Buy before December – Seasonal variations on the Scandinavian Stock Exchanges

Published in English on 16 October 2015. Norwegian original here >>

Investtech’s statistics based on three decades of data show that the Scandinavian stock exchanges rise from early winter until early summer. We have studied this seasonality in further detail below.

Statistical results

Investtech has calculated average price development throughout the year for the Scandinavian stock exchanges. The results are shown in the charts below. The left hand charts show the whole period for which we have data, while the right hand charts show the past ten years. The shaded areas show monthly standard deviation, which is a measurement of uncertainty.

Figure 1. Norway. Average annual return on the Oslo Stock Exchange for 1983-2015 and 2005-2015.

Figure 2. Sweden. Average annual return on the Stockholm Stock Exchange for 1987-2015 and 2005-2015.

Figure 3. Denmark. Average annual return on the Copenhagen Stock Exchange for 1998-2015 and 2005-2015.

Analysis

Historically the stock exchanges in Norway, Sweden and Denmark all hit bottom in the autumn. On average the exchanges have developed neutrally in October and November, and then seen a rise in December.

The often discussed January effect seems to have become a December effect instead. The exchanges still show very positive development during winter and spring.

Risk

Figures 1 to 3 show that the standard deviation, visualised by the shaded areas, is large. This is due to variations from year to year, and October and November are no exceptions. On average, however, these months are neutral. December is the month with the least variation.

Figure 4. Return in November and December on the Oslo Stock Exchange from 1983 to 2015.

Figure 4 shows return in November and December for 1983-2015 on the Oslo Stock Exchange. Only three years have seen a fall in December in excess of three per cent. There are also 15 years with a rise in excess of three per cent. On average the rise has been 2.8 per cent and December has ended positively for nine of the last ten years.

 

Figure 5. Return in November and December on the Stockholm Stock Exchange from 1987 to 2015.

Figure 5 shows return in November and December for the years 1987-2015 on the Stockholm Stock Exchange. There are only two years with a fall in December in excess of three per cent. There are also ten years with a rise in excess of three per cent. On average the rise has been 1.9 per cent and December has ended positively for nine of the past ten years. November has also been a very positive period on the Stockholm Exchange, with an average rise of 2.1 per cent since 1987.

 

Figure 6. Return in November and December on the Copenhagen Stock Exchange from 1998 to 2015.

Figure 6 shows return in November and December for 1998-2015 on the Copenhagen Stock Exchange. There are two years with a fall in December in excess of three per cent, and five years with a rise in excess of three per cent. On average the rise has been 1.7 per cent and December has ended positively in seven of the past ten years.

Assessment

October and November have statistically been good months to buy into or buy more on the Scandinavian stock exchanges.

If the Scandinavian exchanges follow the same pattern as in an average year, the coming weeks will be a good time to buy stocks.

Investors who have been out of the market or not fully invested recently, may find this a good time to increase their holdings. There are large fluctuations ahead, but statistically moving upwards more than downwards.

 

The most important buy and sell signals - how well do they perform?

Published 29 September 2023

Based on nearly 200,000 signals in stocks on the Nordic stock exchanges in the period from 2008 to 2020, we have studied to what extent key signals in technical analysis have proven accurate. This article provides an overview of our most significant research results. The main conclusion is that stocks have largely risen after buy signals and fallen after sell signals, as the theory suggests.

Investtech's systems are based on research dating back to 1994. Several of our projects are supported by the Norwegian Research Council. The research is built on principles such as mathematical pattern recognition, statistical optimization, and behavioural finance. We use algorithms to automatically identify buy and sell signals. There are four main signal groups within technical analysis. In addition, we also examine return following insider trading signals.

1. Stocks in a rising trend (buy) and stocks in a falling trend (sell)
Trends are one of the most important indicators in technical analysis. According to technical analysis theory, stocks in rising trends continue to rise, while stocks in falling trends continue to fall. Research conducted by Investtech shows that this holds true.

