Random Statistics From My MFI Database

White Lies, Lies and Statistics

As my 35 regular readers know, I have been maintaining a database of MFI stocks since January 2006.  I know, I know, you'd think I would have something better to do.  So my database consists of the top 50 stocks over 100m market cap from the official screen.  Once a month I capture those 50 stocks and track how they do for the next 12 months.  I then lather, rinse and repeat.

So today I am going to create some tables of statistics for your reading pleasure.

Table 1 - Return by Market Cap Size and By Dividend Yield (note this only goes back to 2010 when I began collecting better dividend info).

Yield	Large Cap	Small Cap	Overall
Under 1.8%	8.7%	7.1%	7.7%
1.8% to 2.6%	20.2%	11.0%	17.8%
2.6% to 3.5%	29.6%	12.7%	26.0%
3.5% to 4.5%	27.5%	26.1%	27.1%
4.5% and higher	38.1%	5.7%	18.8%
Grand Total	18.2%	7.7%	12.6%

The split is basically 50/50 in counts. Large Cap starts around 800 million (I know, not really that large). So very strong correlation of better returns for large cap stocks with higher dividends.

Table 2 - Return by Market Cap Decile

Market Cap Decile	Avg Pct Chg	Count	Min Mkt Cap
1	20.6%	519	9,133
2	10.3%	521	2,838
3	18.8%	522	1,379
4	15.1%	515	928
5	4.0%	516	664
6	5.8%	523	443
7	9.6%	515	300
8	7.8%	523	210
9	4.3%	508	114
10	2.6%	505	-
Grand Total	9.6%	5,167

This goes all the way back to 2006.  You can see that simply by picking stocks from the 4 largest deciles, you would have done very very well - 16.2% per stock year versus 9.6% overall.  All of this goes back to just using a simple formula.  I suspect if one just followed the extremely simple rule of (a) run screen against top 50 > 100 million, (b) remove stocks with market caps under $900 million and (c) randomly pick five stocks that you would likely fare very well.

Table 3 - Return by Dividend Flag by Market Cap Decile (note I have kept a dividend flag back to 2006 where it is "1" if dividend is 2.6% or greater, otherwise "0").

Market Cap Decile	Div Flag 0	Div Flag 1
1	10.1%	25.1%
2	2.4%	36.6%
3	14.3%	35.3%
4	10.5%	27.7%
5	-0.6%	16.9%
6	5.7%	6.3%
7	7.7%	22.2%
8	6.4%	12.3%
9	1.2%	19.7%
10	3.7%	-2.9%
Grand Total	6.0%	21.4%

This is a stunning table.  I suspect you could run a hedge fund using this table and be rich. So if you take what we did above, but now only take stocks with a 2.6% yield or greater, your annual return jumps from an already fine 16.2% to 31.2%.  I suspect most of us would be happy to stop there. As I type this, I find it even more stunning that I have "known" this for 3 or 4 years, but am not insanely rich.  Maybe I should sell everything on Monday and start anew with this a baseline strategy.

You know, this table is so compelling (and almost unbelievable), I am going to print out all the Market cap decile 1, dividend flag 1 stocks as my 4th and final table:

