The long story short, I have developed an index based on a certain distribution. Then I aligned NYSE stocks according to this index i.e. the stocks with the best fit are first and the worst are last. The index is irrelevant with economic theory.
Afterwards, I created a group of portfolios with equal number of stocks and equal observations and then I calculated the minimum variance per portfolio.
The result suggests that the portfolios with better fit have lower variances than the ones with "bad" fit. Does this prove market inefficiency assuming that it didn't occur just by chance?
Edit: According to efficient market hypothesis, asset prices reflect all information given and "patterns" should not occur. However, according to the results, patterns occur and they are independent to the information given.