2. Price far above last resistance (buy) and far below last support (sell)
Support and resistance can be used to find good buy and sell levels. When the price breaks upwards through a resistance level, it triggers a buy signal. When it breaks downwards through a support level, it triggers a sell signal. The price may then move several percentage points in a short time.

3. RSI above 70 (buy signal) versus RSI below 30 (sell signal)
Momentum has proven to be a strong indicator of future price development.

4. Rectangle patterns
A rectangle formation indicates consolidation in the market. The longer the formation develops, the more pressure builds among investors. When the formation is broken, it is often followed by a significant price movement in the same direction.

5. Insider buying (buy signal) and insider selling (sell signal)
Analysis of insider transactions is Investtech's alternative to fundamental analysis. When a person in the company's board or management buys stocks, it is a signal that they believe the stock is cheap. Insider selling is considered a signal that the stock is expensive or that the risk is high.

Below, you will find research results for each of the five signal types, but first, a brief explanation of how to interpret the results.

How to interpret the tables and charts

When the systems detect a new technical signal, we set day number 0 to be the day the signal was triggered. This is on the far left in the charts below. We have then studied how these stocks have developed in the subsequent 66 trading days, equivalent to three months.

The charts show relative figures in relation to benchmark. For example, if a stock on the Oslo Stock Exchange increased by 5.0 per cent in three months, while benchmark increased by 3.5 per cent, the relative return is +1.5 percentage points.

The blue line represents stocks with buy signals. If it rises, it means that the stocks with buy signals increased more than the market in the same period. The red line represents stocks with sell signals. If it falls, it means that the stock with the sell signal performed weaker than the market in the same period.

The shaded areas are an estimate of uncertainty. The narrower they are, the less uncertainty in the chart.

When the blue line rises and the red one falls, along with with narrow shaded areas, we have strong signals. It has then been advantageous to buy the stocks with buy signals and sell those with sell signals.

For a rising trend, the chart shows a relative increase of 1.5 percentage points, as seen in the blue line in the chart below. This is for a period of 66 days, equivalent to a quarter of a year. Repeated four times over a year, and with the compounding effect, it results in an annual excess return of 6.5 percentage points, as shown in the table.
However, this is relative to benchmark, which increased by 9.7 per cent annually, so the annual return for stocks in a rising trend has been an average of 16.3 per cent per year.

You can also experiment a bit and, for example, repeat it over ten years. This results in a return of 352 per cent for stocks in a rising trends, 152 per cent for benchmark, and 40 per cent for stocks in falling trends.

1. Stocks in a rising trend (buy) and stocks in a falling trend (sell)

Nordic markets combined: 35,097 buy signals, 23,289 sell signals in the period 2008-2020:

Nordic markets, annualised (based on 66-day figures) Return Benchmark Diff v average benchmark Diff v benchmark in same period
Buy signals 16.3 % 9.7 % 6.4 %p 6.5 %p
Sell signals 3.4 % 9.2 % -6.4 %p -5.8 %p

%p = percentage point

Figure: Nordic markets combined, medium long term, development relative to benchmark in same period.

2. Price far above last resistance (buy) and far below last support (sell)

Nordic markets combined: 32,531 buy signals, 17,487 sell signals in the period 2008-2020:

Nordic markets, annualised (based on 66-day figures) Return Benchmark Diff v average benchmark Diff v benchmark in same period
Buy signals 18.2 % 8.1 % 8.4 %p 10.1 %p
Sell signals 4.5 % 11.6 % -5.3 %p -7.1 %p

Figure: Nordic markets combined, medium long term, development relative to benchmark in same period.

3. RSI above 70 (buy signal) versus RSI below 30 (sell signal)

Nordic markets combined: 35,864 buy signals, 24,920 sell signals in the period 2008-2020:

Nordic markets, annualised (based on 66-day figures) Return Benchmark Diff v average benchmark Diff v benchmark in same period
Buy signals 17.1 % 9.7 % 7.3 %p 7.4 %p
Sell signals 6.1 % 11.7 % -3.8 %p -5.7 %p

Figure: Nordic markets combined, development relative to benchmark in same period.

