RVI™ Small Cap
This strategy is Cimarron's Relative Value Investing (RVI™) process applied to the small cap space, benchmarked by the Russell 2000 Index. The portfolio is sector neutral to the benchmark, equally weighted, made up of between 50 and 60 stocks and remains fully invested. The strategy seeks to outperform with less volatility than the benchmark by selecting stocks that are undervalued relative to their sector and industry peers, rather than the market overall.
| RVI™ Small Cap Fact Sheet |
Inception: August 1999
Universe: U.S. listed stocks ranked #800-2800 by market cap
Benchmark: Russell 2000
Number of stocks: 54
| Characteristics (as of September 30, 2009):
|
Portfolio |
R2000 |
|
|
|
| Price to Earnings (NTM) |
13.37 |
33.40 |
| Price to Cash Flow (PTM) |
8.49 |
22.84 |
| Price to Book (PTM) |
2.29 |
5.74 |
| PEG Ratio |
1.11 |
2.56 |
| Historical 3 Yr EPS Growth |
17.99 |
14.61 |
| Projected LT EPS Growth |
12.05 |
13.05 |
| Dividend Yield |
1.23 |
1.51 |
| Market Cap (Weighted Avg, $B) |
942 |
914 |
| Market Cap (Median, $B) |
800 |
376 |
| Return on Equity |
17.20 |
4.01 |
|
Performance (as of September 30, 2009):
|
Gross |
Net |
R2000 |
|
|
|
|
| YTD 09 |
27.83 |
26.92 |
22.43 |
| 1 Year |
-5.43 |
-6.28 |
-9.55 |
| 3 Year |
-5.39 |
-6.15 |
-4.57 |
| 5 Year |
1.71 |
0.92 |
2.41 |
| 10 Year |
8.16 |
7.34 |
4.88 |
| Inception |
8.23 |
7.40 |
4.92 |
For further information please see disclosures.
|
Risk/Reward Statistics (as of June 30, 2009):
|
Portfolio |
R2000 |
|
|
|
| Alpha |
3.95 |
|
| Beta |
0.74 |
|
| Tracking Error |
11.47 |
|
| Information Ratio |
0.24 |
|
| Standard Deviation |
18.78 |
21.48 |
| Sharpe Ratio |
0.22 |
0.06 |
|
|