1. Multi dimensional statisticalMulti dimensional statistical
model for stock selection
Efi Ben DorEfi Ben Dor
Cascade Management & Research Ltd
05/2009
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

2. General OverviewGeneral Overview
• Model commenced operation on 2004 with
Excellence Global Markets as first investors
• Use wide array of quantitative statistical
factorsfactors
• Designed to achieve market beating returns
and seek to purchase broad and diverse range
of stocks world‐wide with increased exposureof stocks world wide with increased exposure
to small caps.
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

3. Investment FeatureInvestment Feature
ll d i i f• Scan, collect and process vast quantities of
fundamental data reported by companies
• Manipulate data to produce early buy/sell
signals for a list of stocksg
• Represents a new way to invest based on the
dimensions of risk and return identified bydimensions of risk and return identified by
financial science
Fl ibilit i t il i th d l t ifi• Flexibility in tailoring the model to specific
universe or strategy
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

4. Model OperationsModel Operations
• Run the model every two weeks
• Produce list of stocksProduce list of stocks
• Buy equal amounts
• Run periodically to update pricing and
fundamental data
• Replace stocks as necessary
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

5. Portfolio CharacteristicsPortfolio Characteristics
• Average Beta 1.16
• Average Market Cap $117MAverage Market Cap $117M
• Average number of stocks 175 ‐ depending on
k l i (i l i )market valuation (inverse correlation)
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

6. Risk controlRisk control
• Sell orders are immediately executed upon
triggering certain parameters (new gg g p (
fundamental info, unexplained price behavior)
• No use of derivatives or leverage• No use of derivatives or leverage
• Portfolio holds many stocks to diversify
systemic and non systemic risks
• Constant monitoring of human eye• Constant monitoring of human eye
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

7. Track RecordTrack Record
• Average Return 3 years = 23.6%
• Average return 5 years = 18.66%Average return 5 years 18.66%
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

8. Table 1: Statistics of model and
comparative indices
UltraUltra‫מניות‬Ultra‫מניות‬UltraUltra Ultra
Small
Cap
S&P
500
‫מניות‬
‫בתיק‬
Ultra
Small
Cap
S&P
500
‫מניות‬
‫בתיק‬
Ultra
Small
Cap
S&P
500
‫מניות‬
‫בתיק‬
Ultra
Small
Cap
S&P
500
‫מניות‬
‫בתיק‬
Ultra
Small
Cap
S&P
500
‫עודפת‬ ‫תשואה‬
‫של‬
Ultra Small
cap
‫שנה‬
‫שנה‬ 1 ‫תקופה‬2 ‫תקופה‬3 ‫תקופה‬4 ‫תקופה‬
*2000--00.00%0.30%00.00%-1.00%0-19.50%-8.00%--19.50%-8.7%-11%
200123.20%-15.20%7724.90%5.80%81-2.7%-14.90%8037.50%11.1%8982.9%-10.5%93%
200226.50%-3.10%12016.60%-13.90%1230.10%-16.60%13842.90%6.50%177174%-21.2%195%
200323 40%1 70%19955 10%12 00%20241 2%5 00%14036 40%7 90%127156%22 8%133% 200323.40%1.70%19955.10%12.00%20241.2%5.00%14036.40%7.90%127156%22.8%133%
200425.60%3.60%1507.10%-0.90%1408.60%1.30%17025.20%7.70%17666.5%11.7%55%
20051.00%-3.70%148--5%
*‫המודל‬ ‫פי‬ ‫על‬ ‫לרכישה‬ ‫מניות‬ ‫היו‬ ‫לא‬ 2000 ‫שנת‬ ‫במרבית‬
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

9. Chart 1: Model performance and
comparable Indices
$45,000.00
$50,000.00
$
$35,000.00
$40,000.00
$20 000 00
$25,000.00
$30,000.00
model
sp500
$10,000.00
$15,000.00
$20,000.00
$‐
$5,000.00
Q200 Q300 Q400 Q101 Q201 Q301 Q401 Q102 Q202 Q302 Q402 Q103 Q203 Q303 Q403 Q104 Q204 Q304 Q404 Q105
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

10. Efi Ben‐Dor
Investment management/Advisory
Experience
Age: 34
Founder, Analyst, Portfolio manager, Investment Advisor
Cascade Management & Research Limited
Investment Management industry
March 2007 – Present
Cascade is a licensed investment management and advisory firm based in Israel
Analyst, Portfolio Manager, Investment Advisor
Excellence Nessuah LimitedExcellence Nessuah Limited
Investment Management industry
November 2005 – January 2007
A full service financial investment house, providing the full range of investment services to institutional
and corporate clients and high net worth individualsand corporate clients, and high net‐worth individuals.
Project Manager
Harel Insurance & Investments Limited
Public Company; Insurance industryPublic Company; Insurance industry
January 2001 – November 2005
IT and internet platforms ‐ Development of on‐line insurance and data mining tools for
customers, agents and employees.
(Continue on next page for Education and Martial Status)
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com

11. Efi Ben‐Dor
Investment management/Advisory
Education & Certification
Israel Securities Authority (ISA)
License & Certification, Investment Management
2006 – 2007
http://www.isa.gov.il/Default.aspx?Site=ENGLISHp // g / p
The Hebrew University
EMBA, Financial engineering and Banking
2005 20072005 – 2007
The Ruppin Academy
BA, Finance
2001 20042001 – 2004
Additional Information
Websites :
htt // d il/ li h ht lhttp://www.cascade.co.il/english.html
http://www.alphabull.co.il
Martial Status : Married + 3
‫טל‬.052-5971070‫פקס‬.077-7041780efibendor@gmail.com