--------- Systematic portfolio for the Mobius Investment Club Strategy: Growth Started May 2006 Initial Investment 5000 UK Pounds for total portfolio Portfolio size maximum 5 stocks --------- A Systematic portfolio also commonly called a mechanical portfolio (but also known as programmatic or automated) relies on a specific set of criteria to select shares from a set of markets and sectors. The criteria used (also called filters) should be clear, explicit and repeatable. --------- Policy version 1.0 07/05/2006 - Mourad Kara mourad@mobiusclub.co.uk Policy selected for the strategy has two phases and 8 steps. --------- Tools used: Stock screener tools are used. We use the stock screener from DigitalLook (and ADVFN for validation). --------- Criteria agreed for policy v1.0 Phase 1: Compulsory criteria (constraints): Scope: UK stock market - all sectors (1). market cap greater than £50 Mil (> 0.01 of allshare marketcap) (2). PSR (Price to Sales Ratio) within the lowest 3 deciles (top 30%) (3a). Forecast 1st year normalised EPS > 0 (3b). Forecast 2nd year normalised EPS >0 (4). Forecast EPS growth over 2 years within the highest 3 deciles (top 30%) (5). PEG between 0 and 1.5 AND logical operator applied for (1)..(5) Phase 2: Optional filters (if applicable) for final selection (6). PE within the lowest 3 deciles (top 30%) (7). Net Gearing within the lowest 3 deciles AND logical operator applied for (6)(7). (8). Additional criteria to select one company (if applicable, i.e. If there is still more than one company): MIN ["(RSI) AND (% off of 52 week low)"]. We pick the company with the lowest value. --------- --------- June 2006 --------- --------- Current Portfolio: Delta This month's selection: BetonSport --------- --------- I run the systematic portfolio today (14/06/2006), lunch time. After the phase 1; there were 22 stocks After phase 2 (step 6-7), there were only two companies: Delta and Beton Sports. We already have the company Delta, so BetonSport is selected. I also executed step (8), out of interest; and Delta = 7.65 and BetonSport = 3.47; so BetonSport has the minimum value. Note that step (8) is not necessary. BetOnPsorts Travel & Leisure Sector; FTSE-AIM. Next Yr EPS Growth 42% Next Yr+1 EPS Growth 18% Market Cap (m) £119M Net Gearing 50.79% P/E 13.7 PEG 0.3 Price Sales 0.2 Price 132.5p RSI = 28.3% Low52week 118p 30 Day Chg 9.62% 5 analysts (4SB, 1N) EPIC= BSS --------- Phase 1 output (22 stocks) BetonSPorts Delta Dimensiondata Elementis Fenner First Choice Go-Ahead group Inevnsys Joh Wood Land of Leather Laura Ashley Logica CMG Lookers M&C Saatchi Macfarlane Group Morgan Concible Pendagron Robert Walters Sainsbury Serco Yule Catto --------- --------- About the Systematic (Mechanical) portfolio -- Proposed through Mourad Kara's document in April 2006 and presented at the May 2006 monthly meeting. -- Voted by the Mobius Club to go ahead as proposed in May 2006. -- For further details and/or contacts, email mourad@mobiusclub.co.uk --------- Acknowledgements to -- Rolling Stocks Investment club (UK) and in particular Dave Gaskell for his help and assistance in understanding mechanical portfolios. -- "What Works in Wall Street, A Guide to the Best-Performing Investment Strategies of All Time", James P O'Shaughnessy, McGraw-Hill, 3rd edition. --------- ---------