I have commented numerous times that MFI is not random. There are stretches where it works very well, but there are also stretches where it works poorly. We have been in a good stretch recently, but I am always wondering when/if we will get back to a bad stretch.
JG in his book stated that 5 out 8 portfolios will "win". So far, we have been much worse than that, just 42 out of 97. The chart below shows all 97 monthly tracking portfolios and their differential against the R3K. If things were "random" you would see like every other portfolio be positive then negative. But instead, we see 10 or 15 in a row positive then 10 or 15 in a row negative. The other interesting point is that 4 of the past 5 are negative. They are still "stubs", so they may finish positive.