Susan Levermann

Susan Levermann

This strategy was developed by former German investment fund manager Susan Levermann. After completing her studies in Germany and the US, Levermann joined the equity team at DWS European and eventually became senior portfolio manager. The 13 factors that she developed allowed her to out-perform the market over several time periods. After winning accolades for her success, she wrote in 2010 Der entspannte Weg zum Reichtum (The Relaxed Path to Wealth) in which she outlines her approach.  

Summary

Levermann’s approach differs somewhat from the other strategies on this platform in that she gets a feel for both hard and soft factors before deciding if a stock is worth buying. She gives each factor a rating between -1, 0 and +1 and then adds them up to see if she should buy the stock. She also makes a distinction between financial companies (Financials), mid-cap stocks, and small cap stocks.

Success Formula 13 Factors - Large Cap (excluding Financials)

MktCapM is >= US$ 3 billion

  1. RoE% latest FY
    +1 point: >20%
    -1 point: <10%
    0 points: otherwise
  2. Latest FY trailing 12M EBIT Margin
    +1 point: >12%
    -1 point: <6%
    0 points: otherwise
  3. Common Equity to total asset ratio latest FY
    +1 point: >25%
    -1 point: <15%
    0 points: otherwise
  4. P/E ratio 5y average
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  5. Current P/E
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  6. Est. Analyst Rating 2 weeks ago
    +1 point: 1.0-2.0 (sell recommendation)
    -1 point: 4.0-5.0 (buy recommendation)
    0 points: otherwise
  7. Rel. Price reaction in % on quarterly EPS reports
    +1 point: >+1%
    -1 point: <-1%
    0 points: otherwise
  8. Current FQ Est. EPS % change
    +1 point: >+5%
    -1 point: <-5%
    0 points: otherwise
  9. Price change 6 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  10. Price change 12 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  11. Price Momentum :
    +1 point: 6-month price change > 5% and 12-month price change <= 5%
    -1 point: 6-month price change < -5% and 12-month price change >= -5%
    0 points: otherwise
  12. 3-months Reversal
    +1 point: Performance in each of the last 3 months < performance of relative index
    -1 point: Performance in each of the last 3 months > performance of relative index
    0 points: otherwise 
  13. EPS growth % from current to next FY (Est. EPS)
    +1 point: > 5%
    -1 point: < -5%
    0 points: otherwise
Stocks with >= 4 points pass the test.

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 11 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, only stocks with a score of >=5 were considered.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 11 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, only stocks with a score of >=5 were considered.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Success Formula 13 Factors - Large Cap (Financials only)

MktCapM  is >= US$ 3 billion

  1. RoE%  latest FY
    +1 point: >20%
    -1 point: <10%
    0 points: otherwise
  2. Latest FY trailing 12M EBIT Margin
    In general 0 points
  3. Common Equity to total asset ratio latest FY
    +1 point: >10%
    -1 point: <5%
    0 points: otherwise
  4. P/E ratio 5y average
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  5. Current P/E
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  6. Est. Analyst Rating 2 weeks ago
    +1 point: 1.0-2.0 (sell recommendation)
    -1 point: 4.0-5.0 (buy recommendation)
    0 points: otherwise
  7. Rel. Price reaction in % on quarterly EPS  reports
    +1 point: >+1%
    -1 point: <-1%
    0 points: otherwise
  8. Current FQ  Est. EPS % change
    +1 point: >+5%
    -1 point: <-5%
    0 points: otherwise
  9. Price change 6 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  10. Price change 12 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  11. Price  Momentum :
    +1 point: 6-month price change > 5% and 12-month price change <= 5%
    -1 point: 6-month price change < -5% and 12-month price change >= -5%
    0 points: otherwise
  12. 3-months Reversal
    +1 point: Performance in each of the last 3 months < performance of relative index
    -1 point: Performance in each of the last 3 months > performance of relative index
    0 points: otherwise
  13. EPS growth % change of current to next FY Est. EPS
    +1 point: > 5%
    -1 point: < -5%
    0 points: otherwise
Stocks with >= 4 points pass the test.

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 11 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=2 were considered.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 11 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=2 were considered.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Success Formula 13 Factors - Mid Cap (excluding Financials)

MktCapM  is between US$ 1-3 billion

  1. RoE%  latest FY
    +1 point: >20%
    -1 point: <10%
    0 points: otherwise
  2. Latest FY trailing 12M EBIT Margin
    +1 point: >12%
    -1 point: <6%
    0 points: otherwise
  3. Common Equity to total asset ratio latest FY
    +1 point: >25%
    -1 point: <15%
    0 points: otherwise
  4. P/E ratio 5y average
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  5. Current P/E
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  6. Est. Analyst Rating 2 weeks ago
    +1 point: 1.0-2.0 (sell recommendation)
    -1 point: 4.0-5.0 (buy recommendation)
    0 points: otherwise
  7. Rel. Price reaction in % on quarterly EPS  reports
    +1 point: >+1%
    -1 point: <-1%
    0 points: otherwise
  8. Current FQ  Est. EPS % change
    +1 point: >+5%
    -1 point: <-5%
    0 points: otherwise
  9. Price change 6 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  10. Price change 12 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  11. Price  Momentum :
    +1 point: 6-month price change > 5% and 12-month price change <= 5%
    -1 point: 6-month price change < -5% and 12-month price change >= -5%
    0 points: otherwise
  12. 3-months Reversal
    In general 0 points
  13. EPS growth % change of current to next FY Est. EPS
    +1 point: > 5%
    -1 point: < -5%
    0 points: otherwise
Stocks with >= 7 points pass the test.

