holy cow - what's our definition of SV?

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feh
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holy cow - what's our definition of SV?

Post by feh » Fri Apr 19, 2013 9:10 am

I noticed that in this thread:

http://www.bogleheads.org/forum/viewtop ... w=viewpoll

there doesn't seem to be a consistent definition of "SV". For some folks, it means small and value, and for others, it means small or value.

Does the specific lettering/punctuation make a difference? Is "SV" the same as "small-value"?

I apologize if this is covered somewhere. If it isn't, could the approved notation be included on the wiki?

Image
Last edited by feh on Fri Apr 19, 2013 9:37 am, edited 1 time in total.

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Re: holy cow - what's our definition of SV?

Post by retiredjg » Fri Apr 19, 2013 9:29 am

"Small value" refers to just one box in the 9 style boxes - the box in the lower left which is the only box that is in both the small row and the value column. Those are stocks that are both small and value.

When talking about tilting, there has historically been a premium for small stocks and a separate and independent premium for value stocks. If a person tilts to both small and to value, then all those other boxes might be involved depending on what how a person choses to invest. If they just tilt to small, the boxes involved would be some or all of the bottom row. If they just tilt to value, their choices would fall into one or all of the boxes in the left column.

To figure out what a person means by "small value", you have to consider the context. And then sometimes, you still may not know for sure.

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Re: holy cow - what's our definition of SV?

Post by G-Money » Fri Apr 19, 2013 9:43 am

I saw the distinction made by EDN in the linked thread. I have never seen anyone write "small-value" to mean "all small-caps and all value," but, admittedly, I've never paid that much attention. I think SV or SCV both generally mean "small-cap value", i.e., the bottom left box in the Morningstar grid. I think if you want to refer to "all small-caps and all value," using a shorthand like "small-value" (with or without the dash) or "SV" is just going to invite confusion.
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Re: holy cow - what's our definition of SV?

Post by nisiprius » Fri Apr 19, 2013 9:49 am

I'm not a connoisseur but I've always taken SV to be an abbreviation for SCV which is an abbreviation for "small-cap value" which I think means small-cap and value, one style box. In a sense it doesn't matter all that much, because those who tilt to small-cap value frequently also have a tilt to large-cap value as well.

Investopedia, not a great source but they sure have their SEO down pat, Google always takes me there, says, my boldface:Definition of 'Small-Value Stock:
...A description of stock where the underlying company has a small market capitalization, and whose stock price is currently trading at or lower than its book value.
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Re: holy cow - what's our definition of SV?

Post by YDNAL » Fri Apr 19, 2013 10:05 am

feh wrote:there doesn't seem to be a consistent definition of "SV". For some folks, it means small and value, and for
others, it means small or value.

Does the specific lettering/punctuation make a difference? Is "SV" the same as "small-value"?
1. Yes, I would go out on a limb to say that people say SV to mean "Small Value." Perhaps that is all I should say, but I can't help myself. :)

2. Here's my take. Fidelity (3,273 holdings) and Vanguard (3,245 holdings) Total Stk Mkt Funds track two different Total Mkt Indices. 3. If you divide this 3,2xx between Large, Medium, Small stocks by market capitalization, then Small Value companies have "small" capitalization - and typically LOW Price to Book "value." That's all that I really one needs to know - unless "investing theory" is you passion (not mine).
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feh
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Re: holy cow - what's our definition of SV?

Post by feh » Fri Apr 19, 2013 10:16 am

I'm glad everybody is saying it generally means small and value, as that has been my definition also.

I was just taken aback in the other thread when people were including LV funds as part of their SV tilt.

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Re: holy cow - what's our definition of SV?

Post by Default User BR » Fri Apr 19, 2013 11:29 am

I try to avoid SV as there is ambiguity with "stable-value". I use either SCV (for small-cap value) or StV (for stable-value).


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Re: holy cow - what's our definition of SV?

Post by leonard » Fri Apr 19, 2013 1:25 pm

No ambiguity. SV or Small Value is defined as Small Capitalization AND Value. So, SV means it meets both criteria.
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Re: holy cow - what's our definition of SV?

Post by dbr » Fri Apr 19, 2013 1:35 pm

A portfolio with a small and value tilt can certainly be constructed using a LV fund. An example would be 50% large value fund and 50% small value fund. The portfolio would be 100% value compared to 33% value for the total market and it would be 50% small compared to about 9% small for the total market.

Probably a better calculation would be to calculate the Fama-French factor loadings and decide what loading on small and value factors is wanted.

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Re: holy cow - what's our definition of SV?

Post by learning_head » Fri Apr 19, 2013 1:52 pm

I guess I can see how the linked thread / poll is asking about S OR V for tilt even though it said "SV fund" in the Poll title... To me "SV fund" means small AND value fund, but "SV tilt" could mean AND or OR (in fact OR is more likely I think). People answering the questions seems to be using OR semantics (since they included small not-just-value and value-not-just-small funds to answer the question), and I would assume that was the intent of the thread question as well even though it's asking to divide "SV fund" by total equity, which normally means "small AND value" fund but then the poll seems to be less interesting, or at least not as clear.

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Re: holy cow - what's our definition of SV?

Post by EDN » Fri Apr 19, 2013 2:02 pm

feh wrote:I noticed that in this thread:

http://www.bogleheads.org/forum/viewtop ... w=viewpoll

there doesn't seem to be a consistent definition of "SV". For some folks, it means small and value, and for others, it means small or value.

Does the specific lettering/punctuation make a difference? Is "SV" the same as "small-value"?

I apologize if this is covered somewhere. If it isn't, could the approved notation be included on the wiki?

Image
If I remember that thread, I was correcting Rick who tried to nitpick an example I provided. It is pretty simple, as has been mentioned previously, "small value" is a small cap value fund or index. Small and value is some combination of value stocks and small stocks such as mid value and micro cap, or large value and mid cap -- just lower priced and smaller than the market.

I always try to notate it as small/value as in two different things, just like stock/bond. And that's because that is how I invest -- often I'll use large growth, large value, and small value on the US side. Nowhere is it written that you should only use a small value index to target the premiums. This year is a great example of why -- my large value fund is ahead of my large growth fund (by about 2%), but my small value fund is behind my large value fund (by about 3.5%). Just using TSM and SV would miss that value is doing very well in the large cap market, not so much in the small cap market.

This is something you'd expect from time to time just by reviewing the historical data. Coming off the 1975-1983 period where value did pretty well but small outperformed large by an incredibly large margin, we saw a stretch from 1984-1990 that ended with the recession where small value underperformed TSM by almost 9% per year (4% to 13%), but large growth outperformed TSM by about 1% per year and large value outperformed large growth by another 0.5% or so. Having 2 of your 3 US asset class components outperform the market certainly would have helped with the extreme tracking error experienced from the third.

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Re: holy cow - what's our definition of SV?

Post by Default User BR » Fri Apr 19, 2013 2:13 pm

dbr wrote:A portfolio with a small and value tilt can certainly be constructed using a LV fund. An example would be 50% large value fund and 50% small value fund.
Or you could hold large-value and small-blend funds. You tilt to small and value, without holding small-value. That's what I do in international.


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Re: holy cow - what's our definition of SV?

Post by Rick Ferri » Fri Apr 19, 2013 3:13 pm

G-Money wrote:I saw the distinction made by EDN in the linked thread. I have never seen anyone write "small-value" to mean "all small-caps and all value," but, admittedly, I've never paid that much attention.
EDN wrote:If I remember that thread, I was correcting Rick who tried to nitpick an example I provided.
Eric
I don't have any idea what EDN is shoveling my direction today.

Small-value is short for smallcap value stocks. That's exactly the way I've been writing about it for years and never giving it any other thought. If I wanted to say small cap stocks AND value stocks, I would have said small cap AND value stocks.

Just think of a Morningstar Style Box. It's a nine-square grid that provides a graphical representation of the "investment style" of stocks and mutual funds. For stocks and stock funds, it classifies securities according to market capitalization (the vertical axis) and growth and value factors (the horizontal axis). The small-value box holds small-value stock. It does not hold all Small stocks AND all value stocks.

Small-value means small-cap value stocks and always has in my book.

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Re: holy cow - what's our definition of SV?

Post by feh » Fri Apr 19, 2013 3:18 pm

Rick Ferri wrote: Small-value is short for smallcap value stocks. That's exactly the way I've been writing about it for years and never giving it any other thought. If I wanted to say small cap stocks AND value stocks, I would have said small cap AND value stocks.

Rick Ferri
Thanks for chiming in Rick. Can I assume that when you wrote your often referred article regarding risk and return of SV tilt that you achieved that tilt with an SV fund/ETF?

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Re: holy cow - what's our definition of SV?

Post by Rick Ferri » Fri Apr 19, 2013 3:21 pm

feh wrote:Thanks for chiming in Rick. Can I assume that when you wrote your often referred article regarding risk and return of SV tilt that you achieved that tilt with an SV fund/ETF?
Yes. My strategy has always been to start with a total market index fund and tilt to small-value with a single small-value fund. I do this in both the US market and in developed international markets (Caveat: I split Europe and Pacific 50/50 rather than use a single developed market fund).

