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.

Due to a recent number of undesired rollovers in the field for the studied vehicle, rollover mitigation strategies have been investigated and developed. This research begins with the study of the tire, as it is the single component on the vehicle responsible for generating all of the non-inertial forces to direct the motion of the vehicle. Tire force and moment behavior has been researched extensively and several accurate tire models exist. However, not much research has been performed on off-road tire models. This research develops an off-road tire model for the studied vehicle by first using data from rolling road testing to develop a Pacejka Magic Formula tire model and then extending it to off-road surfaces through the use of scaling factors. The scaling factors are multipliers in the Magic Formula that describe how different aspects of the force and moment curves scale when the tire is driven on different surfaces. Scaling factors for dirt and gravel driving surfaces were obtained by using an existing portable tire test rig to perform force and moment tests on a passenger tire driven on these surfaces. The off-road tire model was then used as a basis for developing control algorithms to prevent vehicle rollover on off-road terrain. Specifically, a direct yaw control (DYC) algorithm based on Lyapunov direct method and an emergency roll control (ERC) algorithm based on a rollover coefficient were developed. Emergency evasive maneuvers were performed in a simulation environment on the studied vehicle driven on dry asphalt, dirt, and gravel for the controlled and uncontrolled cases. Results show that the proposed control algorithms significantly improve vehicle stability and prevent rollover on a variety of driving surfaces. / Master of Science

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

The main goal of this thesis is to obtain lateral parameters of the Magic Formula tire model of a tire commonly used in Formula Student competition. Both the author and the supervisor of the thesis know the tire name and its specification, but the research company that did the tire testing and provided me with the date prohibits sharing this of data publicly, so the tire designation is not mentioned in this thesis. The first chapter covers main theoretical facts related to a tire, briefly describes some of the tire models and shows possibilities how to determine tire characteristics that are used in a tire model. The thesis describes how to process raw tire data measured during a laboratory experiment using scripts created in Matlab software. The inputs variables are slip angle, lateral force, normal force and inclination angle. Raw data are splitted into parts, main coefficients of the Magic formula model (B, C, D, E, Sh, Sv) are calculated and subsequently the lateral parameters are obtained using least square method to fit parameters into the measured data. The works gives two main outcomes. The first output is a set of Matlab scripts that can be used to determine lateral parameters of any tire that has the same input data format as presented. A TIR file of the Formula Student tire in case of lateral slip is the second result of the work. This can be used for vehicle dynamics simulation of Formula Student racing car. The thesis also offers a comparison between parameters, which I calculated, and those gained thanks to Optimum Tire software by Calspan research company. Additionally the work shows the effect of load and inclination angle on lateral force.

Denna studie behandlar två investeringsstrategier, momentum utifrån Jegadeesh & Titman (1993) och värdeinvestering utifrån Greenblatts (2006) Magic Formula Investing (MFI). Det huvudsakliga syftet med studien är att undersöka om det är möjligt att generera positiv abnormal avkastning på den svenska aktiemarknaden utifrån dessa strategier. Enligt den svaga formen av effektiva marknadshypotesen ska detta inte vara möjligt (Fama, 1970). Det sekundära syftet är att undersöka om en kombinerad strategi byggd på momentum och MFI skapar ännu högre abnormal avkastning än strategierna separat. För att testa strategiernas riskjusterade avkastning används Sharpekvoten. Resultatet av studien visar att portföljerna baserade på momentumeffekten- och MFI genererade högre avkastning än jämförelseindex. Studien finner dock inte statistiskt signifikanta resultat när dessa strategier undersöks separat. I kontrast till de separata strategierna uppnår den kombinerade strategin dock statistiskt signifikant resultat och genererade även högst avkastning av de studerade strategierna. Vilket resulterar i studiens tydligaste bidrag, att en kombinerad värde- och momentumstrategi genererar högre abnormal avkastning än när dessa används separat på den svenska aktiemarknaden under den studerade perioden 2005-2018.

