No its not cash held, its cash generated. So here it is again: You go to this site's share filter, add PE and ROCE (return on capital - ie how much cash a company generates), and filter companies larger than a billion market cap, and preferably pays a dividend. Rank the companies by low to high PE, and high to low ROCE, giving each a score according to rank. Buying the top 5/10 highest combined ranked gives spectacular results. Powerstocks.co.za also runs a MF portfolio (I'm not a client of theirs just following the same Greenblatt mechanical system) - just see on their history page what this system has done over the last couple of years.