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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 2.2% 1.3% 4.3% 7.0% 0.5% 8.8% 4.4% 0.8%
1 month -5.2% -6.3% 0.9% -13.3% 2.2% -6.4% -0.2% -3.9%
3 months -7.5% -16.3% 4.1% -3.8% -3.6% -17.6% 0.9% -8.3%
6 months 2.5% -19.6% 21.4% -19.8% 0.4% -26.3% 7.2% -3.8%
1 year 2.1% -3.6% 27.0% -20.0% -0.6% -42.9% 7.1% -6.3%
2 years 28.9% 40.5% 16.0% 34.7% 38.7% -38.8% 21.6% 0.4%
Annualised 21.7% 29.9% 8.4% 42.0% 23.2% -14.7% 35.8%
 
Risks
Max Drawdown -12.0% -23.7% -22.1% -42.0% -18.6% -50.6% -24.1%
Avg Holdings 23.9 22.1 23.6 24.4 20.2 24 20.2
Diversification Good Good Good Good Good Good Good