Small Cap Quantitative Factors Analysis

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Presentation transcript:

Small Cap Quantitative Factors Analysis 20-20 Capital Partners 27 February 2005 Alex Ketner, Ryan Crane, George McLanahan, Jeff Lieberman

Overview of project Universe of assets Factors-10 factors initially Small cap stocks <$200M market cap US companies Dividend yield >10% Factors-10 factors initially Historical Growth-momentum Total Return-momentum NTM P/E-capture growth & earnings expectations NTM EPS-earnings expectations LTM EPS-past performance EPS NTM-EPS LTM-increasing earnings Surprise Earnings-co’s that exceed expectations Upward EPS Revisions-co’s that exceed expectations

P/E Fractile Performance

EPS Growth LTM Fractile Performance

Total Return Fractile Performance

Heat Map

Long/Short Returns

Excess Returns

Trends

Trends

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