Has anyone used the tiny titans of AAII? It claims to have returned 24% a year.
Has anyone used the tiny titans of AAII? It claims to have returned 24% a year.
I tried a version that used essentially the same parameters except aiming for less slippage and volitility of the Tiney Titans which I called Mid-Titans. . . Looked good on backtest but didn’t hold up post discovery. Here is borasnand’s GTR1 version of Tiney Titans posted last year.
http://gtr1.net/2013/?~TinyTitans_20150401_numerous:s2007101…
CAGR from 20071015 is 17.76 but notice the GSD is 34.4, UI is 20 SAWR is only 8.8.
Might be a candidate for a young risk taker but there are better choices for seniors like me.
RAM
Thanks. A little disappointing. Looking at aaii’s site, you would think you could become fabulously wealthy using it, but my 15 years here have taught me that is never the case.
Looking at aaii’s site, you would think you could become fabulously wealthy using it, but my 15 years here have taught me that is never the case.
That’s because nobody writes any articles “This strategy is a pile of crap, it will lose all your money.” Also, nobody writes any articles “This strategy worked great [only] one time in history.”
{Tiny Titans} results depend on low dollar volume stocks, and so I haven’t used it. I like that it applies the momentum criteria early, and the use of low PS. The AAII annual results are close to the gtr1 results:
Tiny Titans
year AAII gtr1
2021 67 52
2020 42 56
2019 31 38
2018 13 0
2017 -7 -2
2016 21 35
2015 -7 -5
2014 26 28
2013 54 86
2012 20 35
2011 -23 -10
2010 21 35
2009 71 46
2008 -56 -49
2007 2 6
avg 18 23
sd 34 34
cagr 13 18
correl 1.00 0.91
Adding a dollar volume liquidity criteria shows that most of the excess returns are below daily dollar volume of $500k.
adv>= CAGR GSD
**0 25 31**
**100,000 25 34**
**250,000 22 38**
500,000 14 42
750,000 9 46
1,000,000 7 52
2,000,000 -15 86
5,000,000 -20 85
My friction estimate for this low dollar volume range is about 1.5%, and so I will use that for {TinyTitans}. The market cap limit of $250 million is passing fewer stocks now than 20 years ago, and so I switched to use bottom 50%. With the high friction, a quarterly hold time works as well as monthly. With these changes, {TinyTitans_2022a} CAGR since 20061229 was 6, which is less than {SP1500equalweight} CAGR 10, and less than {TinyTitans_20150401_numerous} CAGR 18. TinyTitans might be fool’s gold.
http://gtr1.net/2013/?~TinyTitans_20150401_numerous:h21f0.4:…
http://gtr1.net/2013/?~TinyTitans_2022a:h63f1.5::PS:gt0:Sale…
https://gtr1.net/2013/?~SP1500EqualWeight:h63f0.4::pref%28sp…
Tiny Titans 2015 2022
year AAII gtr1 gtr1 SP1500ew
2021 67 52 47 31
2020 42 56 23 14
2019 31 38 3 25
2018 13 0 -14 -10
2017 -7 -2 -3 14
2016 21 35 20 24
2015 -7 -5 -8 -5
2014 26 28 11 9
2013 54 86 56 39
2012 20 35 24 18
2011 -23 -10 -21 -1
2010 21 35 28 26
2009 71 46 13 46
2008 -56 -49 -39 -36
2007 2 6 -5 -1
avg 18 23 9 13
sd 34 34 25 21
cagr 13 18 6 11
correl 1.00 0.91 0.83 0.88
Thanks for reporting your investigations into the Tiny Titans screen and the gtr1 versions thereof.
The market cap limit of $250 million is passing fewer stocks now than 20 years ago, and so I switched to use bottom 50%.
That seems a huge change, if I understand correctly, from microcap to including stocks up to the median market cap. I wonder what that 50% cutoff is? Maybe a change that would hold truer to the intent of the screen while increasing the number of stocks it returns would be to bump up the market cap limit up incrementally until you get as many stocks as you desire. Or maybe just double it to $500 million, which would move the universe up out of microcaps, but not too far.
I’m an aaii subscriber, and while I’ve not paid much attention to the Tiny Titans screen, I have used their Shadow Stock model portfolio screen as a fishing ground for small and micro-cap value stocks. I do buy into the premises that in the micro-cap and low end small-cap universe you are more likely to find blatant mis-pricing, due to so much less attention paid to that sector. I’ve had some hits and misses … not been doing it long enough to judge whether my using it to sprinkle in some micro-cap value into my portfolio will pay off.