This has been my strategy for more than a decade and it has worked well. You'll hear 50 different ways of doing it on this forum, and that's fine. Everyone has their own twist to the strategy.

Thanks for asking.

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Re: holy cow - what's our definition of SV?

Post by YDNAL » Fri Apr 19, 2013 11:59 pm

dbr wrote:A portfolio with a small and value tilt can certainly be constructed using a LV fund. An example would be 50% large value fund and 50% small value fund. The portfolio would be 100% value compared to 33% value for the total market and it would be 50% small compared to about 9% small for the total market.
I'd like to make an observation for clarity.
  • According to Morningstar's methodology - Large/Mid/Small, Value/Blend/Growth - this is what happens with 50% DFA Large Value (DFLVX) and 50% DFA Small Value (DFSVX). This would be a mix of 1,478 US companies presently.
    24 09 06
    09 04 02
    25 17 05

    Although a definitive Value focus, it shouldn't be described as 100% Value (there is no such thing that I know) since there is also a good number of Blend- and Growth-type companies as considered by M*.
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Re: holy cow - what's our definition of SV?

Post by livesoft » Sat Apr 20, 2013 12:47 am

To my knowledge there is no SCV fund that would have the number 100 in the lower-left corner of the M* style-grid and 0 in the other 8 boxes. SCV funds always spread out a bit on such a grid.

I suppose if one used Vanguard's PortfolioWatch tool, then one could get 100% there, but Vanguard's tool only covers US diversified stock mutual fund holdings* anyways and is flawed. Here's what Vanguard's PW shows for our portfolio:
Image

*This suggests it does not even cover any of one's individual stock holdings.

For comparison, here is the M* Portfolio X-ray output for the same portfolio:
Image
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Re: holy cow - what's our definition of SV?

Post by dbr » Sat Apr 20, 2013 7:59 am

YDNAL wrote:
dbr wrote:A portfolio with a small and value tilt can certainly be constructed using a LV fund. An example would be 50% large value fund and 50% small value fund. The portfolio would be 100% value compared to 33% value for the total market and it would be 50% small compared to about 9% small for the total market.
I'd like to make an observation for clarity.
  • According to Morningstar's methodology - Large/Mid/Small, Value/Blend/Growth - this is what happens with 50% DFA Large Value (DFLVX) and 50% DFA Small Value (DFSVX). This would be a mix of 1,478 US companies presently.
    24 09 06
    09 04 02
    25 17 05

    Although a definitive Value focus, it shouldn't be described as 100% Value (there is no such thing that I know) since there is also a good number of Blend- and Growth-type companies as considered by M*.
Yes, all of that is true. My example was addressed to the "conundrum" presented by the posting to which I was replying.

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Re: holy cow - what's our definition of SV?

Post by Clive » Sat Apr 20, 2013 1:14 pm

Kenneth French's filters by http://mba.tuck.dartmouth.edu/pages/fac ... olios.html

The size breakpoint for year t is the median NYSE market equity at the end of June of year t. BE/ME for June of year t is the book equity for the last fiscal year end in t-1 divided by ME for December of t-1. The BE/ME breakpoints are the 30th and 70th NYSE percentiles.

Image

Whilst for mathematical modelling include the full set of 30% smallest and half of that having the highest book to price is ok - is it appropriate to do so for a live portfolio? I suspect not.

Around 5% on average of small stocks wont be around a year later, and potentially filtering out the more obvious basket cases might improve things. i.e. assessing 'value' on something like book-to-price alone isn't appropriate in practice.

Rather than holding a full set of all possible candidates, investors that hold individual stocks might use sampling - which might be something as simple as picking out every 10th stock in the list to reduce the set down to 10% of the full set size and then perhaps holding those for a year, selling the lot and repeating (obviously if one in the old set is also in the new set then there's no need to sell/rebuy that stock). Or you might ladder that, buy one stock each week that's not already held and hold that stock for a year....for a rolling set of 52 stocks.

Here's a recent filter using yahoo's stock filter http://screener.finance.yahoo.com/presetscreens.html for small (Market Cap < 500M) and Price to Book < 1.5 (i.e. high book to price). Looking at some of the Return on Equity etc values, there are some I wouldn't want to hold, others I'd b more inclined to hold. But then that becomes a subjective 'value' measure.