4. Rectangle patterns

Nordic markets combined: 3,368 buy signals, 2,677 sell signals in the period 2008-2020:

Nordic markets, annualised (based on 66-day figures) Return Benchmark Diff v average benchmark Diff v benchmark in same period
Buy signals 19.8 % 10.8 % 10.0 %p 9.0 %p
Sell signals 4.3 % 10.9 % -5.5 %p -6.6 %p

Figure: Nordic markets combined, medium long term, development relative to benchmark in same period.

5. Insider buying (buy signal) and insider selling (sell signal)

Nordic markets combined: 9,837 buy signals, 5,158 sell signals in the period 2008-2020:

Nordic markets, annualised (based on 66-day figures) Return Benchmark Diff v average benchmark Diff v benchmark in same period
Buy signals 19.0 % 10.9 % 8.7 %p 8.1 %p
Sell signals 8.0 % 9.7 % -2.3 %p -1.8 %p

Figure: Nordic markets combined, development relative to benchmark in same period.

Investtech Research: Price shocks in Nordic stocks can be used as buy and sell signals

By Head of R&D Mr. Geir Linløkken and research assistant Mr. Fredrik Dahl Bråten, Investtech, published October 6th, 2022.

Abstract: A price shock is when a stock price rises or falls unusually hard. International research into price shocks suggests that such stocks are usually followed by negative return, regardless of the price shock’s direction. We have studied this effect in the Nordic markets. Based on previous Investtech research, we figured that the negative return could not exclusively be explained by price shocks, but rather by the stocks’ high volatility. By excluding the most volatile stocks from the data set, we found that stocks with positive price shocks continued rising and stocks with negative price shocks continued falling. In other words, for normal volatile stocks with positive price shocks, the results are the opposite of that indicated by international research.

Absolute price shocks

International research has largely studied absolute price shocks, i.e. percentage change in closing price from one day to the next. Negative return of 6 and 13 percentage points following large positive and negative price shocks respectively were found in the month following the price shocks.

Our data from the Nordic stock markets in the period 2008 to 2020 showed that both positive and negative absolute price shocks statistically were followed by assumed statistically significant negative excess return vs benchmark. The strongest effects were seen for the largest price shocks, with a price rise of at least 27 per cent or a fall of at least 19 per cent from one day to the next. Shocks this big were identified approximately once every second or third year per stock. Negative excess returns the following month were 6.3 and 1.8 percentage points for positive and negative price shocks respectively.

The largest absolute price shocks tend to come from stocks with high volatility. Thus, such stocks represent a disproportionately large percentage of the buy and sell signals from absolute price shocks. Based on our previous research into excess return from buy and sell signals from highly volatile stocks, it made sense to study whether negative excess return after positive price shocks ties in with higher volatility in the stock, rather than being an effect of the price shock itself.

Volatility-normalized price shocks

Certain high-risk stocks can fluctuate 5-10 per cent on an average day, while low-risk stocks barely fluctuate 1 per cent. Consequently, we think that percentage change alone is not sufficient an identifier of a price shock. We calculated volatility-normalized price shocks as closing price change in per cent, adjusted for the stock’s volatility in the last 22 days. The measurement variable is thus price change divided by volatility. The 1.5 per cent biggest price shocks are considered buy and sell signals. This equals a price change of approximately five volatility-normalized price changes’ standard deviations, so that the signal was triggered when the stock in one day changed more than five times the daily standard deviation.

We chose to remove high volatility stocks from the data set, in order to exclude the negative excess return effect from high volatility stocks as much as possible. This means that stocks with an average monthly volatility of 30 per cent or more are excluded from the data set.

Results for buy signals from volatility-normalized price shocks


Figure 1: Nordic markets combined. Return following buy signals from volatility-normalized price shocks. Thick blue line is signal stocks, thin black line is benchmark. Nordic markets 2008-2020.

