The matrix at below uses nine criteria to evaluate various investment strategies (note that each criterion is independent of the other). For example, stocks are sorted on market value, divided into ten groups of fifty, and then the performance of each group is calculated. After that is completed the entire S&P is resorted by 2011 performance, then estimated P/E and so on down the line.
The best performing strategy was to buy the fifty stocks with the lowest P/B ratio. Those fifty names gained 10.85%, on average, in the third quarter.
We would also note that in the third quarter the fifty smallest stocks nearly doubled the return of the largest fifty stocks.