Code: Select all

Ticker,Company Name,Mkt Cap,Return On Equity,Return On Assets,Forward PE,Price Book Ratio
UUU,Universal Securit,10.0M,-3.279,-3.554,0,0.398
TSTC,Telestone Technol,10.4M,5.914,2.73,0,0.17
AXN,Aoxing Pharmaceut,10.5M,-23.993,-2.873,0,0.402
SSE,Southern Connecti,10.5M,-18.713,-1.666,0,0.283
CRV,Coast Distributio,10.8M,-5.442,-1.896,0,0.326
CPHI,China Pharma Hold,10.8M,9.787,6.769,0,0.109
NMI,Nuveen Municipal,100.2M,15.287,3.227,0,1.116
ECF,Ellsworth Fund Lt,101.8M,-0.199,1.433,0,0.867
BBF,BlackRock Municip,102.6M,23.26,2.58,0,1.055
PMBC,Pacific Mercantil,102.9M,16.927,1.54,0,0.986
BJZ,Blackrock Califor,103.6M,6.638,1.926,0,1.038
HIL,Hill Internationa,103.6M,-3.081,0.156,7.91,1.139
SRT,StarTek,103.6M,-31.85,-10.778,0,0.693
XIDE,Exide Technologie,103.9M,-13.008,2.23,4.05,0.927
BRT,BRT Realty Trust,104.0M,0.964,0.518,0,0.645
AMCN,AirMedia Group In,104.2M,-2.146,-0.949,24.12,0.461
FCFC,FirstCity Financi,104.3M,24.833,9.371,0,0.699
DEXO,Dex One Corporati,104.8M,323.125,4.798,0,0.549
BHD,Blackrock Strateg,105.1M,7.947,3.709,0,1.054
LDF,Latin American Di,105.3M,-20.422,1.014,0,0.957
FBMI,Firstbank Corpora,106.9M,5.796,0.58,12.76,0.648
IVAC,Intevac,108.6M,-8.665,-6.723,0,0.756
BSD,BlackRock Strateg,108.9M,18.77,2.622,0,1.094
APB,Asia Pacific Fund,109.0M,-11.229,-0.215,0,0.878
ELMD,Electromed,11.4M,1.253,1.814,0,0.807
SED,SED International,11.6M,6.023,1.253,0,0.386
OCLR,Oclaro,110.2M,-33.524,-11.105,276,0.848
NTZ,Natuzzi,110.6M,-11.127,-3.413,0,0.335
PULB,Pulaski Financial,111.0M,7.681,0.697,9.98,0.941
JKS,JinkoSolar Holdin,113.4M,-35.181,-4.225,0,0.235
CBNJ,Cape Bancorp,114.1M,1.154,0.16,27.71,0.79
SPE,Special Opportuni,114.6M,0.479,0.903,0,0.932
TSYS,TeleCommunication,115.8M,-56.814,1.624,5.81,0.861
WSTL,Westell Technolog,116.3M,-1.384,-1.209,0,0.736
STP,Suntech Power Hol,117.6M,-86.496,-3.291,0,0.195
HNR,Harvest Natural R,119.4M,-3.428,-10.316,12.65,0.871
MBA,CIBT Education Gr,12.4M,-27.535,-3.985,0,0.778
VII,Vicon Industries,12.6M,-8.272,-3.292,0,0.603
VISN,VisionChina Media,12.7M,-122.201,-6.293,0,0.341
BMJ,Birks & Mayors In,12.9M,1.907,3.533,0,1.019
NOVB,North Valley Banc,121.0M,4.272,0.429,21.27,1
ASFI,Asta Funding,121.1M,5.989,5.355,0,0.744
ISH,International Shi,122.0M,5.214,2.044,18.93,0.479
FMD,First Marblehead,122.2M,0,-0.953,0,0.476
AHC,A.H. Belo Corpora,122.8M,-0.672,2.462,34.29,0.907
GFY,Western Asset Var,122.9M,2.563,3.083,0,1.045
LAWS,Lawson Products,123.0M,-65.632,-5.977,30.71,0.795
RLH,Red Lions Hotels,123.5M,-14.917,-0.342,0,0.779
ANAD,ANADIGICS,123.6M,-38.745,-20.112,0,0.665
PACB,Pacific Bioscienc,125.3M,-53.558,-27.685,0,0.688
BNJ,BlackRock New Jer,125.4M,16.202,2.701,0,1.143
UTSI,UTStarcom Holding,125.6M,1.525,1.432,0,0.608
SOL,Renesola Ltd. Com,126.1M,-20.836,-5.397,0,0.24
STRS,Stratus Propertie,127.4M,-7.932,-0.874,0,0.628
FMFC,First M & F Corpo,127.4M,5.069,0.356,8.84,0.695
HIS,Blackrock High In,127.6M,4.747,4.32,0,1.112
NIM,Nuveen Select Mat,129.0M,8.101,2.45,0,1.065
DLA,Delta Apparel,129.4M,-1.741,1.973,6.84,0.844
MLNK,ModusLink Global,129.6M,-10.044,-2.735,0,0.711
EQU,Equal Energy Ltd.,129.8M,-5.771,-3.556,0,0.525
LGL,LGL Group,13.2M,-3.986,-2.714,0,0.665
RPI,Roberts Realty In,13.7M,-39.124,-1.406,0,0.773
LINC,Lincoln Education,130.6M,-9.492,1.558,25.24,0.458
IBCA,Intervest Bancsha,130.7M,6.183,0.625,0,0.459
ESSA,ESSA Bancorp,131.3M,2.516,0.373,0,0.7
BRD,Brigus Gold Corp,131.9M,11.791,3.46,0,1.083
NCO,Nuveen California,132.3M,26.724,2.903,0,1.046
HRZN,Horizon Technolog,132.5M,6.378,4.506,10.29,0.966
HBCP,Home Bancorp,133.0M,5.037,0.805,0,1.011
CPE,Callon Petroleum,134.0M,51.9,5.372,14.07,1.152
AUDC,AudioCodes Ltd.,134.7M,-3.306,-1.081,13.82,0.943
MCHX,Marchex,135.5M,1.218,-1.332,13.93,0.806
PAI,Western Asset Inc,135.9M,7.078,3.334,0,1.121
BHB,Bar Harbor Banksh,136.1M,9.911,0.974,11.2,1.142
FFNW,First Financial N,136.7M,1.95,0.329,73.73,0.776
HYF,Managed High Yiel,137.4M,3.032,4.61,0,1.052
LDK,LDK Solar Co. Inc,137.4M,-107.602,-6.049,0,0.925
CWCO,Consolidated Wate,137.6M,5.162,2.599,13.56,0.935
FFKT,Farmers Capital B,138.0M,5.037,0.422,13.82,0.583
RBCN,Rubicon Technolog,138.2M,1.904,0.376,16.59,0.982
EIHI,Eastern Insurance,138.8M,5.959,1.817,15.38,0.975
IOT,Income Opportunit,14.0M,4.616,2.706,0,0.193
AWX,Avalon Holdings C,14.1M,2.334,0.424,0,0.366
BDL,Flanigan's Enterp,14.2M,7.617,4.624,0,0.733
API,Advanced Photonix,14.6M,-16.454,-7.763,7.25,1.021
FDI,Fort Dearborn Inc,140.0M,12.991,2.645,0,1.025
JMP,JMP Group Inc Com,140.2M,-1.165,-0.29,8.54,1.023
FUND,Royce Focus Trust,140.4M,-12.424,0.105,0,0.95
MFD,Macquarie/First T,140.5M,-8.548,3.787,0,1.101
DTF,DTF Tax-Free Inco,140.8M,9.691,2.423,0,1.041
NRIM,Northrim BanCorp,141.2M,9.461,1.126,11.27,0.996
UCFC,United Community,141.7M,1.543,0.146,0,0.568
RRST,RRSat Global Comm,142.8M,5.674,4.555,11.6,1.145
BSP,American Strategi,143.1M,1.058,3.032,0,0.925
ADY,Feihe Internation,143.4M,4.98,2.082,4.96,0.597
REX,REX American Reso,144.3M,9.964,4.671,6.48,0.611
BSET,Bassett Furniture,144.6M,5.351,2.68,31.31,0.868
MBWM,Mercantile Bank C,145.6M,28.668,2.752,12.47,0.997
CECO,Career Education,145.7M,-21.249,2.75,0,0.373
HDNG,Hardinge,145.7M,8.336,4.012,9.15,0.787
MCBC,Macatawa Bank Cor,145.8M,10.083,0.645,15.3,1.197
TRGT,Targacept,145.9M,-1.094,0.209,0,0.836
CMU,MFS Municipal Inc,146.9M,12.698,3.045,0,1.145
VSEC,VSE Corporation,147.5M,17.382,6.523,5.35,0.837
FLXS,Flexsteel Industr,148.0M,9.752,8.173,10.13,1.063
NKG,Nuveen Georgia Di,148.6M,11.412,2.477,0,1.005
GST,Gastar Exploratio,149.6M,-36.778,-0.032,9.94,0.832
VRTB,Vestin Realty Mor,15.4M,-2.685,-1.812,0,0.394
MOC,Command Security,15.6M,0.892,1.922,7.5,0.66
EGF,Blackrock Enhance,150.0M,4.355,1.854,0,0.972
IMN,Imation Corporati,150.3M,-6.956,-0.714,0,0.317
MY,China Ming Yang W,150.4M,-4.33,-0.067,0,0.25
ACRE,Ares Commercial R,150.4M,0,0,10.62,0.943
NOA,North American En,150.8M,-13.19,1.457,5.73,0.843
BFIN,BankFinancial Cor,151.0M,-20.211,-2.876,6.03,0.874
CCRN,Cross Country Hea,151.1M,-5.28,1,20.74,0.629
PSEM,Pericom Semicondu,151.8M,-0.868,-0.404,16.72,0.894
ZX,China Zenix Auto,152.8M,23.419,9.071,1.79,0.478
CHC,China Hydroelectr,153.4M,-9.908,1.542,11.36,0.168
UCTT,Ultra Clean Holdi,153.5M,16.816,5.906,9.31,1.048
TECUA,Tecumseh Products,153.8M,-4.803,-5.817,0,0.334
CTRN,Citi Trends,154.2M,-4.855,-2.11,26.1,0.943
EOX,Emerald Oil,154.4M,-9.51,2.62,10.5,0.673
PFO,Flaherty & Crumri,154.9M,8.618,3.856,0,1.162
FRF,Fortegra Financia,155.0M,13.09,3.459,7.48,1.192
DSPG,DSP Group,155.4M,-9.922,-5.323,0,0.905
MILL,Miller Energy Res,156.3M,-5.317,-3.278,6.41,0.737
PNX,Phoenix Companies,156.6M,-0.512,0.096,4.25,0.193
SIGM,Sigma Designs,157.3M,-54.992,-11.053,0,0.974