Date	Stock	Initial Price	End Price	Percent Change	Mkt Cap
7/31/2006	PCU	45.02	111.99	149%	13,480
5/31/2006	PCU	38.91	86.88	123%	11,964
11/29/2006	PCU	51.22	106.99	109%	15,586
12/31/2012	STX	29.59	56.16	90%	11,741
3/29/2006	pcu	37.54	71.15	90%	11,351
11/23/2012	STX	26.20	49.04	87%	10,533
2/22/2013	RTN	53.11	97.91	84%	17,856
2/17/2006	PCU	37.40	68.00	82%	11,013
10/26/2012	STX	26.74	48.56	82%	10,836
3/28/2013	NOC	68.43	121.81	78%	16,781
9/27/2013	HPQ	20.77	36.56	76%	41,049
2/27/2007	PCU	64.49	113.44	76%	19,923
2/17/2006	PD	70.56	123.80	75%	14,394
2/25/2011	LO	74.54	130.01	74%	11,534
1/25/2013	RTN	54.51	95.07	74%	18,545
3/28/2013	RTN	57.35	98.65	72%	19,283
2/22/2013	STX	30.70	52.19	70%	11,383
5/28/2010	LO	68.35	114.96	68%	10,938
6/28/2013	AAPL	55.31	91.98	66%	372,776
4/26/2013	NOC	72.42	118.99	64%	17,492
11/23/2012	RTN	54.35	88.68	63%	18,546
2/17/2006	NUE	39.74	64.50	62%	12,006
4/26/2013	RTN	58.56	94.90	62%	19,415
12/31/2012	RTN	56.15	90.70	62%	18,995
5/28/2010	RAI	24.46	39.49	61%	15,196
6/29/2010	LO	68.57	110.49	61%	11,522
12/31/2012	CA	21.22	33.65	59%	9,977
4/27/2007	PCU	77.22	121.25	57%	24,225
1/26/2007	PCU	55.60	87.28	57%	17,179
7/29/2013	AAPL	62.46	97.67	56%	406,791
3/28/2013	STX	35.25	54.92	56%	13,069
3/26/2007	PCU	66.79	104.02	56%	20,824
11/23/2012	CA	21.34	33.00	55%	10,122
10/26/2012	DELL	9.01	13.85	54%	15,994
5/24/2013	NOC	79.41	121.55	53%	18,959
7/29/2013	STX	39.23	59.50	52%	14,468
1/28/2011	LO	70.89	107.48	52%	11,364
9/27/2013	AAPL	67.44	101.66	51%	438,550
8/30/2013	AAPL	68.07	102.50	51%	442,608
5/24/2013	RTN	64.91	97.57	50%	21,627
5/24/2013	LO	41.36	62.17	50%	16,469
4/26/2013	STX	35.10	52.72	50%	13,053
6/28/2013	NOC	80.91	120.67	49%	19,467
11/23/2012	DELL	9.31	13.86	49%	16,560
1/3/2011	LO	77.79	114.94	48%	12,391
6/28/2013	LO	41.70	61.50	47%	16,511
8/30/2013	LO	40.48	59.70	47%	15,863
6/28/2013	RTN	64.32	94.40	47%	21,423
7/29/2013	LO	41.39	60.73	47%	16,256
9/28/2012	STX	29.66	43.51	47%	12,397
3/24/2011	LO	89.44	131.20	47%	13,778
7/29/2010	LO	71.65	104.84	46%	11,522
1/25/2013	STX	36.23	52.86	46%	14,230
5/24/2013	AAPL	434.62	633.00	46%	415,653
7/29/2013	MSFT	30.64	44.50	45%	262,665
3/28/2013	MSFT	27.79	40.30	45%	239,538
10/26/2012	RTN	53.88	78.08	45%	18,384
1/31/2014	AAPL	70.34	101.66	45%	446,759
9/27/2013	MSFT	32.34	46.70	44%	277,073
12/31/2012	MSFT	25.93	37.41	44%	224,949
9/2/2010	LO	76.64	110.11	44%	12,145
9/24/2010	LO	77.18	110.70	43%	12,178
9/28/2012	RTN	55.18	78.74	43%	19,103
2/22/2013	MSFT	26.97	38.31	42%	232,462
11/23/2012	MSFT	26.89	38.13	42%	233,289
