Year End Magic Formula Analysis

2012 MFI Analysis

Happy New Year to everyone!  Hope it was fun and safe for all. I will be typing a couple of blog postings today.  The first will be an analysis of how the Magic Formula performed in 2012, and further how it has performed since 2006.  The second posting will look at my personal portfolios.

MFI Index

As my readers may recall, I actually have created an MFI Index that goes back to 2006.  I change the composition of the stocks in the index once a year.  Today is the day! Callooh! Callay!

IWV  Performance
	ITD	Annual
2006	9.65%	9.65%
2007	12.33%	2.45%
2008	-30.40%	-38.04%
2009	-9.85%	29.53%
2010	4.84%	16.29%
2011	4.25%	-0.56%
2012	19.01%	14.15%
MFI Index  Performance
	ITD	Annual
2006	15.03%	15.03%
2007	7.34%	-6.69%
2008	-33.42%	-37.97%
2009	-3.34%	45.18%
2010	18.67%	22.77%
2011	6.25%	-10.47%
2012	16.49%	9.64%

The table above shows the annual and inception to date MFI Index results. So you can see that in 2012, the MFI index was up 9.6% and is up since 2006 16.49%.  Over that 7 year stretch, the Russell 3000 is beating the MFI index by a bit.  In all honesty, if you look at a weekly graph, the two have moved largely in sync.

Here are the individual stocks from the 2012 MFI index:

Stock	Start	Last Month	Current	YTD Change	Monthly Change
AFAM	16.58	19.84	20.26	22.2%	2.1%
AMED	10.91	10.47	11.31	3.6%	8.0%
APOL	53.87	19.19	20.92	-61.2%	9.0%
AMAT	10.71	10.99	11.79	10.1%	7.3%
ASTX	1.89	2.78	2.91	54.0%	4.7%
CJES	20.93	19.97	21.44	2.4%	7.4%
CPLA	36.05	27.67	28.23	-21.7%	2.0%
CECO	7.97	2.99	3.51	-55.9%	17.5%
CRAY	6.47	14.22	15.95	146.5%	12.2%
CPIX	5.38	4.48	4.20	-21.9%	-6.3%
DELL	14.63	9.72	10.22	-30.1%	5.1%
DLX	22.76	29.55	33.24	46.0%	12.5%
DLB	30.51	33.37	33.33	9.2%	-0.1%
XLS	9.05	11.61	11.68	29.1%	0.6%
EXPE	29.02	62.17	62.40	115.0%	0.4%
FRX	30.26	35.46	35.32	16.7%	-0.4%
GTAT	7.24	3.37	3.03	-58.1%	-10.1%
GME	24.13	26.80	25.99	7.7%	-3.0%
GTIV	6.75	10.30	10.05	48.9%	-2.4%
GNI	110.25	82.21	75.95	-31.1%	-7.6%
ESI	56.89	18.13	17.31	-69.6%	-4.5%
KLAC	48.25	46.57	49.26	2.1%	5.8%
KLIC	9.25	11.43	11.99	29.6%	4.9%
LRCX	37.02	35.12	36.13	-2.4%	2.9%
LPS	15.07	25.15	25.02	66.0%	-0.5%
MEDW	12.82	21.98	21.98	71.5%	0.0%
MANT	31.24	25.61	26.78	-14.3%	4.6%
MDF	7.47	11.24	11.26	50.7%	0.2%
MSFT	25.96	27.22	27.54	6.1%	1.2%
MNTA	17.39	10.70	11.79	-32.2%	10.2%
NSU	5.53	4.10	4.38	-20.8%	6.8%
NOC	58.48	68.30	69.73	19.2%	2.1%
NVMI	7.37	7.72	7.98	8.3%	3.4%
PDLI	6.20	8.35	7.64	23.2%	-8.5%
PETS	10.38	12.14	11.70	12.7%	-3.6%
PWER	3.91	4.15	4.11	5.1%	-1.0%
RTN	48.38	58.63	59.56	23.1%	1.6%
SAI	12.29	11.89	11.68	-5.0%	-1.8%
SNDK	49.21	39.10	43.50	-11.6%	11.3%
SAVE	15.60	16.78	17.73	13.7%	5.7%
TNAV	7.81	8.09	7.99	2.3%	-1.3%
TER	13.63	15.64	16.89	23.9%	8.0%
TSRA	16.75	16.25	16.45	-1.8%	1.2%
USMO	13.87	12.19	12.43	-10.4%	2.0%
USNA	30.37	41.28	32.93	8.4%	-20.2%
UIS	19.71	17.28	17.30	-12.2%	0.1%
EGY	6.04	8.47	8.65	43.2%	2.1%
VECO	20.80	28.46	29.49	41.8%	3.6%
VPHM	27.39	24.79	22.76	-16.9%	-8.2%
VG	2.45	2.43	2.37	-3.3%	-2.5%
Totals	10,631	11,481	11,656	9.6%	1.5%

As has been the norm for MFI, quite a bit of variability from the best stocks to the worst.  I do believe that is why "your results may vary" is appropriate.