VLCCF,Knightsbridge Tan,159.3M,5.831,3.187,39.12,0.473
PW,Power REIT (MD) C,16.6M,2.93,3.197,0,1.187
RELV,Reliv' Internatio,16.8M,6.871,4.332,0,1.107
UWN,Nevada Gold & Cas,16.9M,-21.447,1.618,0,0.503
MCRI,Monarch Casino &,160.2M,3.043,4.125,11.01,1.044
LGI,Lazard Global Tot,160.7M,-1.714,1.542,0,0.936
GAGA,Le Gaga Holdings,160.7M,10.395,6.936,4.09,0.787
PROV,Provident Financi,161.7M,7.568,0.84,11.74,1.057
JASO,JA Solar Holdings,162.0M,-23.645,-3.18,0,0.19
WFD,Westfield Financi,162.1M,2.93,0.495,30,0.892
REXI,Resource America,162.1M,16.822,-2.8,0,0.904
CUTR,Cutera,162.3M,-11.616,-5.6,0,1.186
NBBC,NewBridge Bancorp,162.7M,2.973,0.285,8.45,0.652
NPTN,NeoPhotonics Corp,163.0M,-21.627,-5.877,0,0.918
CRRC,Courier Corporati,163.8M,6.663,5.258,14.02,0.972
HURC,Hurco Companies,164.1M,10.795,6.854,9.9,1.079
SUBK,Suffolk Bancorp,164.8M,6.997,0.612,0,1.043
JTA,Nuveen Tax-Advant,164.9M,-2.031,1.627,0,0.98
ART,ARTIO GLOBAL INVE,165.3M,11.747,8.722,99.67,1.014
ICB,MS Income Securit,165.3M,8.498,2.666,0,1.029
LCUT,Lifetime Brands,165.8M,10.651,5.538,7.7,1.027
AVHI,A V Homes,166.7M,-49.281,-19.769,0,0.819
LYTS,LSI Industries In,167.0M,2.145,2.553,13.33,1.115
DCIX,Diana Containersh,168.0M,3.982,2.416,79.43,0.859
MLR,Miller Industries,168.1M,9.025,6.839,9.42,1.166
COCO,Corinthian Colleg,168.2M,2.857,3.329,5.77,0.374
KSWS,K-Swiss Inc.,168.8M,-31.847,-13.311,0,0.782
YAVY,Yadkin Valley Fin,169.4M,14.601,1.047,21.73,0.592
SVT,Servotronics,17.5M,9.592,5.301,0,0.786
HMG,HMG/Courtland Pro,17.9M,-2.08,-0.106,0,0.401
PACR,Pacer Internation,170.2M,7.831,3.849,10.86,1.207
LION,Fidelity Southern,170.7M,10.428,0.792,9.81,1.029
NPD,China Nepstar Cha,170.8M,2.435,1.595,35.8,1.176
AVNW,Aviat Networks,171.5M,-9.248,-0.841,9.72,0.946
STRL,Sterling Construc,172.3M,-13.543,1.74,18.87,0.785
BELFB,Bel Fuse Inc.,172.7M,1.541,1.75,29.23,1.016
DGIT,Digital Generatio,174.0M,0.963,5.086,16.72,0.602
CSIQ,Canadian Solar In,174.2M,-30.096,-1.902,0,0.289
RELL,Richardson Electr,174.6M,3.784,1.416,23.96,0.956
BBK,Blackrock Municip,174.8M,16.414,2.996,0,1.086
VPG,Vishay Precision,175.2M,4.822,3.19,0,1.004
LLNW,Limelight Network,179.5M,-10.276,-5.993,0,0.853
KBX,Kimber Resources,18.2M,-5.623,-3.161,0,0.893
CDY,Cardero Resource,18.8M,-20.13,-12.843,0,0.634
IHC,Independence Hold,180.7M,5.615,1.189,0,0.679
MTS,Montgomery Street,181.4M,5.724,2,0,0.955
NICK,Nicholas Financia,181.9M,17.037,8.719,0,1.148
BSRR,Sierra Bancorp,182.8M,5.042,0.621,16.8,1.016
HOFT,Hooker Furniture,183.4M,4.238,3.771,13.79,1.109
MCBI,MetroCorp Bancsha,183.7M,3.875,0.482,15.24,0.97
AFAM,Almost Family Inc,184.0M,9.572,8.184,11.81,0.924
CCM,Concord Medical S,186.2M,-9.368,4.334,7.57,0.526
LSG,Lake Shore Gold C,186.4M,-1.675,-0.521,0,0.449
TYN,Tortoise North Am,186.8M,0.134,-0.395,0,1.101
PCBK,Pacific Continent,187.1M,4.227,0.596,13.48,0.903
GCAP,GAIN Capital Hold,187.2M,4.478,1.497,9.88,1.034
SWS,SWS Group,187.4M,-1.276,-0.129,14.48,0.583
AP,Ampco-Pittsburgh,187.5M,3.909,2.122,0,0.969
MUH,Blackrock MuniHol,188.6M,23.235,2.791,0,1.079
WRES,Warren Resources,188.9M,12.939,5.609,11.77,1.182
TPI,Tianyin Pharmaceu,19.1M,7.606,5.792,0,0.188
OME,Omega Protein Cor,190.1M,4.852,3.062,9.64,0.672
GLAD,Gladstone Capital,190.3M,-6.928,5.339,9.93,0.993
CNBKA,Century Bancorp,191.6M,10.642,0.62,0,1.04
NXR,Nuveen Select Tax,192.2M,11.574,3.074,0,1.099
JHS,John Hancock Inco,193.2M,7.58,3.064,0,1.132
BNY,BlackRock New Yor,197.9M,13.925,2.748,0,1.103
AE,Adams Resources &,198.4M,22.836,6.96,0,1.057
GBR,New Concept Energ,2.1M,-114.096,-2.96,0,0.409
NEWN,New Energy System,2.5M,-24.658,-3.274,0,0.132
GGR,GeoGlobal Resourc,2.8M,-26.479,-2.906,0,0.369
MTEX,Mannatech,20.1M,-59.304,-11.722,0,0.784
CRVP,Crystal Rock Hold,20.3M,3.288,3.343,0,1.02
CSUN,China Sunergy Co.,20.3M,-76.625,-7.204,0,0.155
CBP,China Botanic Pha,20.5M,26.481,18.061,0,0.165
SRI,Stoneridge,200.7M,27.74,3.102,4.65,1.005
MOFG,MidWestOne Financ,201.3M,9.026,0.903,10.82,1.128
ESBF,ESB Financial Cor,201.7M,8.378,0.771,0,1.077
SVA,Sinovac Biotech,203.9M,-5.385,-1.93,0,1.139
CRAI,CRA International,204.3M,0,0,12.72,0.668
CO,China Cord Blood,205.1M,11.37,4.749,15.88,1.031
ACW,Accuride Corporat,206.3M,-4.837,2.154,9.1,0.862
MNI,McClatchy Company,206.3M,37.539,4.6,4.37,0.961
PVA,Penn Virginia Cor,206.4M,-6.111,-1.261,0,0.356
TNK,Teekay Tankers Lt,206.5M,-0.243,-0.021,25.2,0.344
CIK,Credit Suisse Ass,207.1M,6.131,4.317,0,1.095
TNP,Tsakos Energy Nav,207.2M,-9.634,-0.028,107.2,0.314
NCP,Nuveen California,207.8M,23.4,2.844,0,1.055
PFBC,Preferred Bank,207.9M,15.992,1.957,16.22,1.065
GDF,Western Asset Glo,208.0M,7.698,4.373,0,1.142
HFWA,Heritage Financia,208.1M,5.634,0.854,16.16,1.123
UVE,UNIVERSAL INSURAN,208.5M,10.196,1.622,0,0.917
KXM,Kobex Minerals In,21.0M,-7.293,-3.365,0,0.666
NQC,Nuveen California,212.1M,22.471,2.735,0,1.081
FUBC,1st United Bancor,214.0M,1.641,0.256,26,0.937
ACTS,Actions Semicondu,214.7M,0.466,-2.509,0,0.4
CCBG,Capital City Bank,215.5M,-0.567,-0.055,178.17,0.738
BSI,Alon Holdings - B,217.0M,1.559,1.15,0,0.422
SWSH,Swisher Hygiene,217.2M,-14.911,-4.075,10.43,0.723
JTD,Nuveen Tax-Advant,217.3M,5.017,1.838,0,1.027
PEBO,Peoples Bancorp I,218.6M,8.982,1.071,12.62,1.133
ZEUS,Olympic Steel,218.8M,6.04,3.643,7.59,0.628
EQS,Equus Total Retur,22.2M,-21.416,-3.967,0,0.686
CTP,CTPartners Execut,22.8M,-13.062,-4.274,13.87,1.178
CMFO,China Marine Food,22.9M,-1.381,-0.483,0,0.232
FRNK,Franklin Financia,220.2M,1.908,0.443,22.34,0.846
AOSL,Alpha and Omega S,220.5M,4.787,2.966,0,0.778
JAKK,JAKKS Pacific,220.5M,-0.252,1.307,10.54,0.985
CHDX,Chindex Internati,220.8M,1.964,2.109,0,1.203
DCO,Ducommun Incorpor,220.9M,-16.922,3.847,7.61,0.665
FBRC,FBR & Co,221.0M,-17.882,-12.765,12.8,0.746
POWR,PowerSecure Inter,221.2M,1.675,0.407,12.8,0.964
COHU,Cohu,223.0M,-0.428,-0.331,12.51,0.842
JBSS,John B. Sanfilipp,224.1M,8.901,5.697,7.29,0.683
HMPR,Hampton Roads Ban,224.8M,-38.588,-2.571,0,1.12
MYF,Blackrock MuniYie,225.0M,23.365,2.627,0,1.1
FCAL,First California,225.8M,4.969,0.59,12.94,0.996
MSF,Morgan Stanley Em,227.4M,-13.329,0.289,0,0.961
CSFL,CenterState Banks,229.9M,6.566,0.742,19.96,1.003
SGB,Southwest Georgia,23.7M,4.829,0.445,0,0.842
CVR,Chicago Rivet & M,23.9M,6.656,5.158,0,0.793
ABR,Arbor Realty Trus,231.6M,-6.642,-0.806,0,0.787
METR,Metro Bancorp,231.6M,0.993,0.091,16.79,0.802
GASS,StealthGas,231.8M,7.977,2.737,5.58,0.42
TBNK,Territorial Banco,231.9M,6.285,0.903,17.71,1.073
BKR,Baker (Michael) C,234.5M,7.182,4.041,12.53,1.038
NGS,Natural Gas Servi,234.5M,7.248,5.559,13.87,1.084
OPY,Oppenheimer Holdi,234.9M,1.17,0.181,9.72,0.436
BME,Blackrock Health,235.8M,1.203,0.13,0,1.027
GSL,Global Ship Lease,237.1M,7.535,4.205,7.7,0.532
VOXX,VOXX Internationa,237.3M,4.553,4.173,4.48,0.425
