Thesis (MBA)--Stellenbosch University, 2000 / ENGLISH ABSTRACT: An increase in personal wealth and higher emphasis on profitable investments for retirement has materiálised in a search for investment vehicles to produce superior returns. Two main disciplines of analyses are being used in an attempt to forecast future stock returns. These are fundamental analysis and technical analysis. This study will use technical analysis to generate buy and sell signals for a pseudoportfolio. Portfolio returns were analysed to determine their performance relative to a market index, in this case the S&P 500. A backtesting period of nine years was used to "train" the indicator variables, and applied to a tenth year's data, used as forward testing. Backtesting returns were significantly superior than that of the market, and forward testing significantly inferior. These results appear to confirm the efficient market and random walk theories. A .number of differences of opinion were identified, indicating the need for further research. / AFRIKAANSE OPSOMMING: Toenemende strewe na materiële welvaart en 'n groter fokus op gemaklike aftrede het studies ter hoër beleggings opbrengs gestimuleer. Beide fundamentele en tegniese analises word tans gebruik in 'n poging om toekomende mark prysbeweging te kan voorspel. In hierdie studie is tegniese analise gebruik om koop en verkoop wysers te genereer, waarvan die opbrengs in 'n skyn-portefeulje bepaal is. Die opbrengs van hierdie portefeulje is vergelyk met 'n toepaslike mark - indeks, in hierdie geval die S&P 500. 'n Periode van nege jaar se data is gebruik om tegniese parameters se optimum waardes te bereken, en daarna onveranderd op 'n tiende jaar se historiese data toegepas. Die opbrengste is in beide gevalle bepaal, met terugwaartse opbrengste hoër as mark opbrengs en vooruit toetsing statisties beduidenisvol laer as mark opbrengs. Hierdie resultate is beduidenisvol, en bevestig die geldigheid van die doeltreffende markhipotese asook die toevallige prysbewegingsteorie. 'n Aantal leemtes in huidige portefeulje opbrengste teorieë is geïdentifiseer wat in verdere studies aangespreek behoort te word.

Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. Metod: En kvantitativ studie med ett deduktivt förhållningssätt. Undersökningen utför tester på den svenska aktiemarknaden under perioden 2011–2020 genom en regressionsanalys. Upptäckter: Carharts fyrfaktormodell har en högre justerad förklaringsgrad än trefaktormodellen, vilket drivs av modellens förmåga att förklara avkastning på portföljer sorterade efter storlek och momentum. Originalitet: Studien särskiljer sig på grund av avsaknaden av forskning på den svenska aktiemarknaden. Vidare bidrar studien till ett forskningsområde för små öppna ekonomier, där den svenska aktiemarknaden ingår. / Purpose: The purpose of the study is to analyze and evaluate Carhart's four-factor model’s and Fama-French's three-factor model's performance in portfolio returns on the Swedish stock market, during the period 2011–2020. Theory: This study is based on the effective market hypothesis, Fama and French's three- factor model and Carhart's four-factor model. Method: A quantitative study with a deductive approach. The survey performs tests on the Swedish stock market between the period 2011-2020 through a regression analysis. Findings: Carhart's four-factor model has a higher adjusted degree of explanation than the three-factor model, which is driven by the model's ability to explain returns on portfolios sorted by size and momentum. Originality: The study differs due to the lack of research on the Swedish stock market. Furthermore, the study contributes to a research area for small open economies, where the Swedish stock market is included.