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URL:  http://boards.fool.com/so-if-one-were-to-look-at-your-data-what-would-30303670.aspx

Subject:  Re: Influence on ROE in Investing returns Date:  10/6/2012  7:23 AM
Author:  mungofitch Number:  194698 of 214657

So if one were to look at your data, what would the value of X be?
Perhaps the value that eliminates the bottom 10% by ROE? Do you know
what this value was on average in your test?


Looks like it's generally the negative numbers, which are more common that I suspected.
Fraction of population of 1700 Value Line stocks by ROE since Jan 1997.
10.2% negative
4.6% zero or unpopulated
1.1% from 0 to 1
1.4% from 1 to 2
1.6% from 2 to 3
1.9% from 3 to 4
2.3% from 4 to 5
2.6% from 5 to 6
3.3% from 6 to 7
3.5% from 7 to 8
4.1% from 8 to 9
4.6% from 9 to 10
4.8% from 10 to 11
4.9% from 11 to 12
5.1% from 12 to 13
4.6% from 13 to 14
4.2% from 14 to 15
4.0% from 15 to 16
3.4% from 16 to 17
3.0% from 17 to 18
2.9% from 18 to 19
2.5% from 19 to 20
2.0% from 20 to 21
1.8% from 21 to 22
1.7% from 22 to 23
1.5% from 23 to 24
1.2% from 24 to 25
1.0% from 25 to 26
0.9% from 26 to 27
0.8% from 27 to 28
0.7% from 28 to 29
0.6% from 29 to 30
0.6% from 30 to 31
0.4% from 31 to 32
0.4% from 32 to 33
0.4% from 33 to 34
0.4% from 34 to 35
0.3% from 35 to 36
0.3% from 36 to 37
0.2% from 37 to 38
0.2% from 38 to 39
0.2% from 39 to 40
3.9% over 40

To recap the returns
Negative ROE = 6.11%/year
Zero or unknown ROE = 10.56%/year
Lower half of positive ROE = 11.52%/year
Top half of positive ROE = 12.77%/year

Bad negative numbers aren't worse than small negative numbers.
The lowest returns are simply the subset "<0".
If you wanted the highest return 30 stock portfolio given only the ROE
field you'd choose the 30 stocks with ROE closest to 32%, which gives
15.6%/year before trading costs, perhaps a bit of a lucky outlier.
I guess there are a few absurdly high ROE values that are a bad omen?
A monthly-constituted portfolio of all stocks 35% ROE or better returned 12.6%.

Jim
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