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If you take just the best 3% bucket above and buy the 5 stocks with the highest 5 year growth in book value per share the average return is 22%/year.(though at that point trading costs become an issue)
You can see how it's easy to become a quant.

No need to do all that!

1. Limit universe to NYSE
2. Buy top 5 by ROA TTM, hold for one year.

From 1/2/99 - 10/5/12 I get 21.65% annualized ... for an annual hold. Turnover is also low, maybe 20% average.

Anyone who's dying to rush in, the picks are: BP Prudhoe Bay Royalty Trust, Permian Basin Royalty Trust, Sabine Royalty Trust, North European Oil Royalty Trust, San Juan Basin Royalty Trust. I sense a pattern, lol ...
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