Fundamental is a moderately low-beta, moderately low-turnover trading plan for stocks traded on major U.S. exchanges. It focuses on providing above-market returns over the longer term while keeping a variability of returns that is similar to the market’s risk profile.

Information is as of the close on November 9, 2007.

Model Allocation

These are the twenty qualifiers with highest ROE, shown in ticker alpha sort. This system would buy an equal-weighted share (approx. 5%) in each security, and hold for four weeks before re-evaluating.

Affiliated Mgrs Grp (AMG)
Abercrombie & Fitch (ANF)
Amphenol Cp (APH)
Cpfl Energia Sa Ads (CPL)
Diamond Offshore Drl (DO)
Garmin Ltd. (GRMN)
Gymboree Corporation (GYMB)
Infosys Technologies Limited (INFY)
Jones Lang LaSalle (JLL)
Kinetic Concepts Inc (KCI)
Mobile Telsys Ojsc (MBT)
Mcdermott Int Panama (MDR)
Microsoft Corporation (MSFT)
Mechel Oao Ads (MTL)
Nvidia Corporation (NVDA)
Partner Communications Co. Ltd. (PTNR)
TransOcean Inc (RIG)
Sap Aktiengesell Ads (SAP)
SEI Investments Company (SEIC)
Schlumberger Ltd (SLB)

Tracking

Consider this site’s initial post on the model to be a “buy” on Monday’s open, at market, for the above allocations.