James O'Shaughnessy's Tiny Titans

Let's get this started with a good kick with a screen from AAII, American Association of Individual Investors.

James O'Shaughnessy's Tiny Titans is a mechanical stock screen that looks for cheaply priced micro-cap stocks.

Market capitalization between $25 million and $200 million (inflation adjusted). Lowest price-to-sales ratio and lowest price-to-cash flow ratio; and the highest dividend yield. Then choose the top 25 with the greatest twelve month relative strength.


Here's the Market Crushing returns from AAII's website:

1998: 38.1%
1999: 53.8%
2000: -6.6%
2001: 84.1%
2002: 51.9%
2003: 154.8%
2004: 45.8%
2005: 7.5%
2006: 35.2%
2007: 1.5% - as of 11/30/07