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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 Small cap stocks <$200M market cap US companies Dividend yield >10% Factors-10 factors initially

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Small cap quantitative factors analysis

Small Cap Quantitative Factors Analysis

20-20 Capital Partners

27 February 2005

Alex Ketner, Ryan Crane, George McLanahan, Jeff Lieberman


Overview of project
Overview of project

  • Universe of assets

    • 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










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