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One of AAII (American Association of Individual Investors) more popular--and profitable--screens is the 'O'Shaughnessy Tiny Titans'. Since 1998, the screen has produced cumulative results of over 2000%. However, since 2007 the screen has struggled significantly in down markets.

The screen looks for companies with a market cap between $25 million and $250 million, a price to sales of less than 1, excludes over the counter stocks, and finally, ranks the top 25 based on the greatest relative strength over the past 52 weeks. This creates a list of highly volatile and risky stocks.
However, there may be some names of interest worthy of further research. In addition, one potential strategy would be to pair the portfolio with a hedge by simultaneously shorting the Russell 2000 via RWM with a portion of your portfolio.
Or, an investor could only participate in the strategy when an index such as the Russell 2000 was above a long term moving average. My suggestion for using a moving average system was inspried in part by Mebane Faber's The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Marketsand also by Tom Lydon, author of The ETF Trend Following Playbook: Profiting from Trends in Bull or Bear Markets with Exchange Traded Funds.

I ran the AAII Tiny Titans screen using stockscreen123 and came up with the following 25 names. If there is interest among readers, it could be a portfolio I track for free on my blog along with several others already available for free.
I also looked at the 1, 3, 5, and 8 year performance when the portfolio was rebalanced every 4 weeks. Over the past 1 year, the screen returned 105.4% excluding slippage and commissions. Over the past 3 years, the screen returns were approximately -21.4% excluding slippage and commissions. Over the past 5 years, the cumulative return was approximately 64.9% excluding slippage and commission. The 8 year performance, however, was an outstanding 550% excluding slippage/commissions. If we add in a 1% assumption for slippage, the 8 year performance is 327.4%.

Whether or not this strategy can sustain its long-term swagger remains to be seen. A significant market pull-back could result in significant losses in the screen.

Below is the current list ranked on their 52 week return as of 4/16/10. The list will differ from the AAII list because that list was updated 1/31/10. This is not a screen I would blindly invest in without significant further investigation of each name, an acute awareness of the liquidity of each stock, and also without using stop losses and/or a hedge.
If an investor wanted to run this screen--or variations of it-- for free he or she could do so using any number of free stock screens such as the one available at Finviz. or the aforementioned stockscreen123.

Ticker Name Last Free Trend Analysis MktCap Industry Sector
LBY Libbey Inc. 13.8 Here 222.98 Appliance & Tool Consumer Cyclical
SPCHA Sport Chalet, Inc. 3.33 Here 46.96 Retail (Specialty) Services
BELM Bell Microproducts Inc. 6.98 Here 225.76 Computer Peripherals Technology
LEE Lee Enterprises, Incorporated 4.35 Here 195.2 Printing & Publishing Services
CVGI Commercial Vehicle Group, Inc 8.77 Here 207.56 Auto & Truck Parts Consumer Cyclical
BIOF BioFuel Energy Corp. 2.94 Here 95.76 Chemical Manufacturing Basic Materials
SALM Salem Communications Corp 5.24 Here 124.54 Broadcasting & Cable TV Services
PATK Patrick Industries, Inc. 3.15 Here 28.92 Constr. - Supplies & Fixtures Capital Goods
SYPR Sypris Solutions, Inc. 4.22 Here 83.11 Auto & Truck Parts Consumer Cyclical
MERC Mercer International Inc. 5.73 Here 208.87 Paper & Paper Products Basic Materials
SMTX SMTC Corporation (USA) 3.05 Here 42.53 Semiconductors Technology
CMRG Casual Male Retail Group, Inc 3.8 Here 179.25 Retail (Apparel) Services
NXST Nexstar Broadcasting Group, I 6.47 Here 183.94 Broadcasting & Cable TV Services
RURL Rural/Metro Corporation 6.76 Here 170.67 Misc. Transportation Transportation
GTN Gray Television, Inc. 3.25 Here 158.06 Broadcasting & Cable TV Services
NAVI NaviSite, Inc. 2.78 Here 101.31 Computer Services Technology
KID Kid Brands Inc 9.37 Here 202.18 Recreational Products Consumer Cyclical
LCUT Lifetime Brands, Inc. 13.98 Here 167.97 Personal & Household Prods. Consumer/Non-Cyclical
ESCA Escalade, Inc. 4.16 Here 52.76 Recreational Products Consumer Cyclical
SBSA Spanish Broadcasting System I 1.02 Here 66.3 Broadcasting & Cable TV Services
OTC:PUDA Puda Coal, Inc 9.9 Here 192.46 Coal Energy
NNBR NN, Inc. 6.93 Here 114.46 Misc. Fabricated Products Basic Materials
NAVR Navarre Corporation 2.19 Here 79.64 Software & Programming Technology
AGM Federal Agricultural Mortgage 15.63 Here 158.55 Consumer Financial Services Financial
WSTL Westell Technologies Inc. 1.48 Here 99.78 Communications Equipment Technology


Disclosure: No Positions

Source: Tiny Titan Portfolio for April