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  In the vein of comparing the blog's research to name brand hedge funds, see "Another Name Brand bites the BoomBust!", I have decided to update the performance charts and announce the availability of a new instiutional program that will allow a new higher tier subscriber level to gain access into my outlook in regards to the positions that I have taken. Below you will find the most recent results to all of the performance comparisons that I have made in the last couple of months.


  Reggie Middleton vs James Cramer

 A regular reader and subscriber did the homework of comparing my subscription research to that of James Cramer's flagship subsciption service, Action Alert Plus, see Reggie Middleton on James Cramer: Marked to Market!. This is an update to that study using today's closing prices. There should not be any surprises here, unless you see how much Cramer charges for this stuff! Please click the graph to enlarge to print quality size. 

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Reggie vs Wall Street

As many may have surmised, my team and I have blown out the results of Wall Street's biggest and most reknowned name brand brokers. It wasn't even close enough to fit in a small graph. JP Morgan failed to beat the S&P over the period that the blog has been in existence (since 9/07). The blog's research returns are 132% above the BEST performing Wall Street Broker's analyst recommendations. For the supporting data that goes behind this study, see Blog vs. Broker, whom do you trust!. Please click the graph to enlarge to print quality size. 

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  Reggie vs Goldman Sachs

Why didn't Wall Street read my post on Lehman being a yellow lying lemon? See "Is Lehman really a lemming in disguise?" and realize that this post was made on February 20th, when Goldman Sachs had a recommended price of about $55 while this blog warned that Lehman may be done for. This very similar to when I warned about the potential demise of Bear Stearns in January, when the rest of the Street had a "buy" at about $130 per share. See Is this the Breaking of the Bear?.  We all know how both of these stories ended. Please click the graph to enlarge to print quality size. 

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 If you look into my original post on performance (see "Performance!"), you can see when I recommended strong shorts on Morgan Stanley and Goldman Sachs, both highly contrarian views at the beginning of the year, and both returned way over 100% and in the case of Goldman, is still pushing profits.  

 

Reggie on broad market and global equity indices

  Cash performance of the blog's researcg as compared to all major US and global market indices. The graph below assumes the research result to be taken as a cash index, as opposed to an actual investor acting upon the research, which would have to be done in a margin account (to short), options or swaps. Please click the graph to enlarge to print quality size. 

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 Reggie Middleton vs Greenwich and Park Avenue

We have totally trounced ALL hedge fund indices, taking much less risk to get multiples of return. These are the results against the Barclay's hedge fund indices year to date. Please click the graph to enlarge to print quality size

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  The following chart is the comparison from the inception of the blog. Slight differences in results stem from adjustments for comparison against different products, ex. analysts recommendations versus an actual researched portfolio of all holdings. Please click the graph to enlarge to print quality size

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The posts, research and opinions (date stamped) behind all of these graphs can be found in the Actionable Research post (you'll have to scroll down towards the bottom, once there).

A glimpse into my proprietary account

These are the results of my trading screen as of the close of US markets today (I've been spreading around the globe).

Please click the graph to enlarge to print quality size.  

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 In conjunction with the date stamped, blog post map (the Actionable Research post), you can use the graph below to see how well my proprietary research performed in my own account on a monthly basis. This is where I may loosen up by providing a premium subscription service where I share the reasoning behind my trades and positions as it applies to the research that I release. Please click the graph to enlarge to print quality size.  

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From a risk weighted perspective, my proprietary account has pulled even farther away from both the broad market and ALL of the BarclayHedge fund indices, far away. I have assumed much less risk to get an average of over 10x the return.  Please click the graph to enlarge to print quality size.  

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Sample Period: 16 months Reggie Middleton Proprietary Account S&P 500 Barclay Hedge Fund Index Barclay Event Driven Index Barclay Equity Long Bias Index Barclay Equity Long/Short Index Barclay Market Neutral Index Barclay Equity Short Bias Index Barclay Fund of Funds Index Barclay Global Macro Index Barclay Multi-Strategy Index
standard deviation 22.42% 7.01% 2.20% 2.27% 3.38% 1.93% 1.61% 4.04% 2.27% 2.07% 2.60%
skewness 14.91% -238.09% 23.04% -117.52% -77.38% -57.93% -30.60% 37.98% -39.61% 35.72% -214.14%
kurtosis -61.54% 745.10% -110.58% 218.86% 25.36% 20.48% -88.88% -93.94% -19.14% -66.10% 649.98%
beta -189.06% 100.00% 13.16% 36.29% 64.37% 39.93% 16.47% -89.40% 39.80% 21.71% 46.07%
Sortino ratio 152.50% -43.34% -4.02% -30.48% -23.56% -31.90% -16.06% 125.42% -36.97% 7.95% -27.82%
Sharpe ratio 58.08% -41.01% -0.27% -26.64% -19.44% -26.77% -9.72% 48.02% -33.19% 7.82% -25.01%
Correlation to S&P 500 -34.74% 100.00% 23.04% 74.88% 72.84% 79.03% 38.87% -84.12% 67.76% 43.24% 67.69%
Jensen's alpha: 16 months 9.35% Not Applicable 0.20% -0.03% 0.37% 0.12% 0.11% 0.52% -0.12% 0.51% 0.08%
Omega: 16 months 354.57% 19.27% 93.53% 44.49% 56.74% 46.16% 71.83% 370.84% 39.83% 114.00% 40.44%
maximum drawdown 20.28% 53.35% 7.21% 10.73% 13.26% 9.56% 6.32% 7.30% 13.54% 6.17% 12.31%
Information ratio 44.82% undefined 40.25% 32.70% 34.77% 41.86% 40.89% 46.86% 29.51% 49.65% 33.60%
Stutzer index: 16 months 340.71% 0.00% 92.02% 67.67% 65.43% 78.11% 91.00% 246.47% 69.62% 149.27% 91.64%
Upside potential ratio 196.73% 10.09% 60.03% 25.23% 31.91% 28.24% 42.29% 177.36% 25.28% 66.91% 19.51%
Calmar ratio 59.17% -5.55% 1.04% -4.88% -4.35% -4.54% -1.20% 27.69% -4.96% 3.93% -4.62%

  Risk adjusted returns from a visual perspective. Please click the graph to enlarge to print quality size.  

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  I'd like to remind all blog readers to use the social bookmarking links below (bookmarks, digg, technoriti, delicious, etc) to spread the word about this article and the site and general. Thank you in advance.