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Generally I go through all of them. For example, a company may only capture expenses in the income statement and when you go to the footnotes, you’d get to see the breakdown of the expenses. 
Jim Rogers “best advice” he ever received was to

read everything… (if) you read the annual report… you will have done more than 98% of the people on Wall Street … if you read the footnotes in the annual report you will have done more than 100% of the people.