Avsikten med studien är att undersöka den magiska formelns prestation på den svenska aktiemarknaden mellan åren 2017–2021. Syftet är att undersöka om denmagiska formeln kan uppnå en högre riskjusterad avkastning än OMXS30 underundersökningsperioden. I denna studie tillämpas backtesting med hjälp av historiska data hämtat från Refinitv Eikons databas för att utforska strategins prestation under undersökningsperioden. Målet med denna studie var att undersöka om den magiska formeln kan användas av investerare med mindre erfarenhet för att uppnå en högre riskjusterad avkastning än OMXS30-index. Med hjälp av två variabler, return on capital och earnings yield fick vi fram ett resultat för att besvara studiens syfte. Under hela undersökningsperioden uppnådde den magiska formeln en genomsnittlig avkastning på 15,32% medan OMXS30 portföljen uppnådde en avkastning på 10,78%. Resultatet från denna studie visade att den magiska formeln kunde uppnå en högre avkastning än OMXS30 under undersökningsperioden men eftersom Sharpekvoten för OMXS30 var högre än den magiska formeln formas indikationer att OMXS30 presterade bättre än den magiska formeln på en genomsnittlig riskjusterad nivå under undersökningsperioden. / This study examines the performance of the magic formula by Joel Greenblatt on the Swedish stock market. A back test was performed to see if the magic formula could generate a higher risk adjusted return and outperform the OMXS30 index between the years 2017 and 2021. The study constructed portfolios for each year for the magic formula and OMXS30 with the ambition to compare the two results. The results show that the magic formula achieved a higher return at a higher risk rate so therefore, it was not able to beat the OMXS30 index on a risk adjusted level.

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.

This study examines the Swedish Stock Exchange during the time period of 1998-2016. Where the purpose is to investigate and compare five different investment strategies to see if these investment strategies can create excess return on their investments, after adjustment for risk. The investment strategies can be found on the internet, and be used after purchasing a smaller amount of money, therefore the results can be applied to all investors independent on their level of experience. The results for the different investment strategies are not clear, the different tests give mixed results which leaves four of five hypotheses unanswered. However, there is one strategy that can be rejected, it cannot beat the market, which is the Net-Nets strategy. In general, one could thus say that the investment strategies can create higher return compared to the market, but that these returns are random. Therefore, it requires a longer time period for the investor as well as higher risk, since one never knows when this large return will be given.

Submitted by Rodolfo Zeidler (rodolfo.zeidler@gmail.com) on 2014-10-14T12:22:56Z No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-10-14T12:55:20Z (GMT) No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Made available in DSpace on 2014-10-14T13:09:41Z (GMT). No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) Previous issue date: 2014-10-13 / O objetivo deste trabalho é realizar procedimento de back-test da Magic Formula na Bovespa, reunindo evidências sobre violações da Hipótese do Mercado Eficiente no mercado brasileiro. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de dezembro de 2002 a maio de 2014 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Todas as carteiras, independentemente do número de ativos ou período de permanência, apresentaram retornos superiores ao Ibovespa. As diferenças entre os CAGRs das carteiras e o do Ibovespa foram significativas, sendo que a carteira com pior desempenho apresentou CAGR de 27,7% contra 14,1% do Ibovespa. As carteiras também obtiveram resultados positivos após serem ajustadas pelo risco. A pior razão retorno-volatilidade foi de 1,2, comparado a 0,6 do Ibovespa. As carteiras com pior pontuação também apresentaram bons resultados na maioria dos cenários, contrariando as expectativas iniciais e os resultados observados em outros trabalhos. Adicionalmente foram realizadas simulações para diversos períodos de 5 anos com objetivo de analisar a robustez dos resultados. Todas as carteiras apresentaram CAGR maior que o do Ibovespa em todos os períodos simulados, independentemente do número de ativos incluídos ou dos períodos de permanência. Estes resultados indicam ser possível alcançar retornos acima do mercado no Brasil utilizando apenas dados públicos históricos. Esta é uma violação da forma fraca da Hipótese do Mercado Eficiente. / The main purpose of this work is to back-test the Magic Formula in the Bovespa Stock Exchange, gathering evidences of violations of the Efficient Market Hypothesis in the Brazilian market. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between December 2002 and May 2014 combining different number of assets per portfolio and different holding periods. All the portfolios, independently of their number of assets or holding periods, presented returns higher than Ibovespa. The differences between the CAGR from the portfolios and from the Ibovespa were significant, the worst performance portfolio presenting CAGR of 27,7%, as compared with 14,1% of Ibovespa. The portfolios also held positive results after being adjusted for risk. The worst return-volatility ratio was 1.2, as compared to 0.6 from Ibovespa. The portfolios containing the assets with the lowest scores also presented good results in the majority of the scenarios, contradicting the initial expectations and the results observed in other works. In addition, simulations were performed for various 5-year periods aiming to check if the results were robust. All the portfolios presented higher CAGR than Ibovespa in all the simulated periods, independently of the number of assets included in the portfolio or the holding period. These results indicate that it is possible to reach above-market returns using historical public data in Brazil. This is a violation of the Efficient Market Hypothesis in its weak form.

