As a rule investment decisions are made based on fundamental and technical analysis. However, it could not be always true for the capital markets of emerging economies. The most prominent reasons for that are illiquidity, low trading volumes, imperfect legal base regulating insider trading, nontransparent corporate entities. The participation of local population in active investing and trading is relatively passive and, thus, significant transactions are made by institutional investors that can easily move the market. Therefore, prior to investing in Baltic equity market, one is encouraged to check how relevant is fundamental analysis and whether it is worth spending time and money resources on analyzing listed companies. The aim of the research is to evaluate whether fundamental analysis and its main tools are able to add value to the performance when investing in Baltic equity market. The study is done on the basis of the fundamental and trading data of the companies that are or were components of the main Baltic equity market benchmark – OMXBBGI, making 45 companies a corpus of the research. The period examined in the course of the study was January 2000 – November 2008. The data used in the research was originated from corporate annual reports and from OMX homepage. The authors of the research primarily paid their attention to the fundamental analysis ratios that are most popular among the professional investors: Return on equity, Equity ratio, PE, PB. Additional ratios such as Return on invested capital and Net debt to assets were considered to check whether these ratios add value. Findings of the research conducted show that basically all ratios under review are not able to increase the performance and beat the performance of the index. Vice versa the majority of ratios under the scope of the analysis deteriorated the performance of Baltic companies. The companies with ROE above market median underperformed the market in the all periods considered for analysis with the exception of financial year 2003, when there was a significant growth on the market. Similar situation is seen with the companies that have stronger balance sheets than average (Equity ratio is above market median): outperformance in financial years 2003 and 2000. The sole fundamental ratio which was able to increase the performance was Price/Earnings. The analysis proved that cheap companies that have PE below market median tend to significantly outperform the market. In the course of the study also liquidity influence on the stock performance was checked. It turned out that there is a certain positive correlation between performance of the stock and trading volumes (liquidity) of the company. However, there was a major setback of the share values of the most traded companies in financial year 2008 as large institutional investors, being market makers, were selling shares in need of liquidity. In addition, it is interesting to observe that the attractive performances are demonstrated by the companies with promising and well-positioned for growth business models (e.g. pharmaceutical companies, clothes retailers). Main findings of the research show that classical fundamental analysis is not able to generate above average returns on Baltic equity market due to inefficiency of the market per se. However, certain tools for selecting quality companies with lucrative performances can be developed and used.