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I previously detailed a potential strategy for gaining outsized returns by combining value and earnings surprises.

Below is an update to the screen. I used Zacks Premium screener primarily because they have the most robust screener I have used for earnings surprises.


I have further filtered the stocks to include small cap stocks (defined here as a market cap of less then $1 billion). There are rationales (such as here and here) for screening for small caps versus the entire market, but one could apply the value/earnings surprise theory to stocks of all sizes.

The screen criteria are below, along with the results using data collected at the close on Thursday 12/17/09. Stocks that were on last month's list (11/15/09) have a price listed next to them so that you can see how they performed over the past month. The average return was 5.64% for the past month, excluding slippage, commissions, and taxes (if any). Returns include stocks that made the cut on 11/15 and are no longer on the list; thus, I'm assuming those positions were sold at today's close. Obviously, one month does not make a strategy. However, if there is enough interest and positive feedback this is a portfolio I could track, so please let me know your thoughts.

Last EPS Surprise (%)>="20"
Price/Book<="1"
Last Quarter's EPS>="0"
Twelve Month Trailing EPS>="0"
Avg EPS Surprise (Last 4 Quarters)>="20"
Previous EPS Surprise (%)>="20"
Average Volume (20 Days)>="25000"
Market Cap (millions)<="1000"


Company Name Ticker Free Trend Analysis Current Price Price Last Month 11-15-09 Price / Book Return
CABELAS INC CAB Here 14.14 12.98 0.99 8.94%
INFINITY PPTY IPCC Here 38.97 39.11 0.9 -0.36%
CELERA CORP CRA Here 6.35 6.3 0.89 0.79%
INFORMATION SVC III Here 2.98 3.52 0.72 -15.34%
AMER RAILCAR ARII Here 10.24 10.7 0.67 -4.30%
IPASS INC IPAS Here 0.95 0.95
FIRST INDL RLTY FR Here 4.95 4.99 0.23 -0.80%
WINTHROP REALTY FUR Here 9.27 9.01 0.75 2.89%
KADANT INC KAI Here 15.59 13.91 1 12.08%
BANCORP BNK/THE TBBK Here 6.6 5.27 0.66 25.24%
UTD AMER INDEMN INDM Here 7.47 6.85 0.57 9.05%
INNOSPEC INC IOSP Here 9.77 0.94
NYMAGIC INC NYM Here 16.41 0.69
SOLARFUN POWER SOLF Here 7.16 0.99
QLT INC QLTI Here 4.75 3.82 0.83 24.35%
RADVISION LTD RVSN Here 5.85 0.88
SALEM COMM SALM Here 4.49 3.89 0.55 15.53%
PARKER DRILLING PKD Here 4.68 4.98 0.92 -6.02%
SUSQUEHANNA BSH SUSQ Here 5.61 5.5 0.29 2.00%
STARTEK INC SRT Here 6.5 5.89 0.85 10.36%
KINDRED HLTHCR KND Here 17.46 15.5 0.73 12.65%
WILMINGTON TRST WL Here 12 12.97 0.84 -7.48%
REGIS CORP/MN RGS Here 15.63 15.99 0.91 -2.25%
KIMBALL INTL B KBALB Here 7.87 7.25 0.79 8.55%
WESTELL TECH-A WSTL Here 1.11 1.18 0.97 -5.93%


Stocks Removed as of 12/17/09
ATLAS AIR WORLD AAWW Here 37.17 28.53 30.28%
OSG AMERICA LP OSP Here 10.22 10.2 0.20%
PNM RESOURCES PNM Here 12.46 11.29 10.36%
SHOE CARNIVAL SCVL Here 20.34 15.33 32.68%

Author's Disclosure: No Positions

Source: Combining Value and Earnings Surprises for Outsize Returns