Submitted by Leonardo Milane (lemilane@santander.com.br) on 2016-02-15T21:54:56Z No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-02-15T21:55:58Z (GMT) No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) / Made available in DSpace on 2016-02-16T11:16:35Z (GMT). No. of bitstreams: 1 Tese - Leonardo Milane - Magic Formula.pdf: 348511 bytes, checksum: 91d8cd74adea7ad467c334e5d332aeb4 (MD5) Previous issue date: 2016-02-04 / The main purpose of this work is to back-test the Magic Formula in the IBX- 100 index, in order to gather evidence of effectiveness of the respective methodology in the selection of the best stocks and portfolios that beat the IBX-100 in the long run. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between January 2000 and June 2015 combining different number of stocks per portfolio and different holding periods. Some portfolios did beat the market index, while some did not. Portfolios with a higher number of stocks and longer holding periods seem to perform better than portfolio with fewer stocks and shorter holding periods. The portfolio with 10 stocks, holding period of 1 year, showed the highest CAGR among all portfolios (17,77%), surpassing the IBX-100 CAGR of 13,17% in the same period, even risk-adjusting. Regardless the holding period and the number of stocks, all portfolios presented lower systematic risk than the IBX-100 index (all betas were significant and lower than 1). On the other hand, all alphas were low, rarely significant, suggesting that the active portfolio management that follows the Magic Formula criteria did not add substantial higher returns when compared to market returns. / O objetivo desse trabalho é realizar um procedimento de back-test da Magic Formula no IBX-100, a fim de reunir evidencias sobre a eficiência de tal metodologia no processo de seleção das melhores ações e formação de carteiras que superem o desempenho do IBX-100 no longo prazo. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de janeiro de 2000 a junho de 2015 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Nem todas as carteiras apresentaram retornos superiores ao índice de mercado. Aparentemente, as carteiras com mais ações e períodos de permanência mais longos apresentam desempenho superior às carteiras menores e com rotatividade maior (períodos de permanência mais curtos). A carteira de 10 ações, com período de permanência de 1 ano, apresentou o maior CAGR dentre todas as outras (17,77%), superando o CAGR de 13,17% do IBX-100 no mesmo período. Esse resultado foi superior mesmo quando ajustado ao risco. Independentemente do período de permanência e número de ações, todas as carteiras apresentaram riscos sistemáticos menores do que o índice IBX-100 (todos os betas foram significativos e menores do que 1). Por outro lado, os alfas das carteiras foram muito baixos e, raramente, significativos, sugerindo que a gestão ativa de acordo com os critérios da Magic Formula não adiciona retornos substancialmente maiores do que o retorno relacionado à variações de mercado.