Equity Research Performance in 2008

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New York – As part of our quarterly performance analysis, we include one year returns for research providers in the Investars’ database.  As we have noted in prior quarterly analyses, there are a few anomalies introduced into the performance data from research providers that have a small number of recommendations over the period. These firms tend to either perform at the top of the synthetic return leader board or at the bottom. As a result, we have arbitrarily taken only those firms that have generated more that 200 recommendations in the most current year.Using this filter, the best performing firm was Market Profile Theorems, which generated an overall synthetic return on 38.38 basis points per day in the year ended December 31st. This was driven by the short recommendations, which accounted for all of the returns generated by the firm’s recommendations. On the downside for the MPT return was that the number of recommendations was clearly excessive. This indicates that the returns would have been much lower for the investor had there been any commission assessed in the return analysis.  Clearly, quantitative systems tend to turnover stocks to a large degree. MPT has the largest turnover in the most recent year, but Columbine also racked up 5 digit turns over the year.

American Technology Research came in second, posting a little better than 1/4 the overall return of MPT. In the current environment, though, performance in the double digit range is commendable. And Am Tech’s recommendations were more in line with the kind of positioning that could be executed by an investor. Again all of the performance of the firm’s recommendations came from short positions, but there were only 17 of these over the year.   

Audit Integrity also secured a spot in the top three, posting a 10.0% return over the year and issuing roughly equal buy and sell recommendations.  Again, the sell recommendations accounted for 100% of the overall returns. Of note here is that Audit Integrity lost only 4.12% on its buy recommendations, bolstering the firm’s reputation for keeping investors out of trouble.

Rank

Research Provider

Returns

Recommendations

Overall

Buy

Sell

No. Buys

No. Sells

Total

1

Market Profile Theorems (MPT)

38.38

-8.75

-47.13

13332

7808

21140

2

American Tech Research

10.18

-17.15

-27.33

189

17

206

3

Audit Integrity, Inc

10

-4.12

-14.12

1629

1416

3045

4

Rochdale

9.92

-7.11

-17.03

1864

1600

3464

5

Haugen Custom Financial Systems, Inc

9.55

-9.45

-19

669

536

1205

6

DA Davidson & Co

7.84

-13.25

-21.09

172

33

205

7

RBC Capital Markets

7.56

-10.23

-17.79

662

145

807

8

Caris & Company

7.05

-15.15

-22.2

209

27

236

9

Stifel Nicolaus

7.02

-10.75

-17.77

527

41

568

10

Ford Equity Research

6.63

-9.49

-16.12

5687

3180

8867

11

KeyBanc Capital Markets

4.85

-12.77

-17.62

253

32

285

12

Columbine Capital Services, Inc.

4.72

-11.77

-16.49

8686

7857

16543

13

Raymond James

4.54

-13.91

-18.45

817

128

945

14

Standard & Poor`s

3.97

-12.47

-16.44

1110

689

1799

15

First Albany Capital

3.59

-14.09

-17.68

289

21

310

Note: The data for this analysis was provided by Investars – an equity research performance measurement service. The conclusions and analysis are those of Integrity Research Associates.

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