| dc.description.abstract | The Magic Formula is a two factor value investing model, specialized in finding underpriced
low risk investment opportunities. This study extends available data until 2015 on the ability
for the Magic Formula to rank companies and beat the market. In the updated book the
formula delivers 15.2% annualized returns in the period 1988–2009, when investing in the top
decile of the largest 2500 companies in the U.S. This thesis finds that the Magic Formula
generates 21.6% when invested in decile 1, a result that increases to 24.7% when investing in
a 110/10 Market-Neutral Long/Short Portfolio. Long/short value investing gives a lower
standard deviation and allows for a better sharpe ratio. | nb_NO |