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Success Formula 13 Factors - Small Cap (excluding Financials)

MktCapM  is between US$ 300 million - 1 billion

  1. RoE%  latest FY
    +1 point: >20%
    -1 point: <10%
    0 points: otherwise
  2. Latest FY trailing 12M EBIT Margin
    +1 point: >12%
    -1 point: <6%
    0 points: otherwise
  3. Common Equity to total asset ratio latest FY
    +1 point: >25%
    -1 point: <15%
    0 points: otherwise
  4. P/E ratio 5y average
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  5. Current P/E
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  6. Est. Analyst Rating 2 weeks ago
    1. If # analyst ratings > 5
      +1 point: 1.0-2.0 (sell recommendation)
      -1 point: 4.0-5.0 (buy recommendation)
      0 points: otherwise
    2. If # analyst ratings <= 5
      +1 point: 4.0-5.0 (buy recommendation)
      -1 point: 1.0-2.0 (sell recommendation)
      0 points: otherwise
  7. Rel. Price reaction in % on quarterly EPS  reports
    +1 point: >+1%
    -1 point: <-1%
    0 points: otherwise
  8. Current FQ  Est. EPS % change
    +1 point: >+5%
    -1 point: <-5%
    0 points: otherwise
  9. Price change 6 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  10. Price change 12 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  11. Price  Momentum :
    +1 point: 6-month price change > 5% and 12-month price change <= 5%
    -1 point: 6-month price change < -5% and 12-month price change >= -5%
    0 points: otherwise
  12. 3-months Reversal
    In general 0 points
  13. EPS growth % change of current to next FY Est. EPS
    +1 point: > 5%
    -1 point: < -5%
    0 points: otherwise

Stocks with >= 7 points pass the test.

 

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

Books

Success Formula 13 Factors – Small-Mid Cap (Financials only)

MktCapM  is between US$ 300 million - 3 billion

  1. RoE%  latest FY
    +1 point: >20%
    -1 point: <10%
    0 points: otherwise
  2. Latest FY trailing 12M EBIT Margin
    In general 0 points
  3. Common Equity to total asset ratio latest FY
    +1 point: >10%
    -1 point: <5%
    0 points: otherwise
  4. P/E ratio 5y average
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  5. Current P/E
    +1 point: <12
    -1 point: >16
    0 points: otherwise
  6. Est. Analyst Rating 2 weeks ago
    1. If small cap
      1. If # analyst ratings > 5
        +1 point: 1.0-2.0 (sell recommendation)
        -1 point: 4.0-5.0 (buy recommendation)
        0 points: otherwise
      2. If # analyst ratings <= 5
        +1 point: 4.0-5.0 (buy recommendation)
        -1 point: 1.0-2.0 (sell recommendation)
        0 points: otherwise
    2. If mid cap
      +1 point: 1.0-2.0 (sell recommendation)
      -1 point: 4.0-5.0 (buy recommendation)
      0 points: otherwise
  7. Rel. Price reaction in % on quarterly EPS  reports
    +1 point: >+1%
    -1 point: <-1%
    0 points: otherwise
  8. Current FQ  Est. EPS % change
    +1 point: >+5%
    -1 point: <-5%
    0 points: otherwise
  9. Price change 6 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  10. Price change 12 months
    +1 point: >5%
    -1 point: <-5%
    0 points: otherwise
  11. Price  Momentum :
    +1 point: 6-month price change > 5% and 12-month price change <= 5%
    -1 point: 6-month price change < -5% and 12-month price change >= -5%
    0 points: otherwise
  12. 3-months Reversal
    In general 0 points
  13. EPS growth % change of current to next FY Est. EPS
    +1 point: > 5%
    -1 point: < -5%
    0 points: otherwise

Stocks with >= 7 points pass the test.

 

Hypothetical performance back-tested

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical monthly relative performance

How to read this graph:
A green bar shows how much the guru strategy outperformed the benchmark index in a particular month. A red bar shows how much the guru strategy underperformed the benchmark index in a particular month.

Data source: Bloomberg, Calculations: meetinvest

Disclaimer

Hypothetical performance is not necessarily indicative of future results. No representation is being made that any action will achieve profits or losses similar to those displayed. The result may be overstated as neither transaction costs nor bid/ask spreads nor slippage have been considered. Output equally weighted with maximum 5% allocation per position and rebalanced monthly. Holdings are systematically replaced when the screening criteria are not met anymore. No additional buying or selling rules (technical analysis) have been employed.

Due to lack of the full historical data set, this back-test only considers 12 of the 13 factors and therefore the result will deviate from a back-test using the complete data set. Moreover, all stocks with a score of >=6 were considered.

Historical portfolio turnover

Data source: Bloomberg, Calculations: meetinvest

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