1. Exxon Mobil (2005 price: 61.05, 2015 price: 79.95)
2. Wal-Mart (2005 price: 51.60, 2015 price: 71.58)
3. GM (Went into bankruptcy, I don't really understand what happened to its stockholders, which thank god I was not)
4. Chevron (2005: 61.71, 2015 price: 90.62)
5. Ford (2005: 12.40, 2015: 14.39)
6. ConocoPhillips (2005: 42.38, 2015: 52.08)
7. GE (2005: 36.12, 2015: 25.76)
8. Citigroup (2005: 497.80, 2015: 58.72)
9. AIG (2005: 1317.20, 2015: 63.64)
10. IBM (2005: 94.10, 2015: 159.76)
S&P500: 2005: 1191.17, 2015: 2079.65
A realistic portfolio to prove/disprove your theory that investing in highly profitable companies is a losing strategy would be to take the 25 most profitable companies (I said 20 or 30 so let's just go with the middle) and update it every year.
With only the eight most profitable making up ~15% of the weight a portfolio of 25 is probably going to approach 30%. It's hard to imagine the largest components representing nearly a third of the index weight are going to move completely and drastically divergent to the index as a whole.
[1] http://marketcapitalizations.com/changes-in-sp-500-component...
Today their market cap is $176 billion, in 2005 it averaged around $230 billion or so.
Which, honestly, everyone already knows.
I'm not sure investing only in highly profitable companies would result in a "losing stock market strategy" (assuming "losing" means underperforming the S&P 500). Just looking at the ten most profitable[1] eight of them (all but Chevron and Walmart) are among the most weighted in the S&P 500 (in fact they're the top eight), Apple alone makes up 3.84% of the index. Combined these eight seem to account for about 15% of the index[2][3].
That's only looking at eight highly profitable companies in an index of 500 and it's 15% of the index! I can't imagine a portfolio of the 20 or 30 most profitable underperforming the index considering they would make up such a large part of the index itself. [Though it would be interesting to see historically what the performance would be of such a portfolio].
[1] http://fortune.com/2015/06/11/fortune-500-most-profitable-co...
[2] http://portfolios.morningstar.com/fund/holdings?t=SPY (this is actually looking at the ETF but it's presented better then [3], which is provided to show they don't differ much)
[3] http://slickcharts.com/sp500