Tiny Titans is a small/micro-cap strategy developed by O'Shaugnessy that includes both a value component and a momentum component. He suggested it for two reasons: i) Micro-cap stocks have little or no analyst coverage so are often overlooked or ignored, and ii) Micro-cap stocks have low correlation with the S&P 500 (0.66) so they can be included in a diversified investment strategy. It looks for a market cap of $25 to $250 million (£15 - 150m assumed), combined with a price to sales below 1 and is sorted by relative strength. See here for more details. To learn more about this strategy please click here »
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 P. 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 is based on a UK dataset.
It uses the following criteria:
Results are sorted by:
And limited to the first 25 Results
Tiny Titans Graphical History Returns| Timeframe | Screen Returns | FTSE 100 | Outperformance |
|---|---|---|---|
| 1 week | 0.76% | 1.97% | -1.2% |
| 1 month | 4.61% | 7.46% | -2.9% |
| 3 months | 4.28% | 5.90% | -1.6% |
| 6 months | 12.26% | 17.74% | -5.5% |
| 1 year | 14.81% | 28.25% | -13.4% |
| Since inception | 19.76% | 25.9% | -6.1% |
| Annualised | 13.41% |
Risk| Maximum Drawdown | -10.44% |
| Average No. of Holdings | 24.4 |
| Diversification Level | Good |
Chart based on an equal weighted portfolio of max 25 stocks rebalanced quarterly. Qualifying shares below updated daily. Past performance not indicative of future returns.
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