10/29/2010	LO	80.92	114.61	42%	13,036
2/22/2013	CA	23.77	33.50	41%	11,071
4/26/2013	AAPL	406.91	571.94	41%	387,864
8/24/2012	RTN	53.87	75.41	40%	18,486
8/30/2013	MSFT	32.47	45.43	40%	278,155
1/25/2013	MSFT	27.06	37.84	40%	231,374
2/17/2006	AVP	27.95	38.99	39%	12,425
5/25/2012	RTN	47.93	66.73	39%	16,613
3/25/2010	RAI	25.13	34.96	39%	15,612
10/26/2012	CA	21.86	30.39	39%	10,410
12/31/2012	DELL	9.97	13.86	39%	17,583
3/28/2013	LO	38.43	53.35	39%	15,414
10/25/2013	AAPL	73.48	101.66	38%	477,802
11/26/2010	LO	79.19	109.27	38%	13,036
4/21/2011	LO	94.67	130.57	38%	14,578
2/26/2010	RAI	24.74	33.98	37%	15,387
2/28/2014	AAPL	74.39	101.66	37%	469,641
9/27/2013	LO	43.29	59.08	36%	16,961
11/25/2011	RTN	41.60	56.20	35%	14,920
10/25/2013	MSFT	34.73	46.70	34%	298,203
3/28/2014	AAPL	75.89	101.66	34%	477,388
8/26/2011	NOC	50.36	67.40	34%	14,244
4/24/2009	PFE	12.65	16.91	34%	88,845
10/26/2012	CSCO	16.78	22.37	33%	91,602
7/29/2013	RTN	69.15	92.07	33%	22,846
2/26/2010	ACN	39.23	52.18	33%	25,251
4/26/2013	LO	40.79	54.12	33%	16,167
10/28/2011	RTN	42.00	55.71	33%	15,475
4/23/2010	LO	75.03	99.21	32%	12,413
7/27/2012	RTN	53.74	70.95	32%	18,616
9/27/2013	RTN	76.74	100.77	31%	25,354
5/29/2007	PCU	82.78	108.64	31%	25,536
8/30/2013	RTN	73.50	96.34	31%	24,282
9/27/2013	MO	33.05	43.16	31%	69,587
6/28/2013	STX	43.64	56.92	30%	16,062
3/25/2010	LO	72.01	93.73	30%	11,914
11/29/2013	AAPL	78.14	101.66	30%	500,025
7/29/2011	RTN	43.07	55.67	29%	15,861
4/26/2013	MSFT	30.88	39.91	29%	263,703
12/31/2013	AAPL	78.83	101.66	29%	498,632
5/24/2013	STX	41.71	53.73	29%	15,403
10/25/2013	RTN	78.48	100.77	28%	25,787
3/29/2006	nue	51.10	65.56	28%	15,438
1/22/2010	RAI	24.87	31.81	28%	15,469
12/31/2013	MSFT	36.64	46.70	27%	311,222
1/31/2014	MO	33.96	43.16	27%	70,210
11/25/2011	NOC	51.62	65.36	27%	14,185
3/28/2013	CA	24.37	30.84	27%	11,350
1/31/2014	MSFT	37.06	46.70	26%	314,072
6/28/2013	MSFT	33.55	42.25	26%	288,416
7/29/2011	LO	101.24	127.45	26%	14,765
9/28/2012	CSCO	18.54	23.33	26%	99,576
4/25/2014	AAPL	80.85	101.66	26%	489,273
8/24/2012	CSCO	18.64	23.31	25%	100,884
10/25/2013	MO	34.52	43.16	25%	72,536
10/25/2013	LO	47.46	59.08	24%	18,299
8/26/2011	MSFT	24.57	30.56	24%	205,798
1/31/2014	LO	47.61	59.08	24%	18,162
2/28/2014	MSFT	37.81	46.70	23%	317,973
2/28/2014	MO	34.96	43.16	23%	72,284
10/26/2012	MSFT	27.36	33.72	23%	237,585
5/24/2013	MSFT	33.29	40.94	23%	285,118
9/30/2011	MSFT	24.22	29.76	23%	213,169
12/29/2011	RTN	46.93	57.56	23%	16,973
11/29/2013	MO	35.21	43.16	23%	73,971
1/31/2014	RAI	46.83	57.40	23%	26,240
