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MGTB CAPITAL

MGTB CAPITAL. S T R A I G H T L I N E O P P O R T U N I T I E S. 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.

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MGTB CAPITAL

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  1. MGTB CAPITAL S T R A I G H T L I N E O P P O R T U N I T I E S

  2. 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.

  3. Agenda • Background • Focus • Sorting Model • Investor Behavior Example • 3 Step Process • Model Results • Due Diligence • Risk Management • Projections

  4. Low Correlation/Low Volatility Straight Line Opportunity Fund Markets Graph is not of actual performance. The intention is to show the goal of the Straight Line Opportunity Fund through market cycles.

  5. The Universe

  6. Good Company or Bad? MGTB

  7. Factors and Families

  8. The Formula Score= α + (ω * F1) + (ω * F2) + (ω * F3) + (ω * F4) + ……. (ω * F75) + Є Excess Returns

  9. Quant Analysis + Investor IntuitionExample How does a traditional stock screen view the Debt/Equity ratio vs. how does investor behavior view the ratio D/E Less is better There is an optimal range D/E

  10. Curve of Intuition GPM ∆ Float P/E TIE ∆ Dividend Current Ratio

  11. STEP # 1Relative Valuation

  12. Data Sources • 5 Years of Annual Statements • 5 Quarters of 10-q’s • Short Interest Data • Insider Transactions • Technical Price Information • Analyst Ratings/Estimates

  13. 500 Companiesμ= 0 σ=20 20 Companies 20 Companies

  14. STEP # 2Due Diligence

  15. Know the Company

  16. Industry ComparisonForward Looking Analysis

  17. STEP # 3Optimize the Hedge

  18. Armed with what the model and due diligence tell us are the best and worst companies: Maximize Returns and Minimize Risk Buy Write – Covered Calls Bear Credit Spreads Risk Protection Limit Profits Profit Premium Limit Losses

  19. 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.

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