Good catch. Bridgeway Ultra-Small (BRSIX) mutual fund has about 500 holdings with average market cap $170 million, and {TinyTitans} backtests better with the $250 million market cap limit.
{TinyTitans_2022b} results are similar to {TinyTitans_20150401_numerous}. {TinyTitans_2022b} uses:
Market Cap < 250
average daily dollar volume > 10,000
monthly hold, friction 0.4
But friction might be higher with such a low dollar volume. The returns depend on trading skills that keeps trading costs low.
http://gtr1.net/2013/?~TinyTitans_2022b:h21f0.4::PS:gt0:Sale…
With the caveat that nothing in real life works as well as it does in models and back tests, it seems, you could easily make trades of 2,000.00 without much friction.
I just ran the screen at aaii, and 25 stocks came up, so it seems you get enough picks.
How difficult would it be to add them to the weekly picks? I remember reading about them, and he said you have to hold 25. I just reread the section on them, and he recommends holding for a year.
That book is pretty old, so I don’t know if holding for a year still works, although it could because institutions don’t buy stocks like that.
I tuned Tiny Titans and ended up with {TinyTitans_2022c}. To limit turnover, I added htd and no rebalancing to get {TinyTitans_2022c2}.
Screen **CAGR** SAWR GSD MDD Sharpe AT Depth
TinyTitans_20150401 **25** 11 31 -70 0.91 4.7 70
TinyTitans_2022b **25** 10 30 -70 0.93 4.6 63
TinyTitans_2022c **27** 13 31 -66 0.95 8.3 10
**TinyTitans_2022c2 33 15 32 -66 1.07 3.2 10**
http://gtr1.net/2013/?~TinyTitans_20150401_numerous:h21f0.4:…
http://gtr1.net/2013/?~TinyTitans_2022b:h21f0.4::PS:gt0:Sale…
http://gtr1.net/2013/?~TinyTitans_2022c:h21f0.4::styp.a:et10…
http://gtr1.net/2013/?~TinyTitans_2022c2:h21r0f0.4::styp.a:e…
{TinyTitans_2022c2}
step0 to step 7: liquidity criteria
step8: [Total Return % over 204 days] Top 15%
step9: [PS] < 1
step10: US company
step11: [pctMktCap after step7] <= 18
step12: [MktCap] Bottom 40
step13: security type is US with no REITs
step14: [Closing price]/[Highest daily price over 252 days] Top 10
Command Translation
Define {TinyTitans_2022c2}
step0: [Security Type; lag=1 days] == 10,11,18,48
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [Average dollar-volume over 63 days; lag=1 days] >= 20000
step3: [Average dollar-volume over 10 days; lag=1 days] >= 20000
step4: [Actual closing Price; share_lag=1 days; quote_lag=1 days] >= 2
step5: [MktCap] > 0
step6: [Sales] >= 50
step7: [PS] > 0
step8: [Total Return % over 204 days; lag=1 days] Top 15%
step9: [PS] < 1
step10: country is US
step11: [pctMktCap] <= 18
step12: [MktCap] Bottom 40
step13: [Security Type; lag=1 days] == 10,11
step14: [PH52i] Top 10; Cash When Fewer
Holding period = 21 mkt days
Hold while passing step11
Frictional loss of 0.4% applied to all sales
Rebalance to equal weight among new positions only
All trades at market close.
{TinyTitans_2022c} is somewhat similar to {LowPS+}. To make a comparison, I changed the liquidity and momentum criteria to match and ended up with {LowPSplus2022a}. The results are very close with both screens around CAGR 33 GSD 32. Adding a $200k daily dollar volume limit, {TinyTitans_2022c} CAGR is 27, and {LowPSplus2022a} CAGR is 27. With a $500k daily dollar volume limit, {TinyTitans_2022c} CAGR is 12, and {LowPSplus2022a} CAGR is 22.