Annualised return (based on 66-day figures) Norway Sweden Denmark Finland Weighted average
Buy signal 13,8 % 17,7 % 14,8 % 12,8 % 15,8 %
Benchmark in the same period 5,8 % 9,9 % 11,4 % 7,9 % 9,0 %
Excess return, buy signal 8,0 pp 7,8 pp 3,4 pp 4,9 pp 6,8 pp

pp = percentage point, i.e. the arithmetic difference of the percentage returns. Annualised figures are calculated by repeating the 66-day figures for one year, assuming an average year has 252 stock exchange days.

On average, stocks with positive volatility-normalized price shocks continued rising. After three months, stocks with buy signals had on average risen 3.9 per cent, an excess return of 1.7 percentage points vs benchmark. Statistical measurement values indicate high statistical significance.

All four Nordic markets showed good price increase and excess return for signal stocks. The combined results are considered consistent even though the specific return figures vary. Buy signals from volatility-normalized price shocks are statistically considered to give good signals that can be a basis for making investment decisions in individual stocks.

Results for sell signals from volatility-normalized price shocks


Figure 2: Nordic markets combined. Return following sell signals from volatility-normalized price shocks. Thick red line is signal stocks, thin black is benchmark. Nordic markets 2008-2020.

Annualised return (based on 66-day figures) Norway Sweden Denmark Finland Weighted average
Sell signal -8,8 % 8,9 % -1,0 % 4,7 % 3,3 %
Benchmark in same period 5,8 % 16,1 % 9,3 % 9,3 % 12,0 %
Excess return, sell signal -14,6 pp -7,3 pp -10,3 pp -4,6 pp -8,6 pp

On average, stocks with sell signals have risen following the signals for the Nordic markets combined. However, the rise has been a lot lower than benchmark in the same period, and negative excess return has increased over the following three-month period.

After three months, stocks with sell signals had on average risen 0.9 per cent, a negative excess return of 2.3 percentage points vs benchmark. Annualised negative excess return was 8.6 percentage points. Statistical measurement values indicate high statistical significance.

Sell signals from negative volatility-normalized price shocks are considered to be good input into a technical stock trading strategy for identification of stocks to sell and stay away from.

Summary and conclusion

Stocks where the price on a single day changes to an unusual degree are said to trigger price shocks. Following absolute price shocks, we found that stocks with positive and negative price shocks both underperformed compared to benchmark, in line with previous research.

When we normalized the price shocks for the stock’s volatility, and also excluded the most volatile stocks, we found that stocks with positive price shocks were followed by excess return of assumed statistical significance. Stocks with negative price shocks were followed by assumed statistically significant negative excess return.

The results indicate that stocks with volatility-normalized price shocks, larger than five times normal daily fluctuations, statistically will give excess return in the same direction as the price shock.

Robustness measures indicate that it will be statistically beneficial to sell stocks with negative price shocks, and at the same time beneficial to buy stocks with positive price shocks, in addition to always staying away from the most volatile stocks.

Further details and discussion of results can be found in Norwegian in this research report (Professional subscription required).

References

 

Strategies in volatile markets

Published 17 March 2022.
Written by Head of Research and Analysis Geir Linløkken and Fund Manager Mads Grønstad

Abstract
In times of great uncertainty, stock markets fluctuate more than usual. High volatility offers greater opportunities, but also higher risk. If you need cash soon, within one to five years, we recommend being careful and keeping funds you cannot afford to lose out of the stock market. If you are a long-term investor, we recommend being fully invested, and having a higher threshold than usual for replacing shares. Active traders may find good opportunities in stocks that have triggered short-term buy signals, but also in stocks that have decreased in value, especially if insiders purchased these stocks at the same time. However, note the risk of prices continuing to fall.

Volatile markets – cause and effect

Shocking events
It is often incidents with large and confusing consequences that result in large price falls. Such scenarios are very unlikely to be anticipated, which is why resulting fluctuations are so great.

