Want to know one secret to high returns in the stock market? It's not about picking stocks that go up; it's about picking stocks that don't go down, and especially picking stocks that don't go down big time.

Avoiding big losses will dramatically increase your returns, and doing it may be easier than finding big winners. That's all well and good, you say, but how could you know which companies are the next SLM (NYSE:SLM) or MBIA (NYSE:MBI)?

One way is to piggyback off other smart investors, such as the All-Star investors in CAPS, The Motley Fool's interactive stock-rating database.

All-Stars have a ranking of 80 or better out of 100, which means their picks are outperforming at least 80% of CAPS members. The top players have accuracy levels of better than 60%. Some of them are so good, they've received media attention, so it pays to follow what they do. 

We can easily search for their least favorite picks using the handy CAPS screener. For example, we can search for:

  • At least 200 All-Star Underperform picks.
  • Stocks rated with one star (the lowest) out of five (the highest).

Using those search criteria returned the following:

Company Name

Current CAPS Rating

All-Star Underperform Picks

All-Star Outperform Picks

Blockbuster (NYSE:BBI)

*

301

100

Lennar (NYSE:LEN)

*

257

74

Overstock.com (NASDAQ:OSTK)

*

279

44

Toll Brothers (NYSE:TOL)

*

275

130

Hovnanian Enterprises (NYSE:HOV)

*

224

71

Source: Motley Fool CAPS, as of Oct. 1, 2008.

It's probably a good idea to stay away from these stocks. I'm all for being a contrarian, but remember, the All-Stars are the savviest members in all of CAPS.

See whether any of your stocks have an Underperform rating among CAPS All-Stars by heading over to the CAPS site for yourself. 

On Oct. 7, 2008, Fool Co-Founder David Gardner and his Motley Fool Pro team will invest $1 million in a portfolio designed to help you make money in any market. In the coming weeks, the team, relying heavily on proprietary CAPS "community intelligence" data, will establish long and short positions in a broad range of securities, including common stocks, publicly traded put and call options, and exchange-traded funds. To learn more about Motley Fool Pro and to receive a private invitation to join, simply enter your email address in the box below.

Andrew Sullivan has no financial position in any of the stocks mentioned in this article. Try any of our Foolish newsletter services free for 30 days. The Motley Fool has a disclosure policy.