Combining Value and Earnings Surprises for Outsize Returns

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