A while back Buffett said that he thinks he could average 50% annually if he only had a small sum of capital. Here are some of the things he would likely be doing:
1. Go where the big investors can't
Many large institutional fund managers cannot go below certain market caps. Typically you can find a rich hunting ground of undervalued and ignored companies below $100M.
During the crisis I found it pretty useful to actually screen for negative enterprise value stocks. These were companies where they were trading BELOW the cash they had on their balance sheets. (EV = Market Cap + Debt - Cash). Some of these companies were pretty tiny, $10 to $50M mkt cap, but they worked out well. You have to be willing to deal with illiquidity though.
2. Odd lot tender offers
You can find situations where a company wants to go private and delist. To do that they need to buy out shareholders and get below 300 public shareholders. To do that sometimes they will pay a premium for you to tender shares if you have below 100 shares. Again, this is an area where a small investor can do well but where large institutions are precluded from being active.
3. Look for areas where institutions are forced to sell
Spinoffs are the classic example. Academic research has shown that spinoffs will in general outperform the greater market. Why?
Many index funds are mandated to only hold stocks that are a part of the index. Sometimes an index member will spinoff a smaller unit which cannot make it into the index. The index funds will be forced to sell that company and so its pricing may get below its actual value. That's why spinoffs tend to outperform the market in their 2nd and 3rd year of trading.
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There are plenty of other areas too. These are just a few but it is all pretty well publicized.