Fundamental Based Market Strategies

23 Pages Posted: 12 Mar 2013

See all articles by Angelo Aspris

Angelo Aspris

University of Sydney - Discipline of Finance

Nigel Finch

Saki Partners

Sean Foley

Macquarie University

Zachary Meyer

Greenhill & Co. Australia

Date Written: March 11, 2013


A pronounced body of literature has raised the possibility that portfolio outperformance based on a simple accounting-based investment strategy can persist through time because markets may ignore and potentially misinterpret financial market signals. Employing a fundamental based strategy, we show that superior performance can be earned consistently through time by identifying and investing in firms with more favourable performance and credit signals. The strength of the portfolios are additionally characterised by the ability of the strategies to avoid firms with poor future prospects. These findings are robust across varying time periods after both transaction costs and related market constraints are considered.

Keywords: Fundamental analysis, market efficiency, F-Score, G-Score

JEL Classification: G14, G31

Suggested Citation

Aspris, Angelo and Finch, Nigel and Foley, Sean and Meyer, Zachary, Fundamental Based Market Strategies (March 11, 2013). Available at SSRN: or

Angelo Aspris (Contact Author)

University of Sydney - Discipline of Finance ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006

Nigel Finch

Saki Partners ( email )


Sean Foley

Macquarie University ( email )

North Ryde
Sydney, New South Wales 2109
0417702600 (Phone)

Zachary Meyer

Greenhill & Co. Australia ( email )

Level 34 The Chifley Tower
2 Chifley Square
Sydney, New South Wales 2028

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