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Tiny Titans 25 Qualifying

James O'Shaughnessy Tiny Titans is a small-cap momentum investing strategy set out by US fund manager James O'Shaughnessy in his 1996 book, What Works on Wall Street. It combines momentum and value factors and focuses on stocks capitalised at greater than £15m but less than £150m. Its key measures include the price to sales ratio and 1-year relative strength. O'Shaughnessy wrote: "Studies are nearly unanimous in their findings that small stocks (those in the lowest two deciles) do significantly better than large ones. We too have found tremendous returns from tiny stocks." He found that this strategy produced an annual compound return of 20.05% between 1963 and 2009. In 2012, O'Shaughnessy updated the strategy rules by replacing price-to-sales as the key value metric with 6 composited value factors.

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This is an independent study based upon the methods of...
Picture of James O'Shaughnessy

James O'Shaughnessy

Founder and CEO of O'Shaughnessy Asset Management (OSAM). Wrote the seminal 1996 book "What Works on Wall Street”.

What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time

by James O'Shaughnessy

From 1951 through 2004, the strategy had a real average annual return of almost 19%. However, the downside to that kind of performance was the volatility. The standard deviation from the average return (24.6% when not adjusted for inflation) was about 39%.

This screen uses the following criteria:

  • Mkt Cap £m < 150
  • Mkt Cap £m > 15
  • P/S < 1
  • RS 1y > 0
  • Spread (bps) < 1000

Results are sorted by:

  • RS 1y in descending order


And limited to the first 25 Results


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Performance Tracking


Returns FTSE 100
1 week 2.5% 2.9% 1.2% -3.7% 2.8% 4.8% 4.3% 1.0%
1 month -5.6% 0.3% -3.5% -9.7% -7.9% -5.8% -1.2% -6.2%
3 months -0.6% 16.9% -1.5% -0.0% -2.2% -7.7% 7.8% -1.8%
6 months 3.9% 35.0% -6.7% 31.0% 11.0% -3.3% 18.8% -1.0%
1 year 13.7% 47.2% -13.1% 61.8% 22.1% 2.4% 11.5% -0.7%
2 years 56.8% 192.2% 2.5% - - - - 21.8%
Annualised 23.4% 40.3% 2.2% 85.5% 35.3% 3.8% 52.9%
 
Risks
Max Drawdown -12.0% -14.0% -22.1% -24.5% -15.6% -21.6% -24.1%
Avg Holdings 23.9 21.9 23.3 24.3 19.6 23.8 20.1
Diversification Good Good Good Good Good Good Good

 Studies based on equal weighted portfolios of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.



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25 Qualifying

Ticker Name Mkt Cap £m P/S RS 1y Sector Flag
Subscriber Subscriber Telecoms United States
Subscriber Subscriber Technology Greece
Subscriber Subscriber Technology United States
Subscriber Subscriber Industrials India
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Consumer Cyclicals India
Subscriber Subscriber Technology Canada
Subscriber Subscriber Consumer Cyclicals Japan
Subscriber Subscriber Basic Materials Singapore
Subscriber Subscriber Technology Canada
Subscriber Subscriber Industrials Germany
Subscriber Subscriber Consumer Cyclicals France
Subscriber Subscriber Technology Japan
Subscriber Subscriber Healthcare Greece
Subscriber Subscriber Financials India
Subscriber Subscriber Industrials Poland
Subscriber Subscriber Financials Canada
Subscriber Subscriber Industrials Japan
Subscriber Subscriber Technology Japan
Subscriber Subscriber Industrials Australia
Subscriber Subscriber Consumer Cyclicals Australia
Subscriber Subscriber Basic Materials Japan
Subscriber Subscriber Technology Japan
Subscriber Subscriber Technology India
Subscriber Subscriber Consumer Defensives Japan

Can't see the share you expect? View this screen as a checklist to find out why.

You should consider the results of any screening process, including this one, as candidates for further research, not as a buy list. Screening helps to narrow a search based on pre-defined criteria. It is not a substitute for independent research reflecting your individual criteria for investing/trading. Please note that the screening criteria used represents Stockopedia's interpretation of the author's investment approach and are not determined or endorsed by the original strategist.



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  • Shell (RDSA)

  • Twitter (TWTR)

  • Volkswagon AG (VOK)

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  • Vodafone (VOD)

  • Barratt Homes (BDEV)

  • Microsoft (MSFT)

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