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```Jim,

My original results:

ROE10	R10	R15	R20

37.5%	10.7%	7.0%	12.2%
27.1%	7.6%	6.1%	10.8%
21.6%	11.3%	10.9%	13.1%
17.6%	5.0%	3.4%	10.7%
10.9%	7.9%	2.4%	7.9%

top 3% by ROE = 14.65%/year (about 50 stocks)
next 7% by ROE = 12.77%/year
next 10% by ROE = 10.70%/year
next 20% by ROE = 11.52%/year
next 20% by ROE = 11.07%/year
next 20% by ROE = 10.53%/year
next 10% by ROE = 10.25%/year
next 5% by ROE = 5.33%/year
Bottom 5% by ROE = 2.33%/year

I think what is notable about both sets of results is poor performance
at the bottom of the pile.  This makes me thing that if you were to use
ROE as one factor in a set of Value Investing stock selection rules, it
may make sense to just uliminate the poor ROE companies.

I'm thinking somthing like:

1.  ROE average > X
2.  No strong evidence of significant downward trend in ROE.
3.  Leverage check (maybe something like average earnings for last 3 years > 20% debt)
4.  Low P/E
5.  etc.

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?

If I look at the 15 year CAGR of the test I did (closest period to your test):

Bottom 10% by ROE had a CAGR of 1.5%
Top 90% by ROE had a CAGR of 6.5%

The ROE cut-off was between 10.1% and 10.6% average over the last 10 years.

Perhaps the 20 year numbers are better:

Bottom 10% by ROE had a CAGR of 7.1%
Top 90% by ROE had a CAGR of 11.4%

The ROE cut-off is the same.

If I do some overtuning and set the ROE cut-off to between 16.1% and
16.4%, it eliminates the bottom 7 of the 30 DOW companies and I get the
following:

15 year CAGR:

Bottom 7 by ROE had a CAGR of 1.3%
Top 23 by ROE had a CAGR of 7.4%

20 year CAGR:

Bottom 7 by ROE had a CAGR of 7.1%
Top 23 by ROE had a CAGR of 12.1%

Perhaps a nice round number would be as good as any.  ROE on average > 15% and no strong indication of a significant downward trend of ROE.

StevnFool```