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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 and the first table is the qualifying stocks using data collected at the close on Friday 1/15/10. The second list is the previous list with data collected after the close on Thursday 12/17/09 and their returns through the close 1/15/10. The list from 12/17/09 to 1/15/10 had an average return of 12.64%.

Returns exclude slippage, commissions, and taxes (if any). This portfolio will now be tracked at Scott's Investments on the right hand column under 'ETF & Timing Portfolios'.
  • 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 Marketclub Trend Score (-100 to +100) Current Price Last EPS Surprise (%) P / Book
INFINITY PPTY IPCC 55 40.06 46.94 0.92
CELERA CORP CRA 55 7.13 100 0.99
INFORMATION SVC III 55 3.22 900 0.78
AMER RAILCAR ARII 65 10.59 150 0.67
FIRST INDL RLTY FR 70 5.73 21.28 0.26
KADANT INC KAI -60 15.55 126.32 0.98
BANCORP BNK/THE TBBK 100 7.21 500 0.74
UTD AMER INDEMN INDM 55 7.38 153.33 0.55
RADVISION LTD RVSN -55 6.27 225 0.92
QLT INC QLTI -60 4.7 25 0.82
SUSQUEHANNA BSH SUSQ 100 7.21 175 0.37
KINDRED HLTHCR KND 55 18.13 400 0.75
WILMINGTON TRST WL 60 14 171.43 0.98
REGIS CORP/MN RGS -75 15.66 38.1 0.9


Last month's results:

Company Name Ticker 12/17/09 Close 1/15/10 Close Return
CABELAS INC CAB 14.14 16.47 16.48%
INFINITY PPTY IPCC 38.97 40.06 2.80%
CELERA CORP CRA 6.35 7.13 12.28%
INFORMATION SVC III 2.98 3.22 8.05%
AMER RAILCAR ARII 10.24 10.59 3.42%
IPASS INC IPAS 0.95 1.17 23.16%
FIRST INDL RLTY FR 4.95 5.73 15.76%
WINTHROP REALTY FUR 9.27 12.93 39.48%
KADANT INC KAI 15.59 15.55 -0.26%
BANCORP BNK/THE TBBK 6.6 7.21 9.24%
UTD AMER INDEMN INDM 7.47 7.38 -1.20%
INNOSPEC INC IOSP 9.77 11.57 18.42%
NYMAGIC INC NYM 16.41 16.29 -0.73%
SOLARFUN POWER SOLF 7.16 8.48 18.44%
QLT INC QLTI 4.75 4.7 -1.05%
RADVISION LTD RVSN 5.85 6.27 7.18%
SALEM COMM SALM 4.49 5.32 18.49%
PARKER DRILLING PKD 4.68 5.55 18.59%
SUSQUEHANNA BSH SUSQ 5.61 7.21 28.52%
STARTEK INC SRT 6.5 8.05 23.85%
KINDRED HLTHCR KND 17.46 18.13 3.84%
WILMINGTON TRST WL 12 14 16.67%
REGIS CORP/MN RGS 15.63 15.66 0.19%
KIMBALL INTL B KBALB 7.87 8.03 2.03%
WESTELL TECH-A WSTL 1.11 1.47 32.43%
Avg Return 12.64%


Author's Disclosure: No positions in the stocks mentioned

Source: Small Cap Value and Earnings Surprises Portfolio