Screen **CAGR** SAWR GSD MDD Sharpe AT Depth
**TinyTitans_2022c2 33 15 32 -66 1.07 3.2 10**
**LowPSplus2022a 34 14 31 -61 1.09 7.2 10**
LowPS+ **29** 10 36 -63 0.89 11 10
https://gtr1.net/2013/?~LowPS+:h21f0.4::styp.a:et0!10!11!12!..
http://gtr1.net/2013/?~LowPSplus2022a:h21r0f0.4::styp.a:et10…
{LowPSplus2022a}
step0 to step 7: liquidity criteria (same as {TinyTitans_2022c})
step8: [Total Return % over 204 days] Top 15%
step9: US company
step10: [Closing price]/[Highest daily price over 252 days] > 0.89
step11: [PS] bottom 10
Command Translation
Define {LowPSplus2022a}
step0: [Security Type; lag=1 days] == 10,11,18,48
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [Average dollar-volume over 63 days; lag=1 days] >= 20000
step3: [Average dollar-volume over 10 days; lag=1 days] >= 20000
step4: [Actual closing Price; share_lag=1 days; quote_lag=1 days] >= 2
step5: [MktCap] > 0
step6: [Sales] >= 50
step7: [PS] > 0
step8: [Total Return % over 204 days; lag=1 days] Top 15%
step9: country is US
step10: [PH52i] > 0.89
step11: [PS] Bottom 10; Cash When Fewer
Holding period = 21 mkt days
Frictional loss of 0.4% applied to all sales (closing long/opening short)
Rebalance to equal weight among new positions only
All trades at market close.
year SP1500equalWgt LowPSplus2022a TinyTitans_2022c2
1987 5 -1 -18
1988 20 15 30
1989 26 42 41
1990 -12 11 13
1991 35 104 100
1992 15 78 77
1993 15 62 45
1994 1 7 25
1995 28 78 41
1996 21 44 50
1997 27 60 46
1998 6 51 37
1999 11 29 36
2000 14 63 67
2001 10 53 49
2002 -15 18 15
2003 44 148 97
2004 19 76 68
2005 8 43 30
2006 16 40 62
2007 -1 3 10
2008 -36 -29 -54
2009 46 41 87
2010 26 56 51
2011 -1 -12 -4
2012 18 37 39
2013 39 61 85
2014 9 40 40
2015 -5 -6 4
2016 24 13 52
2017 14 27 13
2018 -10 -5 -1
2019 25 23 52
2020 14 6 44
2021 31 124 48
2022 -6 -4 -9
avg 13 39 38
sd 17 38 33
cagr 12 31 33
correl 0.86 0.79 1.00
{LowPS+} was defined in 2006 in the post https://discussion.fool.com/alternate-si-rankings-09jun06-242163…
Thank you very much Boris.
Another tweak, check every other week rather than once a month and discard the 25% high beta’s.
beta(1,190,1) bottom 75%
http://gtr1.net/2013/?~TinyTitans_2022_2wkLowBeta:h10r0f0.4:…
CAGR 33.7%, SAWR 15.85, GSD 31.9, MDD 66.5, Sharpe 1.08, AT 4.3
{TinyTitans_2022d} is a version using ranks that has similar results. The htd might be easier to manage. No rebalancing reduces turnover slightly and does not affect results much.
Screen CAGR SAWR GSD MDD Sharpe AT
TinyTitans_2022c2 33 15 32 -66 1.07 3.2
TinyTitans_2022d 34 15 32 -64 1.11 2.6
Command Translation
Define {TinyTitans_2022d}
Create [rA]: [Rank by [MktCap] (Asc) at step8]
Create [rB]: [Rank by [PS] (Asc) at step8]
Create [rD]: [Rank by [PH52i] (Desc) at step8]
Create [rC]: [Rank by [Total Return % over 186 days; lag=8 days] (Desc) at step8]
Create [rAll]: [[rA] + [rB] + [rC] + [rD]]
step0: [Security Type; lag=1 days] == 10,11
step1: [Mkt Days Since Security Opened; lag=1 days] >= 252
step2: [Average dollar-volume over 63 days; lag=1 days] >= 20000
step3: [Average dollar-volume over 10 days; lag=1 days] >= 20000
step4: [Actual closing Price] >= 2
step5: [MktCap] >= 25
step6: [Sales] >= 50
step7: [PS] > 0
step8: [rAll] Bottom 100
step9: [rAll] Bottom 10
Holding period = 21 mkt days
Hold while passing step8
Frictional loss of 0.4% applied to all sales
Rebalance to equal weight among new positions only
All trades at market close.
http://gtr1.net/2013/?~TinyTitans_2022d:h21r0f0.4::styp.a:et…
{TinyTitans_2022d} is sensitive to liquidity criteria. Limit orders might be needed to avoid excessive friction.
adv(1,63)>= CAGR GSD
0 34.4 31.1
10,000 34.3 31.1
20,000 34.0 31.0
50,000 33.3 31.6
100,000 31.9 32.7
200,000 28.7 34.4
400,000 21.7 35.1
800,000 17.9 36.3
1,600,000 13.7 36.1