10/28/2011	NOC	55.93	68.02	22%	15,306
5/25/2012	MSFT	28.20	34.27	22%	244,188
12/31/2013	LO	49.02	59.08	21%	18,697
3/23/2012	NOC	58.53	70.15	20%	15,480
1/27/2012	NOC	56.73	67.74	19%	15,752
11/29/2013	RAI	48.11	57.40	19%	27,295
1/27/2012	RTN	46.93	55.88	19%	17,257
3/28/2014	MO	36.27	43.16	19%	73,699
11/29/2013	LO	49.65	59.08	19%	18,941
12/31/2013	RAI	48.27	57.40	19%	26,932
12/29/2011	NOC	56.91	67.58	19%	15,638
4/25/2014	MSFT	39.38	46.70	19%	329,244
8/28/2009	LO	68.32	80.70	18%	11,974
7/29/2011	ADI	33.34	39.37	18%	10,307
9/25/2009	LO	68.96	81.40	18%	12,086
5/29/2007	NUE	63.54	75.00	18%	19,909
2/27/2007	NUE	57.67	67.91	18%	18,136
6/24/2011	RTN	46.16	54.29	18%	17,159
8/24/2012	STX	32.63	38.32	17%	13,080
2/28/2014	CSCO	21.45	25.16	17%	113,164
11/25/2011	MSFT	23.63	27.70	17%	204,363
2/28/2014	RAI	49.08	57.40	17%	27,349
3/23/2012	RTN	50.32	58.79	17%	17,609
12/31/2012	CSCO	19.22	22.43	17%	104,358
1/31/2014	CSCO	21.56	25.16	17%	117,832
7/30/2007	NUE	50.73	59.20	17%	15,836
12/31/2013	MO	37.02	43.16	17%	76,731
11/23/2012	CSCO	18.29	21.25	16%	100,059
10/30/2009	LO	73.61	85.34	16%	12,513
3/26/2007	NUE	62.98	72.89	16%	19,610
4/27/2012	RTN	52.02	60.20	16%	17,825
9/28/2012	MSFT	28.87	33.27	15%	252,771
5/30/2014	MSFT	40.69	46.70	15%	338,164
10/25/2013	CSCO	21.93	25.16	15%	121,010
4/26/2013	CSCO	20.05	23.00	15%	109,718
3/28/2014	CSCO	21.97	25.16	15%	115,500
4/21/2011	RTN	46.95	53.68	14%	17,535
12/31/2012	HFC	43.60	49.69	14%	9,475
3/28/2014	LO	52.26	59.08	13%	19,429
2/24/2012	NOC	58.39	65.97	13%	15,137
5/30/2014	AAPL	89.98	101.66	13%	545,485
7/29/2011	NOC	58.34	65.80	13%	16,821
8/24/2012	MSFT	29.64	33.40	13%	253,567
6/29/2009	LO	64.90	72.85	12%	11,498
2/26/2010	LO	68.87	77.19	12%	11,394
10/27/2006	NUE	56.02	62.64	12%	17,362
12/28/2006	nue	53.64	59.97	12%	16,625
9/27/2013	CSCO	22.62	25.16	11%	125,725
6/27/2014	MSFT	41.99	46.70	11%	348,985
2/24/2012	RTN	48.99	54.44	11%	17,420
9/30/2011	AMAT	10.06	11.17	11%	13,992
3/28/2014	RAI	51.83	57.40	11%	28,479
8/30/2013	CSCO	22.60	24.99	11%	122,797
9/25/2009	PFE	15.75	17.40	10%	110,685
7/29/2009	LO	69.04	76.24	10%	12,085
8/26/2011	AMAT	10.66	11.77	10%	14,250
11/27/2009	LO	75.68	83.52	10%	12,705
4/25/2014	CSCO	22.83	25.16	10%	121,106
3/28/2013	CSCO	20.28	22.33	10%	111,224
12/29/2011	AMAT	10.45	11.44	9%	13,948
7/27/2012	MSFT	28.88	31.54	9%	249,377
7/29/2008	LO	66.11	72.00	9%	12,183
6/27/2014	COH	34.16	36.96	8%	9,567
5/24/2013	CA	26.53	28.69	8%	12,257
12/31/2009	LO	75.91	81.91	8%	12,917
5/24/2013	CSCO	22.83	24.62	8%	124,956