High degree of uncertainty
Investors hate uncertainty. Insecure investors seek security. When the news are constantly changing, uncertainty becomes high.

Larger fluctuations than usual
Volatility is almost synonymous with fluctuation. Periods of large fluctuations are nerve-racking for many investors. Should they buy more, or should they sell everything? Broad research shows that after a period of high volatility, a new period of high volatility statistically follows.

Frequent risk-off and risk-on shifts
Nervous investors are easily influenced by news. When the news is negative, they fear a fall, and seek security. This is «risk-off». When is the news is positive, investors are greedier, and seek upsides. This is «risk-on». Switches between optimism and pessimism can happen very quickly in volatile markets, and it can be hard to keep up.

Large price movements
Opportunities for large price falls and large price increases in the short term. It depends which way the news turn and can be very difficult to predict. Many say that "the market is always right", but in crises new information comes frequently and moves the market.

Many short-term technical signals
Large movements easily break support or resistance levels, or trigger other signals.

Frequent false signals and reversals
When the news are constantly changing and contradictory from one day to the next, false technical signals are easily triggered. At the same time, signals can warn of large price movements at an early stage.

Individual stocks can fall a lot
If the stock market falls 5 per cent, a medium risk stock can easily fall 10, and a high risk one fall 20. It is easy to be intimidated by such falls. When the market reversal then occurs, however, the stocks that have fallen the most may be the ones that rise the most.

Recommendation for short-term investors

This applies to investors who are in the market now, but who need all, or part of, their money soon.

Risk of loss
There is always a risk of losing money in the stock market. In volatile markets, the risk of large losses can be several times higher than normal. Remember that high volatility very often follows high volatility. The risk of winning is also higher than normal, and if you can handle the fluctuations, appreciate the excitement, sleep well at night and potentially handle losing a lot of money, then remain in the market.

Secure the funds you need
However, if you need your money within one to five years, we recommend selling for the amount you need. It could be that you are planning to buy a new house, cottage or car, that you are planning to give an inheritance advance, or that you have uncertain capital requirements. It would be terribly uninspiring to run short of cash when the dream house comes up for sale or your children need help getting into the housing market.

Think of the consequences
Try to think in terms of consequences. What happens if the market falls 50 per cent? Will I still be able to do what I want, with a certain safety margin? Or can’t I do what I want right now anyway, regardless of whether I secure all funds, but need a price increase of say 30 or 50 per cent in order to realize my dream?

Recommendation for long-term investors

Most people who invest in the stock market are long-term investors. And that is good. The stock market fluctuates in the short term, but in the long term it has been shown to provide better returns than bank deposits, real estate and other forms of savings. This is despite the fact that stock market corrections occur at irregular intervals and that about once a year there is a significant fall of 9-12 per cent (article in Norwegian).

Be invested
The most important piece of advice for long-term investors is to be continuously invested in the market. It is difficult to time entry and exit in the short term. Once you have sold, it can be very difficult to buy again at the right time during a fall. For instance, if you are not in the market and have watched the stock market rise and share prices increase, it can be psychologically difficult to buy again.

Retain risk exposure
When you chose to enter the stock market, you may have made some assessments about your desired level of risk. In times of frequent risk-off and risk-on shifts, investors' appetite for risk will fluctuate sharply. If you then try to switch between low-risk and high-risk stocks, it is easy to make mistakes. One piece of advice is thus to keep risk exposure unchanged. You can weigh risk exposure a little down or up, but preferably while doing this as a result of higher risk awareness, and as part of a long-term investment strategy.

Diversification
In some crises, such as for energy stocks during the outbreak of the Ukraine war, some sectors can perform very strongly. These may then give strong technical signals. However, be aware of spreading risk across multiple sectors. Pay attention to buy signals, certainly, but do not buy ten energy shares and no shares from other sectors. Have a closer look at your portfolio. Is it well distributed across different sectors?

