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The Magic Formula” På Den Svenska Aktiemarknaden

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The Magic Formula” På Den Svenska Aktiemarknaden Är det möjligt att generera överavkastning genom systematisk värdeinvestering? En studie om ”The Magic Formula” på den svenska aktiemarknaden. Kandidatuppsats 15 hp Företagsekonomiska institutionen Uppsala universitet HT 2020 Datum för inlämning: 2021-01-15 Johan Cavallin Edvin Raiend Handledare: Jonas Råsbrant1 Sammandrag Är det möjligt att överprestera aktiemarknaden genom investeringsstrategier eller bör den långsiktige investeraren följa indexportföljen? I denna studie appliceras Joel Greenblatts investeringsstrategi ”The Magic Formula” på den svenska aktiemarknaden under åren 2000-2020. Strategin bygger på systematisk värdeinvestering där nyckeltalen Return On Invested Capital (ROIC) och Earnings Yield (EY) kombineras för att hitta undervärderade bolag med god resultateffektivitet. En fiktiv portfölj bestående av 20 likaviktade bolag från NASDAQ Stockholm testas mot SIXRX under denna 20 år lång tidsperiod för att undersöka huruvida strategin överträffat marknadsportföljen på längre sikt. The Magic Formula portföljen genererade en genomsnittlig avkastning på 13,5% per år i jämförelse med marknadsportföljen SIXRX som under samma period avkastat 6,6% per år. Störst överavkastning finner vi under turbulenta börsår där marknadsportföljen genererat negativ avkastning. I enlighet med tidigare studier på den nordiska marknaden finner vi ett signifikant alfa efter att ha justerat för småbolags- och värdebolagseffekten enligt Fama French trefaktormodell. Momentumeffekten tycks dock vara en förklarande faktor då vi ej finner signifikant alfa när månadsavkastning jämförs mot Carhart fyrfaktormodell som tar hänsyn till denna kända anomali. Nyckelord: Värdeinvestering, The Magic Formula, Effektiva marknadshypotesen, överavkastning, Carthart Fyrfaktormodell, svenska aktiemarknaden, marknadsanomalier. Abstract Is it possible to outperform the stock market through investment strategies or should the long-term investor follow the index portfolio? In this study, Joel Greenblatt's investment strategy “The Magic Formula” is applied to the Swedish stock market during the years 2000-2020. The strategy is based on a systematic value investment where Return On Invested Capital (ROIC) and Earnings Yield (EY) ratios are combined to find undervalued companies with good earnings efficiency. A fictitious portfolio consisting of 20 stocks from NASDAQ Stockholm is back tested against the SIX Return Index during this 20-year period to examine whether the strategy has generated long-term abnormal excess returns when compared to the market portfolio. In total, The Magic Formula portfolio generated an average return of 13,5% per year compared to the market portfolio which returned 6,6% per year during the same period. We find the biggest excess returns during turbulent stock market years where the market portfolio has generated a negative return. In accordance with previous studies on the Nordic markets, we find a significant alpha after adjusting for the SMB and HML effect according to the Fama French three-factor model. However, the momentum effect seems to be an explanatory factor as we do not find significant alpha when comparing the monthly return against the Carhart four-factor model which takes this known anomaly into account. Keywords: Value Investing, The Magic Formula, The Efficient Market Hypothesis, abnormal return, Carthart Four-Factor model, the Swedish stock market, market anomalies. 2 Innehållsförteckning 1 Introduktion ..................................................................................................................................... 4 1.1 Inledande bakgrund ................................................................................................................. 4 2 Teoretiskt ramverk .......................................................................................................................... 6 2.1 Den Effektiva Marknadshypotesen ......................................................................................... 6 2.2 Studier som strider mot EMH.................................................................................................. 6 2.2.1 Momentumeffekten ......................................................................................................... 6 2.2.2 Småbolagseffekten .......................................................................................................... 7 2.2.3 Effekten av låga P/E-tal ................................................................................................... 7 3 The Magic Formula ......................................................................................................................... 8 3.1 Tidigare studier kring The Magic Formula ............................................................................. 9 4 Hypoteser....................................................................................................................................... 10 5 Data och urval ............................................................................................................................... 10 5.1 Survivorship-bias ................................................................................................................... 11 5.2 Look-ahead-bias .................................................................................................................... 11 5.3 Transaktionskostnader ........................................................................................................... 12 6 Metod............................................................................................................................................. 13 6.1 Portföljkonstruktion, The Magic Formula ............................................................................. 13 6.2 Avkastningsberäkning ........................................................................................................... 14 6.3 Regressionsanalyser .............................................................................................................. 14 6.3.1 Konstruktion av riskfaktorer .......................................................................................... 14 6.3.2 Trefaktormodell ............................................................................................................. 15 6.3.3 Fyrfaktormodell ............................................................................................................. 16 6.3.4 Statistisk signifikans ...................................................................................................... 16 7 Resultat & Analys ......................................................................................................................... 17 7.1 Portföljens avkastning ........................................................................................................... 17 7.2 Robusthetstest ........................................................................................................................ 21 8 Diskussion & Slutsats .................................................................................................................... 22 8.1 Förslag till vidare forskning .................................................................................................. 23 9 Referenslista .................................................................................................................................. 24 10 Bilagor ....................................................................................................................................... 26 10.1 Portföljer för samtliga år under perioden 2020-04 – 2019-12. .............................................. 26 3 1 Introduktion 1.1 Inledande bakgrund Under de senaste åren har den svenska fondförmögenheten växt dramatiskt (Fondbolagens Förening, 2019) i takt med att hushållen har fått mer pengar över till följd av bland annat låga boräntor, samtidigt som det blivit allt enklare att investera genom nätmäklare såsom Avanza och Nordnet. Investeringssparkonton och kapitalförsäkringar är något som drivit på effekten ytterligare tack vare gynnsamma skatteregler. Något som blivit allt mer populärt är passiva indexfonder, där investeraren får ett kostnadseffektivt sparande utan att behöva betala höga avgifter till aktiva förvaltare. Historiska data visar att dessa indexfonder, i många fall, har överpresterat de flesta aktivt förvaltade fonderna inom samma område, efter avgifter räknade. Detta har på senare tid drivit på debatten om huruvida aktiva förvaltare verkligen skapar ett mervärde i sin förvaltning, och om marknaden är möjlig att överträffa på längre sikt. En av de som menar att detta är möjligt är den amerikanske fondförvaltaren Joel Greenblatt som i sin bok ”The little book that beats the market” förklarar hur han kontinuerligt lyckats överavkasta marknaden1 med hjälp av sin till synes simpla investeringsstrategi (Greenblatt, 2010). Strategin, som Greenblatt själv kallar The Magic Formula, bygger på systematisk värdeinvestering som i grunden härstammar från framgångsrika förvaltare såsom Benjamin Graham och Warren Buffet. Graham beskriver värdeinvestering som motsatsen till spekulation, där bolag köps för de egenskaper de har idag, snarare än en förhoppning om framtiden (Graham, 1949). Något som i praktiken realiseras genom att studera bolagens fundamentala värden genom användbara, men simpla, nyckeltal såsom pris i förhållande till vinst (P/E) eller pris i förhållande till bokfört eget kapital (book-to-market). Nyckeln ligger i att inte
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