GILT,Gilat Satellite N,237.4M,-3.589,0.828,25,0.637
HSII,Heidrick & Strugg,237.6M,-12.36,4.765,13.26,0.926
PSTB,Park Sterling Cor,237.7M,0.023,0.005,13.57,0.829
ISSI,Integrated Silico,239.8M,19.796,4.981,9.07,1.063
MXN,First American Mi,24.4M,11.548,2.276,0,1.089
ECT,ECA Marcellus Tru,240.1M,12.889,7.585,8.26,1.203
MYJ,Blackrock MuniYie,240.2M,18.854,2.412,0,1.045
ORN,Orion Marine Grou,240.2M,-9.935,-7.26,187.5,0.91
NWPX,Northwest Pipe Co,240.7M,5.399,4.449,10.54,0.945
NNA,Navios Maritime A,240.9M,-1.246,2.367,16.25,0.456
ASI,American Safety I,241.4M,2.382,0.365,9.33,0.565
FBNK,First Connecticut,241.7M,0.552,0.085,45.1,0.905
FORM,FormFactor,241.7M,-16.271,-9.354,0,0.853
DWSN,Dawson Geophysica,242.9M,6.715,5.426,13.8,0.999
MRCY,Mercury Systems I,243.1M,7.129,4.927,10.82,0.946
OKSB,Southwest Bancorp,243.5M,-16.907,-2.371,12.87,0.866
EFSC,Enterprise Financ,243.7M,11.358,0.915,10.49,1.113
PAL,North American Pa,244.0M,-20.517,-1.953,21,1.088
AVID,Avid Technology,244.4M,-15.221,-1.856,14.4,1.035
OCFC,OceanFirst Financ,244.6M,9.973,0.952,12.59,1.204
TRNO,Terreno Realty Co,245.2M,-0.253,0.773,20.2,1.003
RAIL,Freightcar Americ,245.8M,10.527,5.734,10.87,1.042
JOF,Japan Smaller Cap,245.9M,-3.336,0.405,0,0.822
NAFC,Nash-Finch Compan,247.8M,-17.172,4.909,7.78,0.8
KEM,Kemet Corporation,248.0M,-11.748,1.573,5.23,0.611
FBNC,First Bancorp,248.4M,0.476,0.049,13.24,0.715
SUPX,Supertex,248.5M,1.937,0.6,33.28,1.153
NXQ,Nuveen Select Tax,248.8M,12.224,3.068,0,1.073
WSBF,Waterstone Financ,249.3M,1.754,0.179,0,0.906
CUO,Continental Mater,25.0M,-4.496,-1.799,0,0.442
FFEX,Frozen Food Expre,25.3M,-56.319,-18.476,0,0.918
TOPS,TOP Ships Inc.,25.5M,-12.081,-0.439,0,0.253
KONG,KongZhong Corpora,250.3M,1.23,4.208,9.08,1.076
FDUS,Fidus Investment,250.8M,11.192,4.741,9.4,1.102
CLDT,Chatham Lodging T,251.1M,-3.504,1.251,8.65,0.92
CSS,CSS Industries,253.2M,8.072,6.752,0,0.836
ISS,iSoftStone Holdin,253.3M,5.122,3.714,6.69,0.997
MHD,Blackrock MuniHol,255.3M,17.262,2.783,0,1.109
HQL,H&Q Life Sciences,255.4M,19.671,-0.768,0,1.041
TCBK,TriCo Bancshares,257.2M,10.403,0.947,13.03,1.204
TGS,Transportadora de,259.0M,8.784,7.035,7.08,0.617
QRM,Quest Rare Minera,26.7M,-4.59,-3.277,0,1.127
BRN,Barnwell Industri,26.9M,-15.275,-1.275,0,0.763
SNBC,Sun Bancorp,261.4M,-8.775,-0.807,65.2,0.984
FISI,Financial Institu,262.0M,10.032,0.983,10.18,1.124
KCAP,KCAP Financial,262.0M,-0.318,5.284,9.43,1.206
RNWK,RealNetworks,262.3M,15.188,-6.497,0,0.883
BPK,Blackrock Municip,262.6M,7.818,2.493,0,1.081
OABC,OmniAmerican Banc,265.7M,2.219,0.335,30.75,1.19
FORTY,Formula Systems (,265.9M,16.595,4.347,0,0.945
PRIS,Promotora De Info,266.8M,-18.58,1.61,0,0.198
YONG,Yongye Internatio,269.2M,25.404,15.36,1.81,0.605
CNIT,China Information,27.3M,-10.607,-3.051,0,0.153
CAW,CCA Industries,27.5M,3.05,2.018,0,1.178
KID,Kid Brands,27.5M,-33.7,0.548,4.11,0.369
QMM,Quaterra Resource,27.7M,-10.698,-6.551,0,0.787
PERY,Perry Ellis Inter,270.3M,4.118,4.114,10.5,0.878
ANW,Aegean Marine Pet,275.3M,2.992,2.773,5.4,0.578
BKN,BlackRock Investm,275.9M,20.578,2.713,0,1.111
ALC,Assisted Living C,276.4M,-2.193,5.251,16.72,0.628
REGI,Renewable Energy,276.8M,39.968,12.051,6.06,0.607
FWV,First West Virgin,28.4M,7.813,0.909,0,0.74
HZO,MarineMax,280.0M,-1.49,0.22,42.5,0.965
COWN,Cowen Group,282.5M,-15.566,-6.311,6.62,0.618
LBAI,Lakeland Bancorp,282.8M,8.3,0.738,12.67,1.177
KTOS,Kratos Defense &,283.2M,-10.671,2.368,20.03,0.806
KAI,Kadant Inc Common,283.3M,15.012,6.669,10.17,1.192
MSD,Morgan Stanley Em,283.6M,9.228,2.956,0,0.994
AMRI,Albany Molecular,283.8M,-14.986,-1.716,17.4,0.514
SGU,Star Gas Partners,283.9M,1.676,2.026,0,0.966
EVF,Eaton Vance Senio,283.9M,3.615,2.447,0,1.052
UVSP,Univest Corporati,285.1M,7.461,0.967,13.58,1.108
QNST,QuinStreet,285.4M,3.748,3.549,9.72,1.092
MSFG,MainSource Financ,286.0M,7.594,0.882,10.4,0.891
WMAR,West Marine,286.3M,5.134,3.647,14.14,0.912
TAXI,Medallion Financi,286.5M,11.575,2.699,11.19,1.192
USMO,USA Mobility,286.5M,18.799,11.257,0,1.026
PLG,Platinum Group Me,287.8M,-3.83,-2.031,0,0.949
ETM,Entercom Communic,288.6M,6.047,5.895,8.12,1.028
DQ,DAQQ New Energy C,29.1M,-10.958,-0.991,0,0.097
IFMI,Institutional Fin,29.1M,-22.206,-2.004,0,0.236
NMB,Nuveen Massachuse,29.2M,14.395,2.461,0,1.011
ACY,AeroCentury Corp.,29.2M,7.893,3.792,10,0.431
ONP,Orient Paper,29.7M,15.292,12.13,0,0.269
ADNC,Audience,290.4M,0,0,48.38,0.948
FVE,Five Star Quality,292.3M,24.072,1.874,18,0.875
XPO,XPO Logistics,293.1M,-6.642,-3.758,0,1.117
HVB,Hudson Valley Hol,293.2M,2.917,0.305,15.93,1.176
RNDY,Roundy's,293.2M,0,0,5.13,0.955
RMT,Royce Micro-Cap T,293.4M,-3.532,0.112,0,0.936
NPF,Nuveen Premier Mu,294.7M,14.367,2.395,0,1.009
ASA,ASA  Gold and Pre,295.1M,-34.032,0.305,0,1.07
UBNK,United Financial,295.2M,5.043,0.705,14.07,0.924
BDE,Black Diamond,298.2M,2.593,2.042,46,1.142
GTN,Gray Communicatio,299.7M,14.817,4.848,9.38,0.959
CRC,Chromcraft Reving,3.0M,-19.95,-6.933,0,0.207
GPR,GeoPetro Resource,3.4M,-4.749,-8.909,0,0.351
CXZ,Crosshair Energy,3.8M,-69.504,-35.533,0,0.652
KF,Korea Fund,3:03pm,333.4M,-18.766,-0.162,0
DGICB,Donegal Group,3:52pm,490.8M,2.57,0.341,0
BPS,BlackRock Pennsyl,30.3M,13.05,2.299,0,1.035
COBZ,CoBiz Financial I,301.2M,16.389,1.499,11.85,1.14
CETV,Central European,301.8M,-14.114,1.236,0,0.497
CBZ,CBIZ,303.1M,10.434,4.38,9.14,1.012
OPLK,Oplink Communicat,303.4M,-0.918,1.688,13.51,1.187
MVC,MVC Capital,304.2M,-1.201,2.208,53.46,0.781
ESIO,Electro Scientifi,304.5M,-0.521,0.242,15.11,0.971
FCBC,First Community B,304.5M,5.786,0.743,10.95,0.95
TA,TravelCenters of,307.8M,10.519,2.641,4.16,0.457
TSL,Trina Solar Limit,308.7M,-19.328,-4.139,0,0.322
DXR,Daxor Corporation,31.2M,-18.939,-1.005,0,1.038
BORN,China New Borun C,31.6M,20.476,12.867,1.5,0.255
ASYS,Amtech Systems,31.7M,-7.579,-1.135,0,0.31
JRJC,China Finance Onl,31.8M,-23.474,-3.16,0,0.314
INFU,InfuSystems Holdi,31.8M,-39.708,0.969,12.71,0.964
DMND,Diamond Foods,313.6M,12.028,5.454,13.83,0.919
RSH,Radioshack Corpor,313.8M,-2.221,1.493,0,0.34
MFM,MFS Municipal Inc,314.0M,13.503,3.111,0,1.15
UEPS,Net 1 UEPS Techno,314.2M,13.316,5.422,5.48,1.196
AOI,Alliance One Inte,315.5M,-0.783,3.56,0,0.971
XIN,Xinyuan Real Esta,315.8M,23.675,9.192,1.88,0.276
IL,IntraLinks Holdin,316.0M,-5.042,-0.712,47.36,1.125
UEIC,Universal Electro,319.3M,8.117,4.221,9.99,1.115
LEDS,SemiLEDS Corporat,32.2M,-25.688,-11.295,0,0.357
APT,Alpha Pro Tech,32.3M,3.341,2.128,0,0.86
SBLK,Star Bulk Carrier,32.9M,-16.94,-1.061,0,0.11
JAG,Jaguar Mining Inc,32.9M,-36.2,-2.531,0,0.478
EVK,Ever-Glory Intern,32.9M,18.509,6.28,0,0.36
MQT,Blackrock MuniYie,320.0M,17.007,2.613,0,1.065
TUES,Tuesday Morning C,320.7M,1.504,1.632,21.09,1.077
