsbörsen.

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.

德國投資大師科斯托蘭尼（Kostolany）曾用主人牽狗散步來形容股價跟基本面的運行關係，主人從甲地到乙地的路徑像是公司的基本面，而狗跟隨著主人的步伐忽前忽後、亦步亦趨就像是股價，兩者之間短期間不一定會同步，但最終必將一致。這個現象說明了股市投資的一個不變的真理：長期而言，股價必將反映公司經營的基本面。作為一個投資人如果無法掌握基本面的走向，而只知道一味的追逐股價的走向，則無異於捨本逐末，緣木求魚了。 從基本面來分析公司的價值，最直接正確的方是就是現金流量折現模型，但這個方法對於如何預估公司未來產生的現金流，及如何採用折現率存在著相當大的歧異。再者，一經估算出公司的內在價值後，要在什麼價格買進是另外一個要面對的問題。葛林布雷（Joel Greenblatt）選擇從另外一個角度切入，他藉著資本報酬率（Capital return）來篩選經營績效傑出的公司，加上盈餘報酬率（Earning Yield）來選出便宜的標的，兩者結合在一起過濾出的組合可充分發揮出價值投資者選股的精神。 本研究應用他所提出的方法，選擇MSCI Asia Pacific ex-Japan指數做為樣本，實際驗證用這兩個神奇公式所選出的投資組合在2002-2007年的表現，結果得到年化報酬率超過指數表現高達40%的績效。對於一般非專業的投資人，可以利用這個低成本及有效的方式建構一個價值型的投資組合，避免跟隨市場波動而頻繁地交易，達到投資而非投機的目的了。 / Andre Kostolany, Germany guru investor, explains the relationship between stock price and fundamental by an example of a man walking a dog. The master’s route expresses the company’s operation fundamental while the follow-up path of the dog is the stock price movement. Their paths are not sure synchronizing at short period of time but it will be corresponding in the long run. Admittedly, this phenomenon tells us the truth that the stock price finally should reflects the operating result of the company. Therefore, it’s in vain if an investor cannot manage to understand the business development but only chase technical price information. Basically, the discount cash flow, DCF, is the first and foremost method to evaluate the value of the company. However, how to forecast the future cash flow of the business as well as how much the discounting rate be used are still among debatable. Secondly, when to buy the stock is another dilemma after the intrinsic value is calculated. Joel Greenblatt takes the topic from a different angle. He points out those stocks with high capital yield and earning yield that depicting not only superior capital spending but also relatively inexpensive compare to others. In short, his two magic formulas combine major value investor components indeed. This thesis applies his findings to eqiuty portfolio construction in Asia Pacific markets. From 2002 to 2007, the magic 30 basket, composed of 30 constituents with highest capital and earning yield, outperforms the MSCI Asia Pacific ex- Japan benchmark by astonishing 40% p.a. For non-institutional investors, the model is particularly useful in construction a value-oriented portfolio that refrains from frequent transactions in face of market volatility.