While the efficient market hypothesis denies the possibility of earning abnormal returns, the fundamental analysts assert that investment strategies based on the accounting numbers may be indicators of future investment performance. Earlier studies indicate that alternatively investment strategies were able to generate excess abnormal return. The present study examines the relationship between investment performance of equity securities and alternative investment strategies based on their market capitalization, P/E ratio and earning per share. During the period from January 1997 to December 2005, the low market capitalization, P/E ratio, and earning per share portfolios on average earned higher absolute rate of return than the high market capitalization, P/E ratio, and earning per share portfolios respectively. In terms of Sharpe's reward to variability ratio, Treynor's reward to volatility ratio and Jensen's differential return performance measures low market capitalization, P/E ratio and earning per share investment strategies beat the high market capitalization, P/E ratio and earning per share investment strategies respectively. Among the three investment strategies the low market capitalization investment strategy was found superior to both low P/E ratio and low earning per share investment strategies in terms of absolute and risk adjusted rate of return.

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