August 2012 MFI Look Back

Just for fun, I took the top 2000 stocks I ranked in my MFI list of August 2012.  I then calculated the average percent change for each decile of stocks. Theoretically, each lower decile should score lower than preceding decile.  Now I will be the first to admit I did this quickly.  So I threw out any stocks that do not exist any more (like HNZ) or have split into two stocks (like McGraw Hill). This may bias my answer. Also, I just used Yahoo finance for dividends and I adjusted for the stock splits I know about, but did not go through 2000 stocks. So it is probably wrong. Looking at table, the first 9 deciles seem pretty statistically "even".  But the final decile was definitely the worst.  And of course if you just could buy the top 450 of the S&P 500, I suspect you would outperform quite nicely.  Here you would get about a one point bump buy excluding bottom decile.

Row Labels	Average of Change
1	21.7%
2	20.9%
3	22.6%
4	20.8%
5	21.6%
6	20.4%
7	18.2%
8	19.4%
9	22.7%
10	9.1%
Grand Total	20.0%