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The tenth of US stocks that rose most over twelve months has returned 17.04% a year since 1927. The tenth that fell most has returned −0.97%. Intuition says buy what has dropped; a century of data says the opposite.

Published on September 4, 2026

Ze Finance fact card: Markets & investing
+17.04% vs −0.97% annual return of the most and least performing deciles of US stocks ranked on the prior twelve months, January 1927 to June 2026

Kenneth R. French's data library sorts US stocks each month into ten groups on their return from month −12 to month −2, and publishes each group's return. Across the 1,194 months from January 1927 to June 2026, the top decile returns 17.04% a year and the bottom decile −0.97%. Cumulatively, a dollar on the winners becomes 6.3 million; the same dollar on the losers is worth 0.38, a 62% loss over a century before inflation. The annual gap between the two extremes reaches 18.0 points.

Should you buy what has fallen or what has risen?

Over a century, the top decile returns 17.04% a year and the bottom decile −0.97%. But the gap has halved since 2001, and it reverses violently coming out of a crash.

In other words: a low price is not a promise: it is often the one piece of information the market has already priced in.

Six caveats that belong with the number

  • The gap is narrowing. It is worth 20.8 points a year from 1927 to 2000, but only 9.95 points over the 306 months from 2001 to June 2026.
  • It is not a month-by-month regularity: losers beat winners in 438 months out of 1,194, or 36.7% of the time.
  • Reversals are brutal. In April 2009 the losing decile gained 45.06% in the month while the winning decile lost 0.12%. From March 2009 to February 2010, losers +254.8% against winners +33.7%.
  • The record reversal runs from July 1932 to June 1933: +357.4% for the losers against +57.5% for the winners.
  • These are gross returns. A decile re-sorted every month turns over heavily, and the losing decile is the most expensive to trade: real costs are not deducted.
  • The losing decile is far more volatile: 33.8% a year against 22.5% for the winning decile. Part of the gap pays for that risk and is not an anomaly.

Why it still matters: a gap measured over a century is not a gap you can collect: in between sit turnover, costs, and months when everything reverses.

For you

  • When you buy a stock that has fallen, are you buying a discount or a decline that continues?
  • A strategy that loses 45 points in a single month — would you hold it into the next one?

Source: reproducible Ze Finance calculation on Kenneth R. French's data library (Tuck School of Business, Dartmouth), "10 Portfolios Prior 12 2", value-weighted monthly returns, CRSP database vintage 202606 — 1,194 months from January 1927 to June 2026.

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