CBR,Ciber,322.2M,1.253,2.215,19.56,0.718
YGE,Yingli Green Ener,322.6M,-56.744,-3.591,0,0.389
SYX,Systemax Inc. Com,322.9M,6.747,3.685,9.78,0.944
INTL,INTL FCStone Inc.,323.8M,4.767,0.51,8.83,1.175
EVG,Eaton Vance Short,325.2M,3.06,2.264,0,0.982
AMED,Amedisys Inc,326.7M,-54.471,3.94,15.12,0.816
MCS,Marcus Corporatio,327.2M,5.991,3.849,0,0.921
BBOX,Black Box Corpora,327.6M,-39.907,4.52,8.86,0.915
NZH,Nuveen California,331.5M,18.597,3.162,0,1.054
AI,Arlington Asset I,331.8M,3.805,0.714,5.38,1.054
AGM,Federal Agricultu,332.2M,2.01,0.098,5.8,0.961
CISG,CNinsure Inc.,334.5M,-24.418,3.689,5.79,0.666
BKK,Blackrock Municip,335.7M,10.358,2.615,0,1.032
CQB,Chiquita Brands I,336.4M,-6.103,0.634,11.55,0.454
CGX,Consolidated Grap,336.6M,4.372,2.694,8.61,1.013
ANGO,AngioDynamics,337.1M,-1.096,1.246,21.17,0.828
ULTR,Ultrapetrol (Baha,337.7M,-9.224,0.571,7.76,0.217
DUC,Duff & Phelps Uti,339.0M,6.729,1.959,0,1.071
MCGC,MCG Capital Corpo,339.5M,-17.265,3.464,10.22,0.893
MHE,Massachusetts Hea,34.9M,13.624,2.553,0,1.141
PIM,Putnam Master Int,340.3M,-2.598,2.176,0,0.951
STEL,StellarOne Corpor,344.6M,4.568,0.655,13.71,0.721
GVP,GSE Systems,35.0M,6.988,2.93,17.55,0.895
BZM,BlackRock Marylan,35.0M,9.908,2.57,0,1.163
HTM,U.S. Geothermal I,35.6M,-8.185,-2.549,0,0.483
WYY,WidePoint Corpora,35.6M,0.468,-0.005,9.5,1.064
NMY,Nuveen Maryland P,350.2M,13.888,2.463,0,0.99
MIG,Meadowbrook Insur,350.7M,3.407,0.778,7.5,0.675
ATSG,Air Transport Ser,354.6M,8.706,5.484,5.79,0.984
EMF,Templeton Emergin,355.2M,-2.206,0.774,0,0.833
NAC,Nuveen California,356.1M,18.699,2.825,0,1.091
MYC,Blackrock MuniYie,356.3M,23.766,2.331,0,1.046
MERC,Mercer Internatio,358.7M,3.386,3.706,15.4,1.022
ETB,Eaton Vance Tax-M,359.2M,9.177,0.787,0,0.996
CEP,Constellation Ene,36.3M,11.762,5.829,0,0.147
MVT,Blackrock MuniVes,360.8M,19.552,2.86,0,1.149
JRS,Nuveen Real Estat,361.5M,12.387,1.574,0,1.086
IVC,Invacare Corporat,362.6M,-2.459,3.974,9.37,0.78
SB,Safe Bulkers,363.4M,24.781,7.596,4.74,1.141
SPTN,Spartan Stores,368.7M,10.122,5.214,10.4,1.076
USU,USEC Inc. Common,37.3M,-63.394,-4.693,4,0.152
CTC,IFM Investments L,37.3M,-40.014,-16.084,0,0.512
DHT,DHT Holdings,37.7M,-14.427,2.812,23.54,0.168
SKY,Skyline Corporati,37.8M,-29.076,-15.851,0,0.768
BEBE,bebe stores,370.4M,3.263,2.79,24.5,1.141
UFI,Unifi,370.5M,3.668,1.145,6.86,0.91
PCCC,PC Connection,373.0M,11.181,7.022,8.6,1.076
EMCI,EMC Insurance Gro,373.2M,5.884,1.369,13.64,0.704
EBF,Ennis,373.8M,5.992,4.502,7.43,1.209
ITG,Investment Techno,375.0M,-42.963,-8.026,18.1,0.821
ES,EnergySolutions I,375.3M,-50.42,-1.429,9.66,0.853
MEN,Blackrock MuniEnh,375.4M,18.409,2.479,0,1.079
EGL,Engility Holdings,376.3M,0,0,6.96,0.283
CAS,Castle (A.M.) & C,376.7M,-4.643,2.538,10.94,0.838
PMC,Pharmerica Corpor,377.2M,6.256,5.667,9.81,0.883
TCRD,THL Credit,379.5M,9.16,5.6,9.85,1.061
EDS,Exceed Company Lt,38.7M,17.859,12.703,0,0.16
WIA,Western Asset/Cla,388.6M,10.046,1.444,0,0.91
BLE,BlackRock Municip,389.4M,15.795,2.9,0,1.119
ACU,Acme United Corpo,39.1M,11.474,5.09,9.18,1.209
BLJ,Blackrock New Jer,39.3M,15.234,2.623,0,1.065
ALN,American Lorain C,39.5M,14.708,9.225,0,0.274
GURE,Gulf Resources,39.5M,6.532,5.751,0,0.158
FTF,Franklin Templeto,390.1M,5.057,2.704,0,1.071
PBNY,Provident New Yor,391.9M,3.922,0.559,15,0.793
BNA,BlackRock Income,395.9M,13.146,1.679,0,1.026
EXM,Excel Maritime Ca,40.0M,-16.203,-1.056,0,0.045
SEED,Origin Agritech L,40.4M,-10.488,0.011,0,0.963
CALX,Calix,400.1M,-9.651,-4.221,18.17,1.151
BHK,Blackrock Core Bo,400.5M,13.055,1.771,0,1.079
FUR,Winthrop Realty T,400.8M,2.387,0.802,8.47,1.081
THFF,First Financial C,403.2M,10.307,1.339,12.95,1.172
NM,Navios Maritime H,409.4M,3.568,2.452,11.77,0.35
VSR,Versar,41.2M,12.986,9.269,0,0.91
NMZ,Nuveen Municipal,411.0M,22.25,3.947,0,1.115
PCO,Pendrell Corporat,411.4M,24.044,-3.54,0,0.757
CDR,Cedar Realty Trus,416.8M,-2.547,1.414,0,1.108
FRME,First Merchants C,418.7M,7.544,0.91,12.87,0.987
TC,Thompson Creek Me,419.6M,1.798,-0.601,13,0.267
BAMM,Books-A-Million,42.1M,0.885,0.194,0,0.404
ARL,American Realty I,42.8M,-39.424,0.595,0,0.755
MOD,Modine Manufactur,420.1M,7.019,3.898,7.66,1.151
NMFC,New Mountain Fina,421.6M,0,0,10.68,1.065
FLY,Fly Leasing Limit,422.8M,8.513,4.145,6.16,0.715
GFIG,GFI Group Inc. Co,423.4M,-1.207,-0.344,9.85,0.861
ORBK,Orbotech Ltd.,424.5M,3.582,2.545,10.69,0.757
WSFS,WSFS Financial Co,427.8M,6.871,0.641,12.41,0.898
DIT,AMCON Distributin,43.1M,16.264,7.138,0,0.868
EHI,Western Asset Glo,430.0M,2.589,4.556,0,1.082
DRIV,Digital River,430.6M,2.213,1.385,14.82,0.921
HYV,Blackrock Corpora,433.7M,6.485,4.088,0,1.072
CSWC,Capital Southwest,434.0M,16.784,0.304,0,0.783
PES,Pioneer Energy Se,435.7M,7.98,5.452,18.43,0.931
ZOLT,Zoltek Companies,436.7M,7.851,3.871,12.59,0.941
TESO,Tesco Corporation,439.5M,10.257,6.721,9.14,0.949
TGX,Theragenics Corpo,44.0M,3.785,2.814,11.33,0.663
MSN,Emerson Radio Cor,44.9M,16.83,8.734,0,0.829
AFB,AllianceBernstein,443.3M,10.59,2.671,0,1.106
DSM,Dreyfus Strategic,447.7M,14.336,2.86,0,1.11
HGG,HHGregg,447.8M,23.73,6.228,7.14,0.732
SMA,Symmetry Medical,447.9M,-0.058,2.092,13.36,1.212
WTT,Wireless Telecom,45.0M,8.58,3.886,0,0.887
CACH,Cache,45.5M,-0.243,-0.212,17.58,0.846
ELY,Callaway Golf Com,451.4M,-15.327,-1.976,624,0.755
TITN,Titan Machinery I,453.6M,12.884,4.702,7.73,1.151
DAC,Danaos Corporatio,453.8M,5.699,3.772,4.46,0.712
HYT,Blackrock Corpora,454.6M,6.507,4.14,0,1.077
PKD,Parker Drilling C,455.0M,-3.826,8.196,6.28,0.84
TOWN,Towne Bank,455.2M,7.137,0.913,0,1.211
PMM,Putnam Managed Mu,455.2M,13.978,3.116,0,1.073
HXM,Desarrolladora Ho,456.3M,12.743,4.912,4.88,0.878
RBCAA,Republic Bancorp,456.5M,21.538,3.325,10.46,0.865
BQH,Blackrock New Yor,46.0M,13.997,2.603,0,1.059
TCI,Transcontinental,46.4M,-27.468,0.79,0,0.375
SMSI,Smith Micro Softw,46.6M,-125.047,-17.351,0,1.188
LEAP,Leap Wireless Int,462.9M,-43.261,0.194,0,1.119
BKT,BlackRock Income,464.2M,7.985,1.113,0,0.961
CET,Central Securitie,465.5M,-10.778,0.868,0,0.835
TBBK,The Bancorp,466.9M,4.915,0.477,11.9,1.211
OESX,Orion Energy Syst,47.0M,-0.732,-0.822,24.12,0.47
FAC,First Acceptance,47.0M,0,0,0,0.694
UBSH,Union First Marke,471.2M,7.706,0.862,12.99,0.941
SUP,Superior Industri,473.6M,12.769,3.786,15.85,1.011
BAS,Basic Energy Serv,474.8M,23.85,8.757,12.41,1.174
MWW,Monster Worldwide,475.6M,4.473,2.048,25.24,0.743
FFIC,Flushing Financia,477.8M,8.153,0.778,12.72,1.115
ARI,Apollo Commercial,477.9M,10.471,4.15,0,1.038
HOGS,Zhongpin Inc.,478.5M,10.159,4.898,6.4,0.775
PJC,Piper Jaffray Com,479.4M,-13.379,-5.086,11.86,0.556
VTG,Vantage Drilling,479.6M,-4.615,3.104,18.5,0.785
USAK,USA Truck,48.0M,-13.387,-4.549,26,0.316
ESEA,Euroseas Ltd.,48.0M,-4.05,0.584,0,0.242