Prepare for fluctuations
Stock prices will vary, maybe a great deal! Be prepared for large fluctuations, so that you are better able to handle them when they happen. You can more easily overcome your own fears and psychological factors, and thus be able to remain in the market. You may even find opportunities when others make fearful mistakes.

Higher threshold than usual for replacing stocks
Large fluctuations mean that individual stocks can easily trigger buy and sell signals. This also means that price movements can easily be reversed and signals turn out to be false. As a result, have a higher threshold than usual for replacing stocks. We recommend emphasizing technical signals a little less than usual, especially short-term signals.

At the same time, we recommend watching insiders more closely. Board members, directors and other insiders know the companies and markets in which they operate better than most. When they invest their own savings in a stock, it is because they see good opportunities for long-term price increases. Insider purchases provide security. During previous crises, especially the corona crash, we saw that stocks with insider buys in retrospect did significantly better than other stocks (article in Norwegian).

Recommendation for active traders

This applies to those who are in the market long-term, but who want to take advantage of opportunities and are active traders.

Opportunities are created
A stock market crash and high volatility is a dream scenario for active traders. Opportunities are now being created. We can see great fear and mispricing, and stocks can rise dozens of per cents in a day or week. But it is also now that stocks can fall victim to mass fear, 50 per cent falls, or even that companies may go bankrupt.

Stay invested
The advice to those who are aware that they are traders, and who can tolerate this high risk, is first and foremost to stay in the market. Do what you always do, try to rise above the chaos that sometimes prevails, and watch out for the opportunities it offers.

Seek opportunities
This is mainly a risk assessment. If you want high upside, you can trade following short-term signals in the most volatile stocks. If you are looking for more security, you can trade following more long-term signals in less volatile stocks. Opportunities come in both classes and in between.

Early signals
If you know what you are looking for, you can act faster when the situation arises. Reactions upwards from support, at high volume, may be among the earliest signals. Great potential, but also high risk of reversal and fall. Breaks upwards from resistance can signal a change of focus and increasing buy interest, and have historically been among the strongest signals.

Panic selling and forgotten stocks
Sometimes stocks just keep falling for a long period of time. It is basically a sign that investors are becoming more and more pessimistic, and that the company is experiencing problems. In crises, such shares may have a disproportionately strong price fall. Especially if this happens without there being specific news about the company, and at high volume, it can be a so-called "sell-off". In these scenarios, investors have almost sold in a panic to get out. This is very high risk, but it sometimes offers very good buy opportunities.

Look to insiders
A factor that reduces risk, is when insiders trade. Insiders are in it for the long term and they see through crises. They have historically bought in the wake of falling prices and have been rewarded with higher price increases than other stocks. Investtech offers insider trade analysis for the Norwegian, Swedish and Danish markets.

Prepare for large fluctuations
Yes, prices will continue to vary. Yes, it will affect your portfolio. And, yes, you will regret trades you made. Prepare for this and it will be easier to cope. And it will be easier to succeed when opportunities arise and to stand by your decisions.

Summary

Short-term investors: Sell now what you cannot afford to lose.

Long-term investors: Remain in the market. Less emphasis on technical signals, more emphasis on what insiders do.

Active traders: Many opportunities now. Search for forgotten stocks and sell-offs. Insider buys reduce risk.

Good luck!

Hur Investtechs modellportföljer kan användas

[This article is not yet translated to DUT. Showing untranslated version.]
Publicerad 2016-04-28

Investtechs modellportföljer har visat goda resultat över många år. Portföljerna är menade som inspirationskällor till våra kunder, men kan man också följa dem med reella pengar? Vi har gjort en analys av resultaten, och ger här några tankar runt praktisk användning av portföljerna och Investtechs tjänster.

Investtechs modellportföljer är modeller på hur Investtechs analyser kan användas av den genomsnittliga aktiespararen. De visar hur en långsiktig investerare, som följer marknaden aktivt från vecka till vecka, kan använda Investtechs analyser till att välja aktier. Det kan vara svårt att direkt följa modellerna, och aktiva investerare kommer kunna göra dagliga värderingar av marknaden och kanske handlar oftare än i modellen. Modellportföljerna är först och främst tänkt som exempel och inspirationskällor för att lära sig att använda analyserna, verktygen och metodiken som Investtech erbjuder.

