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Testing the fundamentals
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AT-April 2006-9
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Detailed Description
This system borrows a fundamental approach from Joel Greenblatt's The Little Book That Beats The Market. The book suggests ranking large-cap stocks by their return on assets (ROA) and price/earnings (P/E) ratio. Then, pick five stocks randomly from the top 25 every other month and hold them until they drop out of that list. Hold each stock at least two months.
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