KFS,Kingsway Financia,48.1M,-22.056,-2.055,0,0.261
LAS,Lentuo Internatio,48.3M,6.101,4.199,0,0.369
ASP,American Strategi,48.9M,7.018,3.217,0,0.964
NAT,Nordic American T,483.6M,-7.865,-3.073,0,0.605
RAS,RAIT Financial Tr,483.9M,-15.357,-4.666,0,0.311
MUA,Blackrock MuniAss,486.8M,16.304,3.401,0,1.029
HAFC,Hanmi Financial C,488.4M,26.636,2.621,12.19,1.167
VVI,Viad Corp Common,489.0M,0.349,0.526,19.64,1.102
HPF,John Hancock Pfd,489.1M,11.797,3.737,0,1.118
DSU,Blackrock Debt St,489.1M,4.126,3.749,0,1.08
EGLE,Eagle Bulk Shippi,49.9M,-7.299,0.26,0,0.088
TICC,TICC Capital Corp,492.0M,7.292,7.193,8.77,1.102
PICO,PICO Holdings Inc,496.9M,-11.117,-0.169,0,1.085
MIL,MFC Industrial Lt,497.3M,4.256,2.846,0,0.944
SOR,Source Capital,499.1M,-7.269,0.315,0,0.961
CHGS,China GengSheng M,5.2M,-25.954,-2.458,0,0.233
GSX,Gasco Energy,5.3M,-43.473,-4.425,0,0.8
CGR,Claude Resources,50.6M,1.492,0.728,7.17,0.793
HIF,Western Asset Hig,50.8M,3.937,4.788,0,1.047
BHY,Blackrock High Yi,51.2M,6.338,3.397,0,1.114
CNTF,China TechFaith W,51.4M,2.176,2.238,0,0.186
GIGM,GigaMedia Limited,51.7M,-37.396,-4.473,0,0.364
EIA,Eaton Vance Calif,51.8M,18.524,2.541,0,1.079
FUNC,First United Corp,53.0M,0.538,0.037,0,0.642
ITI,Iteris,53.3M,3.181,1.482,12.75,0.922
GSI,General Steel Hol,53.3M,-37.541,-0.824,0,1.138
DM,Dolan Company (Th,53.4M,6.721,1.695,25.76,0.519
BIE,BlackRock Municip,53.8M,20.111,2.453,0,1.069
LOJN,LoJack Corporatio,55.7M,0.86,1.716,45.8,1.123
DBLE,Double Eagle Petr,56.1M,6.67,4.489,0,1.213
RNE,Morgan Stanley Ea,56.2M,-25.013,-0.036,0,0.986
FBN,Furniture Brands,56.3M,-20.968,-1.815,0,0.63
BLH,Blackrock New Yor,56.5M,6.081,2.584,0,1.04
NCIT,NCI,56.6M,4.025,3.623,21.81,0.565
NED,Noah Education Ho,56.7M,-5.995,0.009,0,0.442
HWBK,Hawthorn Bancshar,57.1M,2.734,0.226,0,0.585
STLY,Stanley Furniture,57.5M,46.393,-2.646,0,0.754
EPAX,Ambassadors Group,57.9M,5.475,1.448,13.6,1.163
JRCC,James River Coal,57.9M,-18.117,-0.364,0,0.285
GRO,Agria Corporation,58.2M,-3.643,-3.005,0,0.178
UBFO,United Security B,59.0M,-2.405,-0.253,0,0.531
RVSB,Riverview Bancorp,59.2M,-37.389,-4.017,27,0.408
BDR,Blonder Tongue La,6.1M,-10.987,-4.27,0,0.336
RCG,RENN Global Entre,6.4M,-5.012,-5.129,0,0.638
AXR,AMREP Corporation,60.0M,-1.928,-0.368,0,0.805
CMT,Core Molding Tech,60.8M,21.098,11.269,0,0.941
FRD,Friedman Industri,62.4M,13.525,10.642,5.75,1.065
PAR,PAR Technology Co,62.8M,5.435,3.235,13.95,1.117
FSBK,First South Banco,62.8M,2.139,0.234,0,0.552
WH,WSP Holdings Limi,63.2M,-30.725,-2.183,0,0.148
COGO,Cogo Group,64.0M,-10.66,1.829,3.5,0.289
MCOX,Mecox Lane Limite,65.3M,-30.009,-13.543,0,0.333
BKJ,Bancorp of New Je,65.5M,7.135,0.809,0,0.989
DDE,Dover Downs Gamin,66.9M,7.352,4.903,7.69,0.694
STS,Supreme Industrie,67.0M,19.723,7.182,0,0.906
XNY,China Xiniya Fash,67.2M,21.02,13.375,0,0.31
MAXY,Maxygen,67.8M,12.757,6.85,0,0.395
SQNS,Sequans Communica,67.9M,-25.586,-12.904,0,0.825
AUMN,Golden Minerals C,68.4M,-21.956,-14.281,171,0.572
SOQ,Sonde Resources C,68.5M,-6.966,-10.606,0,0.281
AMBO,Ambow Education H,68.8M,1.498,1.771,0.75,0.474
SCX,L.S. Starrett Com,68.8M,0.633,-0.422,9.39,0.651
MEET,MeetMe,69.3M,-24.467,-7.415,0,1.2
HTCH,Hutchinson Techno,69.6M,-20.744,-5.944,0,0.236
DRWI,DragonWave Inc,69.6M,-33.776,-18.552,0,0.875
GNK,Genco Shipping &,69.9M,-4.694,0.475,0,0.141
HRT,Arrhythmia Resear,7.2M,-16.02,-9.699,0,0.426
AMS,American Shared H,7.6M,5.917,3.453,0,0.682
MZA,Blackrock MuniYie,70.0M,18.084,2.386,0,1.049
MEA,Metalico Inc Comm,70.3M,3.703,1.944,20.38,0.637
AMRB,American River Ba,71.5M,3.96,0.627,21.25,0.769
NCTY,The9 Limited,72.0M,-22.474,-14.701,0,0.574
BALT,Baltic Trading Li,72.4M,-2.348,-0.349,0,0.26
ATV,Acorn Internation,73.5M,-3.668,-3.347,0,0.444
MBTF,M B T Financial C,73.8M,3.383,0.205,0,0.611
MXA,Minnesota Municip,74.0M,13.683,2.493,0,1.141
EVBN,Evans Bancorp,74.6M,10.302,0.964,9.06,0.891
CIS,Camelot Informati,75.9M,-17.585,-3.183,3.02,0.324
ELLO,Ellomay Capital L,76.4M,3.862,0.8,0,0.689
CAK,CAMAC Energy Inc.,76.6M,-4.212,-1.921,0,0.415
DVD,Dover Motorsports,76.9M,-13.83,4.989,9.2,1.071
BQY,BlackRock S&P Qua,77.1M,-2.695,1.442,0,0.919
SLI,SL Industries,77.2M,15.531,7.379,6.54,1.067
DNY,The Denali Fund I,77.7M,-1.386,0.321,0,0.895
RIMG,Rimage Corporatio,78.0M,-3.564,-2.657,0,0.553
SAR,Saratoga Investme,78.0M,11.184,4.001,0,0.712
ZA,Zuoan Fashion Lim,78.7M,29.651,21.256,1.42,0.459
GCV,Gabelli Convertib,79.2M,1.88,0.835,0,1.032
STRI,STR Holdings,79.4M,-49.448,-0.761,32.6,0.543
IBCP,Independent Bank,79.6M,-4.392,-0.212,7.88,0.752
SSY,SunLink Health Sy,8.1M,2.355,4.999,0,0.503
OBT,Orbital Corporati,8.4M,-16.542,-11.752,0,0.492
UPG,Universal Power G,8.9M,1.197,1.171,0,0.48
TRF,Templeton Russia,80.0M,-31.227,0.109,0,0.868
MRF,American Income F,80.8M,6.137,3.247,0,1.001
CVTI,Covenant Transpor,81.0M,-10.384,2.467,13.53,0.76
CDXS,Codexis,81.3M,-21.122,-9.102,0,1.21
FRS,Frisch's Restaura,83.0M,4.693,3.145,11.65,0.809
JST,Jinpan Internatio,83.3M,11.762,5.17,4.05,0.417
BBW,Build-A-Bear Work,83.5M,-12.374,0.666,17.5,0.518
EGAS,Gas Natural Inc.,84.3M,4.352,3.513,14.13,1.073
LPR,Lone Pine Resourc,84.5M,-21.749,2.68,0,0.361
GLCH,Gleacher & Compan,84.7M,-51.995,-6.048,6.08,0.454
MGPI,MGP Ingredients,84.8M,0,0,0,0.805
DDF,Delaware Investme,85.1M,0.392,2.433,0,1.025
ENZ,Enzo Biochem,85.8M,-19.219,-9.54,0,1.044
IFT,Imperial Holdings,85.9M,0.175,0.087,0,0.352
CGA,China Green Agric,86.0M,19.33,13.181,0,0.377
MPAA,Motorcar Parts of,86.7M,-32.31,0.176,27.11,0.703
AXTI,AXT Inc,87.4M,11.866,6.907,13.38,0.803
MTSN,Mattson Technolog,88.7M,-17.517,-4.625,0,0.974
FTEK,Fuel Tech,89.7M,6.988,5.286,14.86,1.101
CNAM,China Armco Metal,9.3M,-14.675,-2.412,0,0.182
SHZ,China Shen Zhou M,9.9M,-7.227,-2.634,0,0.291
XAA,American Municipa,91.3M,13.248,2.77,0,1.066
EDN,Empresa Distribui,91.5M,-56.348,-2.614,0,0.428
BCV,Bancroft Fund,92.0M,-4.571,1.323,0,0.878
DRL,Doral Financial C,92.8M,-2.05,-0.214,4.08,0.267
TEU,Box Ships Inc. Co,94.1M,0,0,0,0.487
OIIM,O2Micro Internati,94.7M,-5.031,-0.525,0,0.7
NXC,Nuveen California,95.1M,16.251,2.997,0,1.061
IQNT,Neutral Tandem,96.0M,8.46,7.931,14.52,1.117
STV,China Digital TV,96.8M,17.204,9.331,0,0.75
CNR,China Metro-Rural,97.9M,21.867,8.698,0,0.369
MXT,Maxcom Telecomuni,98.2M,-23.722,0.536,0,0.363
CHOP,China Gerui Advan,98.9M,22.305,9.523,2.12,0.323
MDCI,Medical Action In,99.0M,-0.453,1.056,7.67,0.389
There's some wild volatility down in the SCV realm. Some that totally fail, others that might double, treble or more relatively quickly. All high risk (and potentially high reward) stuff. One up from Dragon's Den. Too small for the big guns to be able to buy any reasonable amount (without buying out the business). Consequently funds tend to select the not-so-small.

