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

2. 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

3. P/E Fractile Performance

4. EPS Growth LTM Fractile Performance

5. Total Return Fractile Performance

6. Heat Map

7. Long/Short Returns

8. Excess Returns

9. Trends

10. Trends