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Below is a list of 10 small cap value earnings surprise stocks for the next 30 days. Last month's portfolio can be seen here. The Mid-April to Mid-May portfolio returned -6.64% versus -5.77% for SPY and -3.77% for VBR, a small-cap value ETF, while the Mid-May to Mid-June returned .14% versus -1.93% on SPY and -4.48% on VBR. Mid-June to Mid-July was a disappointing period - the list returned an average of -6.40% versus -3.97% for VBR and -1.56% for SPY. Returns exclude dividends, slippage, and commission.

My screen looks for a low PEG, recent earnings surprises, a minimum volume requirement, and small market capitalization. I exclude OTC stocks and I further narrow the list based on additional fundamental factors to 10 stocks or less. The list, as always, is not a specific portfolio but a recommendation for further research. Since this is a purely mechanical screen, I play no discretion in the results (other than establishing the original screen criteria). A couple of months ago I added a 200 day simple moving average requirement - stocks must be trading above their 200 day moving average in order to make the list. I use stockscreen123 as the screener.

The stocks on this list can be especially volatile given their low market capitalization, so please do proper due diligence. I find the list useful for gathering potential investment or trade ideas rather than a blanket "buy" list. Another option is to abandon this type of screen entirely when the underlying index is trading below its long-term moving average (such as the 200 day). As of 7/15/10, the Russell 2000 was trading just below the 200 day moving average. The current lists of stocks are below and returns can be tracked real--time on the right hand side of Scott's Investments:
Ticker Name Trend Analysis Rank MktCap Industry
FINL The Finish Line, Inc. Here 99.49 797 Retail (Apparel)
GIII G-III Apparel Group, Ltd. Here 99 448.07 Apparel/Accessories
NSIT Insight Enterprises, Inc. Here 98.87 642.54 Computer Hardware
MDF Metropolitan Health Networks, Here 98.58 152.07 Healthcare Facilities
SCLN SciClone Pharmaceuticals, Inc Here 98.18 165.23 Biotechnology & Drugs
MEAS Measurement Specialties, Inc. Here 96.92 225.57 Scientific & Technical Instr.
UTI Universal Technical Institute Here 95.97 558.06 Schools
STKL SunOpta, Inc. (USA) Here 95.46 303.86 Food Processing
NC NACCO Industries, Inc. Here 93.27 754.09 Misc. Capital Goods
RELL Richardson Electronics, Ltd. Here 93.12 166.36 Electronic Instr. & Controls

Disclosure: No positions

Source: 10 Small Cap Earnings Growers