Microstock Value Screen / Beta Strategy

I am a member of AAII (American Association of Individual Investors) and was recently reading one of their more popular screens, the Shadow Stock Screen. I decided to run my own test of the screen with a few small twists. This is a very simple screen that seeks out small/microcap value stocks. The screen criteria I used are below:

• No over-the-counter stocks
• No financial stocks
• Market cap > $20 Million and <$200 million
• Previous EBITDA quarter and trailing twelve months are positive
• Share price > $4
• Price/book < .80
• Price/sales < 1.2
• Top 10 stocks are selected based on highest 52 week returns
• Screen is run every 4 weeks

I would describe this as a high beta strategy - it performs very well in bullish markets and underperforms in bear markets. Since I personally am getting a bit squeamish on how much longer we can go without at least seeing a significant pullback in this market, this is not a strategy I am investing in. However, if an investor was looking to add some risk to his or her portfolio, this one could certainly add some "juice". Below are charts of the 5, 3, and 1 year returns (click on each to enlarge) which include a .5% assumption for slippage. The current top 10 stocks as of yesterday are also below:

Current top 10 stocks on the list, based on 52 week returns:

Ticker	Name	Free Trend Analysis	MktCap	Industry
SALM	Salem Communications Corp	Here	128.82	Broadcasting & Cable TV
ESCA	Escalade, Inc.	Here	54.54	Recreational Products
SGMA	SigmaTron International	Here	23.32	Electronic Instr. & Controls
WCAA	WCA Waste Corporation	Here	101.83	Waste Management Services
RCKY	Rocky Brands, Inc.	Here	57.15	Footwear
BXG	Bluegreen Corporation	Here	163.4	Hotels & Motels
HAST	Hastings Entertainment, Inc.	Here	67.23	Retail (Specialty)
PNTR	Pointer Telocation Limited	Here	32.32	Security Systems & Services
DSWL	Deswell Industries, Inc.	Here	83.21	Chemicals - Plastics & Rubber
SYMS	Syms Corp.	Here	145.4	Retail (Apparel)

Disclosure: No positions