Bäst att handla första dagen, eller ta god tid på sig

I modellerna används senaste kända kurs, motsvarande slutkurs dagen före portföljen publiceras. Ofta handlas aktierna till en annan kurs nästa dag, och det kan vara svårt att komma in eller ut till samma pris som i modellen.

Vi tror det finns två huvudsakliga anledningar till detta. För det första är det nästan alltid tekniskt positiva aktier som tas in i portföljen. Enligt Investtechs forskning kommer dessa statistiskt att stiga framöver. Sådana aktier fortsätter att stiga, och de gör så bättre än börsen. Det är just grunden till att de tas in i portföljerna.

En annan anledning kan vara att Investtechs analyser och val av aktier till modellportföljer i någon grad påverkar beteende hos investerare. Om tillräckligt många önskar att köpa en aktie som publiceras, kommer balansen mellan köpare och säljare i aktien förändras, med följden att köparna måste gå upp i pris för att få tag på önskad mängd aktier.

Figurerna under visar teoretisk annualiserad avkastning på Investtechs modellportföljer beroende av när man handlar.

Annualiserad avkastning som funktion av handelstidpunkt.

Förklaring: Annualiserad avkastning (årlig genomsnittsavkastning) på y-axeln som funktion av handelstidpunkt på x-axeln. Sista kända slutkurs används i Investtechs portföljer. Detta motsvarar 0 i grafen. Handel på nästa dags öppningskurs, motsvarande första möjlighet om man skulle följa modellen direkt, modelleras som 0,5 i grafen. Därefter kommer 1, som er nästa slutkurs, 1,5 är nästa öppningskurs, och så vidare.
Blå prickar är före omkostnader och gröna är efter 0,2 procent kostnad vid köp och försäljning. Den röda linjen anger referensindexets avkastning.

Modellportfölj Norge.

Modellportfölj Sverige.

Modellportfölj Danmark.

Modellportfölj Finland.

Genomsnittet för de fyra nordiska börserna visar att modellportföljerna har givit en teoretisk årlig meravkastning före omkostnader på 12,5 procentenheter vid handel till sista slutkurs. Detta faller till 8,9 procentenheter vid handel till slutkurs på dagen för publicering. Om man handlar på slutkurs en vecka framåt i tiden, kommer den genomsnittligt årliga meravkastningen bli 9,3 procentenheter. Studerar vi graferna ovan, ser vi att avkastningen i snitt är lägst vid handel på slutkurs cirka två dagar efter publicering, medan den sedan stiger lite igen den kommande veckan. En möjlig förklaring på detta kan vara att aktierna som går in i modellportföljerna får en överreaktion de första dagarna, men att de sedan faller tillbaka något igen.

Det ser därmed ut som om snabbast möjliga handel, inom loppet av första dagen efter publicering, ger de bästa resultaten. Detta gäller, viktigt att notera, om man kunnat handla utan att vara tvungen att driva kurserna för mycket. Om man inte lyckas med detta, kan man uppnå goda resultat också genom att handla aktierna en till två veckor efter publiceringen.

Bäst att handla både små och stora bolag

I modellerna ingår aktier med en daglig omsättning ned mot runt en miljon kronor. Detta kan vara lågt för enskilda investerare, och kan vara tidskrävande för att genomföra affärerna. Vi har sett på hur teoretisk avkastning på Investtechs modellportföljer varierar med krav på minimumlikviditet.

Modellportfölj Norge.

Modellportfölj Sverige.

Modellportfölj Danmark.

Modellportfölj Finland.

