• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
  •   Home
  • Norges Handelshøyskole
  • Thesis
  • Master Thesis
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Backtesting trading strategies on the Oslo Stock Exchange : Can a non-professional investor beat the market with financial ratios?

Reinertsen, Tobias; Håkedal, Benjamin
Master thesis
Thumbnail
View/Open
masterthesis.pdf (2.037Mb)
URI
https://hdl.handle.net/11250/2989509
Date
2021
Metadata
Show full item record
Collections
  • Master Thesis [4657]
Abstract
This thesis analyzes if a non-professional investor can outperform the market with trading

strategies based on easy-accessible financial information from companies on the Oslo Stock

Exchange. To answer this question, we backtest strategies from 2001 to 2021 with a

monthly rebalancing frequency through three weightings: equal, market capitalization,

and revenue. We evaluate each strategy through risk-adjusted measures, sector exposures,

and risk-factor regressions. All strategies include a two-percent transaction cost to make

the backtests realistic.

Our results show that several strategies outperform the OSEBX. Strategies based on

EBITDA margin, debt-to-equity ratio, current ratio, and interest coverage ratio outperform

the market in both absolute and risk-adjusted returns. Furthermore, we find an optimal

multiple-metric strategy, in which we combine the EBITDA margin, net profit margin,

and current ratio. The multiple-metric strategy outperforms all other strategies tested.

Additionally, it outperforms the OSEBX by 7.5 percentage points in average annual return

and delivers a 54 percent higher Sharpe ratio throughout the 20 years. The results imply

that trading strategies based on specific financial ratios are as relevant for the future, as

for the past.

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit