| dc.description.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. | en_US |
