A Structured Value Research Process for UK Small Caps
And the parts of it that didn't work.
A repeatable research process for finding mispriced companies in a part of the market large institutions cannot easily reach: AIM and the lower end of the FTSE SmallCap. 785 listed companies, narrowed to five detailed company studies, with every step reproducible from source files — and a written record of where the process went wrong.
Three things this project demonstrates
A reproducible screening pipeline
Built on data nobody sells as a single product. A tradability gate, a data-availability triage, and five deterministic gates. The gates are arithmetic, not judgement, and they are versioned.
The design →Primary-document research, done properly
Five companies rebuilt from five to seven years of annual reports into full three-statement models. Each valued in the frame appropriate to it, and each built without looking at the share price until the range was finished.
Five companies →An unexpected finding about the tool itself
I began the summer thinking the interesting question about AI in research was what it can do. By August I thought the interesting question was how it fails, specifically, in this workflow.
AI as a research tool →Numbers from a database, reasoning from the model, judgment and decision from the human.
Coherence bias operates on synthesis and framing. It does not operate on checkable facts. That gives a clean division of labour rather than a vague warning — and it is the empirical justification for a design rule I had already written down without evidence.
Read section 08The funnel
Every stage regenerates from the published CSVs. Fifty-two names in the final queue have not been looked at — that is the honest current state.
| Stage | Count | What happened |
|---|---|---|
| Raw universe | 785 | AIM full list (597) plus FTSE SmallCap constituents (188) |
| IBKR tradable | 744 | 41 dropped as untradeable through my own broker |
| Triage | 275 / 196 / 314 | Clean pass / held on a data gap / excluded |
| Held names promoted | +135 | Volume confirmed through a second source |
| Screening universe | 410 | Matched to fundamentals data |
| Five deterministic gates | 57 | 38 AIM, 19 FTSE SmallCap |
| Examined in detail | 5 | ARBB, KMK, NAH, SNWS, TFW |
Contents
The sections run in the order the work happened. Every section follows the same shape: the claim, the test, the result, and what it changed about the design. Sections 08 and 10 are the ones I would read first if I only had five minutes.