| 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% |
Commentary and Tracking of a Portfolio of Stocks using approach from "The Little Book that Beats the Market" by Joel Greenblatt aka Magic Formula Investing
Sunday, July 07, 2013
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.
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