Size and value are both subjective. You can filter to create a benchmark for particular size and value measures - but that definition may vary from one investor to another.

Hatch Batten
Posts: 54
Joined: Tue Feb 22, 2011 9:45 pm
Location: Portland, OR
Contact:

Re: holy cow - what's our definition of SV?

Post by Hatch Batten » Sat Apr 20, 2013 1:26 pm

Another unclear term seems to be "tilt". It's been used in a few discussions as shorthand for loading up on small value (i.e. the single box at lower left). But an investor can tilt in any direction. I tilt my retirement funds to large value as my portfolio is constructed to capture industrial business cycle activity on the upside. I suppose the old Dogs of the Dow system is another sort of large value tilting.

Presumably you could even, in theory, tilt inward toward mid-cap blend.

User avatar
Garco
Posts: 695
Joined: Wed Jan 23, 2013 2:04 am

Re: holy cow - what's our definition of SV?

Post by Garco » Sat Apr 20, 2013 2:19 pm

Hatch Batten wrote:Another unclear term seems to be "tilt". It's been used in a few discussions as shorthand for loading up on small value (i.e. the single box at lower left). But an investor can tilt in any direction. I tilt my retirement funds to large value as my portfolio is constructed to capture industrial business cycle activity on the upside. I suppose the old Dogs of the Dow system is another sort of large value tilting.

Presumably you could even, in theory, tilt inward toward mid-cap blend.
As a practical matter many of us who rely heavily on 401k-type investments don't have ready access to funds that concentrate in one particular square in the M* style box. Or one particular ROW or COLUMN in the style box. We may not even have distinctive small and mid cap funds.

Rather than relying completely on the TSM, I start with the SP500 (VINIX). I then tilt toward LCV by using a managed LCV fund to augment the SP500 (VINIX).

I then fill out and tilt toward mid-small by using VG's extended market -- VEMSX. I don't have any other way to cut up the mid-small. I feel I've gotten some benefit from being overweight VEMSX, even though it is about 50-50 mid and small, and evenly balanced across value-core-growth.

So when I "tilt" I'm using the funds that I have at hand to yield a resultant 9-square style box (according to M* X-ray) that ends up with a value tilt overall but especially in LCV, and a mid-small tilt overall.

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Re: holy cow - what's our definition of SV?

Post by grabiner » Sat Apr 20, 2013 2:35 pm

livesoft wrote:To my knowledge there is no SCV fund that would have the number 100 in the lower-left corner of the M* style-grid and 0 in the other 8 boxes. SCV funds always spread out a bit on such a grid.
You could get pretty close in a 2x2 or 3x2 grid, rather than the traditional 3x3. Most value indexes define the market to be half value and half growth; therefore, a small-cap value index contains all stocks in the small-cap row and the value column of the market (by that index's criteria). This fund would be 100% in the small-cap-value box except for market movements which moved stocks out of the small-cap or value sector after they had been bought. With a three-column grid, a value index contains half of the middle column as well, so an ordinary value index is only 67% value even before market movements.

On top of this, you have different definitions of value; a value index which uses price/book as its sole criterion will include some stocks which are not on the value side by other definitions. Size creates a similar issue if the cutoff is different; Vanguard Small-Cap Value Index is 19% mid-caps because Morningstar considers small-caps to be the bottom 10% of the market and MSCI considers them to be all stocks smaller than the top 750.

The most pure index I have found according to M* is RZV, Guggenheim S&P 600 Pure Value ETF; it is 100% small-cap (actually 76% micro-cap), and 59% small-cap value. DFA US Small-Cap Value is 93% small, 53% value, and 50% small-value. Unlike most indexes, these two accept less than half of the market, and thus get more value-oriented even though M*'s measure is different.

But if you use your index provider's definitions as your definitions of small-cap and value, and use a two-column grid, then a small-cap value fund is 100% small-cap value. For my own investments, I use a 2x2 style box. I define Total Stock Market to be 40/40/10/10, and target my US allocation, which is 40% of my portfolio, to be 5/15/5/15, counting Value Index as 100% large-cap value and Small-Cap Value Index as 100% small-cap value.
Wiki David Grabiner

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