Presentation on theme: "Investment Portfolio Vision It is the goal of the Straight Line Opportunity Fund to achieve positive returns regardless of market conditions. Returns."— Presentation transcript:
Investment Portfolio Vision It is the goal of the Straight Line Opportunity Fund to achieve positive returns regardless of market conditions. Returns should be uncorrelated to the market. Risk should be managed on both the upside and downside. Performance should be benchmarked against an absolute return expectation. Investment opportunities are managed on a relative basis.
Agenda Background Focus Sorting Model – Investor Behavior Example 3 Step Process – Model Results – Due Diligence – Risk Management Projections
Low Correlation/Low Volatility Markets Straight Line Opportunity Fund Graph is not of actual performance. The intention is to show the goal of the Straight Line Opportunity Fund through market cycles.
The Formula Score= α + (ω * F 1 ) + (ω * F 2 ) + (ω * F 3 ) + (ω * F 4 ) + ……. (ω * F 75 ) + Є Modern Finance Behavioral Finance AccountingTechnologyHedging
Quant Analysis + Investor Intuition Example How does a traditional stock screen view the Debt/Equity ratio vs. how does investor behavior view the ratio D/E Less is betterThere is an optimal range
Curve of Intuition GPM∆ Float TIE P/E ∆ DividendCurrent Ratio
STEP # 1 Relative Valuation
Data Sources 5 Years of Annual Statements 5 Quarters of 10-q’s Short Interest Data Insider Transactions Technical Price Information Analyst Ratings/Estimates
500 Companies μ= 0 σ=20 20 Companies
STEP # 2 Due Diligence
Speak with Management Adjust for off balance sheet items Macro forecasting Customers and Competitors Legal Issues Review all SEC filings
Industry Comparison Forward Looking Analysis Threat of Substitutes Threat of New Competitors Intensity of Rivalry Bargaining Power of Customers Bargaining Power of Suppliers
STEP # 3 Optimize the Hedge
Armed with what the model and due diligence tell us are the best and worst companies: Maximize Returns and Minimize Risk Buy Write – Covered CallsBear Credit Spreads Profit Premium Risk Protection Limit Profits Limit Losses
Performance The three step process has been developed in the context of a comprehensive portfolio. Each step is designed to work with the others to filter out good investment opportunities from bad. Every investment made has passed all three stages. Our Target Performance is consistent reasonable returns.