Figuren visar annualiserad avkastning som funktion av minimumlikviditet. Aktier som har likviditet lägre än värden på x-axeln, i miljoner kronor i daglig omsättning, utesluts från portföljen. Blå prickar motsvarar före omkostnader och gröna är efter 0,2 procent kostnad vid köp och försäljning. Den röda linjen anger referensindexets avkastning.

Vi ser att modellportföljerna i stort sett har givit bäst teoretiska resultat när det inte ställs krav på minimumlikviditet. Då kommer alla aktier som är med i de ursprungliga portföljerna vara med. Ser vi på de fyra graferna samlat, anses det att finnas ett klart, men svagt, negativ samband mellan årlig avkastning och minimumlikviditet. Modellerna har emellertid givit goda resultat oavsett likviditetskrav.

Summering och tankar kring praktisk tillämpning

Det kommer vara svårt att följa modellportföljerna direkt. Speciellt kommer det vara svårt att komma in och ut i mindre likvida aktier på kort tid. Men det är heller inte avgörande att komma in och ut snabbt. Teoretiskt får man bättre resultat genom att handla fyra till sex dagar efter publicering än att handla på dag två. Resultaten då är ungefär lika goda som att handla till slutkurs dagen före publicering.

Under de 15 år som Investtech har publicerat modellportföljer, har teoretisk årlig genomsnittsavkastning vid handel på nästa slutkurs och vid handel på slutkurs fem dagar framåt i tiden, legat runt nio procentenheter högre avkastning än referensindex. Handel till öppningskurs dagen före publicering har legat runt två procentenheter högre. Om man provar att köpa stora poster på öppning, kommer man emellertid räkna med att pressa kurserna.

De bästa resultaten har teoretiskt blivit uppnådda om man inte sätter något krav på likviditet, men också handlar de minst likvida aktierna. Med modellportföljernas strategi motsvarar detta i praktiken aktier med en genomsnittlig dagsomsättning ned mot en miljon kronor.

Investtechs modellportföljer uppdateras endas en gång per vecka. De kan därmed inte ta in aktier med köpsignaler lika fort som kanske önskas, och heller inte ta ut portföljaktier med säljsignaler förrän nästa uppdatering. Genom att följa börsen från dag till dag, kommer investerare ha möjlighet att gå ur förloraraktier snabbt, och gå in tidigt i aktier med köpsignaler. Detta är ett förhållande som gör att reella investerare kan prestera bättre än vad modellen indikerar.

Referenser och forskningsresultat

Denna artikeln är baserad på en forskningrapport med fler detaljer och analyser.

Strategin bakom Investtechs modell- och traderportföljer är i storgrad uppbyggd runt Investtechs forskningsresultat från de nordiska aktiemarknaderna. Du kan läsa mer om dessa på våra Forskningssidor.

Resultaten som kanske är viktigast för portföljerna är bland annat följande:

 

Keywords: Analyse,avkastning,Helsingfors,Kjøpssignal,København,Modellportefølje,Oslo,statistics,statistikk,Stockholm.

 


Investeringsaanbevelingen worden gedaan door Investtech.com AS ("Investtech"). Investtech garandeert geen volledigheid of juistheid van de analyses. Eventuele fouten in de aanbevelingen, koop- en verkoopsignalen en mogelijke negatieve gevolgen hiervan zijn geheel het risico van de belegger. Investtech neemt geen enkele verantwoordelijkheid voor verlies, direct of indirect, als gevolg van het gebruik van Investtechs analyses. Meer informatie omtrent Investtechs analyses kunt u vinden op disclaimer.


Investeringsaanbevelingen worden gedaan door Investtech.com AS ("Investtech"). Investtech garandeert geen volledigheid of juistheid van de analyses. Eventuele fouten in de aanbevelingen, koop- en verkoopsignalen en mogelijke negatieve gevolgen hiervan zijn geheel het risico van de belegger. Investtech neemt geen enkele verantwoordelijkheid voor verlies, direct of indirect, als gevolg van het gebruik van Investtechs analyses. Meer informatie omtrent Investtechs analyses kunt u vinden op disclaimer.

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