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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. 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

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  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 • 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

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