Thanks Jim,

So taking feedback from both yourself and musselmant, it would seem like the following may be a reasonable strategy:

Possibly for starting with the Nasdaq-100 universe after removing any companies that you have no wish to invest in for various other reasons:

For larger quant portfolio (maybe 40 - 50 stocks):

Just use a single ROE criteria - either most recent year or maybe a 3 or 5 year average - whatever is readily available.

Additional criteria if you want to concentrate with less picks (maybe 15 - 20 stocks):
* Eliminate companies that will take more than 5 years of normalized earning to repay Long Term Debt. Possibly extend to 10 years if earnings are very stable / reliable.
* Look for recent year ROE > say 5 year average ROE. I think this should go some ways to ensuring that there is still a good return on incremental capital.
* Rank what is left based on high ROE. Give consideration to doing this as a sum of ranks of both Recent ROE and 5-year average ROE.