7/25/2014	COH	34.32	36.96	8%	9,612
7/3/2007	NUE	57.61	61.94	8%	17,864
2/22/2013	CSCO	20.28	21.80	7%	111,251
10/28/2011	MSFT	26.26	28.21	7%	229,173
1/25/2013	CSCO	20.53	21.91	7%	111,637
2/28/2014	KRFT	54.29	57.72	6%	32,988
7/29/2013	CSCO	24.56	25.97	6%	134,629
12/29/2011	MSFT	25.30	26.71	6%	218,828
3/28/2014	KRFT	54.71	57.72	6%	33,173
3/24/2011	RTN	49.44	52.16	6%	18,430
10/30/2009	RTN	44.01	46.08	5%	17,342
11/25/2011	AMAT	9.94	10.40	5%	13,386
6/28/2013	CSCO	23.61	24.70	5%	129,341
1/25/2013	HFC	44.27	46.30	5%	9,528
8/29/2008	LO	69.09	72.13	4%	12,564
5/29/2009	PFE	14.60	15.23	4%	102,502
5/27/2011	RTN	48.19	49.67	3%	17,666
5/30/2014	CSCO	24.43	25.16	3%	125,956
2/25/2011	RTN	49.40	50.78	3%	18,290
4/25/2014	KRFT	56.17	57.72	3%	33,919
6/27/2014	CSCO	24.51	25.16	3%	126,365
7/29/2013	CA	28.80	29.53	3%	13,400
7/29/2009	RTN	45.33	46.27	2%	18,116
8/28/2009	PFE	16.14	16.46	2%	113,453
1/28/2011	RTN	47.71	48.64	2%	18,635
8/29/2014	COH	36.50	36.96	1%	9,967
8/29/2014	CA	28.24	28.50	1%	12,380
6/27/2014	CA	28.30	28.50	1%	12,526
8/29/2014	CSCO	24.99	25.16	1%	125,617
1/22/2010	LO	74.42	74.65	0%	11,982
5/30/2014	CA	28.44	28.50	0%	12,587
8/30/2013	CA	28.31	28.24	0%	13,179
8/28/2009	RTN	46.06	45.67	-1%	18,407
9/25/2009	RTN	46.33	45.87	-1%	18,512
6/29/2009	PFE	14.67	14.47	-1%	102,974
7/29/2010	RTN	45.13	44.45	-2%	17,660
9/27/2013	CA	29.09	28.50	-2%	13,544
10/29/2010	RTN	44.46	43.54	-2%	16,613
7/25/2014	CA	29.27	28.50	-3%	12,964
7/25/2014	CSCO	25.97	25.16	-3%	132,863
4/25/2014	CA	29.43	28.50	-3%	13,548
3/29/2006	gci	58.14	55.97	-4%	13,693
11/29/2006	NUE	57.60	54.76	-5%	17,852
9/2/2010	RTN	44.16	41.59	-6%	17,077
3/28/2014	CA	30.31	28.50	-6%	13,667
10/25/2013	CA	30.39	28.50	-6%	14,036
1/26/2007	NUE	59.07	54.97	-7%	18,490
11/27/2009	RTN	50.18	46.48	-7%	19,774
5/30/2014	COH	40.00	36.96	-8%	11,299
9/24/2010	RTN	44.36	40.87	-8%	16,834
12/31/2009	RTN	50.37	46.09	-8%	19,732
1/31/2014	CA	31.30	28.50	-9%	14,221
2/24/2012	MSFT	30.56	27.76	-9%	262,943
11/29/2013	CA	32.18	28.50	-11%	14,751
2/22/2013	HFC	51.98	45.57	-12%	11,297
12/31/2013	CA	32.82	28.50	-13%	15,034
2/28/2014	CA	32.92	28.50	-13%	14,846
1/31/2014	COH	46.73	36.96	-21%	13,271
5/28/2008	MHP	38.32	30.09	-21%	13,154
8/30/2007	PCU	32.87	25.64	-22%	30,404
2/28/2014	COH	47.63	36.96	-22%	13,547
3/28/2014	COH	48.81	36.96	-24%	13,786
4/25/2014	COH	48.95	36.96	-24%	13,878
4/25/2008	MHP	38.73	29.07	-25%	12,908
9/26/2008	MHP	32.78	23.67	-28%	10,808
3/24/2008	MHP	37.91	25.05	-34%	12,498
11/2/2007	MHP	45.50	26.86	-41%	15,279
12/28/2007	MHP	42.65	23.01	-46%	14,430