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NAV discounts in Swedish investment companies

NAV discounts in Swedish investment companies: AlgoBee research on how Investor, Industrivärden, Lundbergs, Öresund and Svolder are priced against their net asset value, simulated as a balanced long/short portfolio. Research draft, not investment advice.

How the model works

1. The model assesses how each company is priced relative to its net asset value and the other companies in the portfolio.
2. It measures deviations from historical observations to identify relative cheapness and richness.
3. Positions are balanced to zero net cash exposure and up to 100% gross exposure.
4. The model is reviewed each trading day; the simulation executes at the next close and charges turnover and short borrowing.

Research draft. Historical inputs are under review, results are simulated and no positions are published.

Execution and capacity are not modelled: orders fill at the next close with a fixed cost whatever their size, and the smaller companies can take only limited capital.

The publisher may trade this model on its own account, which creates a conflict of interest.

Background: NAV discounts in investment companies.