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I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the top 10 percent of stocks based on P/E ratio in the S&P 500 5 years ago, my searched returned 48 stocks. Why was it 48 instead of 50?

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Does Bloomberg account for the changing composition of the S&P500? – John Sep 27 '12 at 19:57
Yes, but I did not accoutnt for changing index composition in my analysis. I simply took the top 10 percentile of the S&P 500 by P/E ratio on 5/27/07 and calculated the 5 year return. Bloomberg returned 48 stocks. That was wierd because I was expecting 50. – Andrew Sep 27 '12 at 20:03
What do you mean Bloomberg accounted for it, but you didn't. If you select the S&P500 composition today and then get their P/E on 5/27/2007 and calculate 5 year return of them, then some of the stocks that are in the S&P500 today may not have existed five years ago (like a spin-off). Alternately, if you took the S&P500 as it existed on 5/27/2007, sorted by top percentile and calculated the return, then companies like Lehman may no longer exist and not have five year returns. – John Sep 27 '12 at 21:08
Yes I agree, but I was wondering when I first sorted the S&P 500 index for year 2007 the top 10 percentile of companies based on P/E ratio returned only 48 stocks to begin with? – Andrew Sep 28 '12 at 2:24
If you ask for the top 100% of stocks, do you get the full 500? What John is saying is that calculating returns over a period of time requires that the stocks be around during that entire period. So Lehman Brothers and Bear Stearns don't qualify. Also, the S&P 500 could have changed their list of index constituents, again as John said. – chrisaycock Sep 28 '12 at 4:04

This is possible for many reasons; one of which was explained by John. Another reason could be what you used for your P/E multiple. If it was a direct field providing you the ratio, then there is a possibility that a couple of those stocks had a negative EPS that period. Bloomberg (and many similar data vendors) do not calculate a ratio if the denominator is negative. A workaround to this is to have the P/E calculated yourself by looking at Price and EPS individually.

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