--------- 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 (initial investment of £1k/stock) Run 09/11/2006 @ 13:20pm for November 2006 - Mourad Kara mourad@mobiusclub.co.uk --------- NOVEMBER 2006 (New layout for monthly report) --------- QUICK SYS PORTFOLIO REVIEW Delta - PP=125p - SP=152p - PH =150p S/L= 19p BetonSport - PP=***p - SP= ** p - PH=***p - S/L=21p Robert Walters - PP=232p - SP=293p PH=295p SP=35p Land of Leather - PP=248p - SP=298p PH=298p S/L=38p Hyder Consulting PP=332p - SP=342p PH=342p S/L=51p PP = Purchase Price; SP= Today's Share Price; PH= Price High since Purchase; S/L= Stop/Loss Delta 12 Months = 10/05/2007 BetonSport 12 Months = 14/06/2007 Robert Walters 12 Months = 10/07/2007 Land of Leather 12 Months = 10/08/2007 Hyder Consulting 12 Months = 15/09/2007 No sale or purchase this month. We have five stocks (full portfolio). Robert Walters passed all mandatory filters (1..5) Land of Leather passed all Phases & filters this month. --------- Current Portfolio: Delta; BetonSport; Robert Walters; Land of Leather, Hyder Consulting. The portfolio is now full (no vacancy). and no stock has hit the exit criteria The stock for selection this month is British Energy Group (if we had a vacant slot in our portfolio) --------- Stock filters applied on the 09/11/2006 ~ 13:20pm Phase 1 provided 15 stocks Land of Leather British Energy Group Invensys Laura Ashley LogicaCMG Robert Walters Severfield-Rowen Vitec Group Dimension Data Elementis Hunting Lookers Morgan Crucible Prudential Sainsbury --------- Stock screener tool operating the Digital Look Web site. From September 2006, we have refined and improved our use of the DigitalLook Stock screener by transferring the bulk of the data in an Excel Spreadsheet for further manipulation. PHASE 2: Only one share passed all filters and two phases (Land of leather) - a stock that is already in the portolio. British Energy Group is the only passed Phase 1 and step6 (and has the highest score too) --------- --------- 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 for share selection version 1.0 07/05/2006 Policy for share exit version 1.0 07/05/2006 --------- Policy for Share selection v1.0 has 2 phases and 8 steps Phase 1: Compulsory criteria: Scope: UK stock market - all sectors [FTSE-allShare] (1). market cap greater than £50 Mil (> 0.01 of allshare marketcap) (2). PSR (Price to Sales Ratio) within the lowest 3 deciles (1/3rd) (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 criteria (if applicable) for final selection (6). PE within the lowest 3 deciles (1/3rd) (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. --------- Policy for Share exit - A trailing S/L of 15% of purchase price converted in pence. - An investment will be sold after 12 months (unless SP passed the target price and has not dropped by trailing S/L yet). - Target price is 150% of the purchase price. --------- Tools used: Stock screener We use the stock screener from DigitaLook (and ADVFN for validation). --------- 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. --------- ---------