Inspired by the analysis that CXO Advisory Blog has been doing I’ve done an initial analysis on one of Jim Cramer's Mad Money show categories.

I’ve kept records on stocks Jim Cramer has commented on by rating: “Triple sell,” “Best of breed,” “Bull,” “Bear,” and “Stocks he owns.” Picks have also been categorized by the way they were introduced into the show: “Feature,” “Top of show,” “Lightning round,” “Lightning round Cramer,” and “Pick of the week” among others.

I’ll try and work my way through each of these analyses as enough data is accumulated to form a worthy set. Taking this path and analyzing by category just may lend insight to Cramer’s strengths and weaknesses in his evaluation of stocks on his Mad Money television show.

The first analysis I’ve done is that of taking a look at all stocks rated “Triple Sell” by Jim Cramer in his Mad Money shows on the dates of June 21, June 22, June 28, June 30, July 7, July 8, and August 3. These shows provide 31 stocks rated “Triple Sell”.

The 31 stocks rated TRIPLE SELL during those shows: AV, CL, DHB, DRL, ELN, EYET, F, FBR, FBR, FDX, GERN, GMR, HNZ, HOTT, IMX, L, MAT, MRK, NFI, PBY, REV, SCI, SLR, SNIC, STEM, THC, UN, UNP, UPS, VZ, YELL. Note that FBR appears twice. It first appeared in the analysis on 6/21/2005 and again on 7/7/2005, both times in the Lightning Round.

Of the stocks in the set, 24 came from the Lightning Round segment, 2 from caller questions, 2 were Cramer thoughts, one stock from Mad Mail, one from a feature segment, and one from a show guest segment.

Calculating the Returns
I’ve calculated the average returns for the entire list from the closing price day after mention to closing price one week, two weeks, four weeks and eight weeks after mention. I’ve also compared the average return to that of the SPY (S&P 500 Depository Receipts), IWM (iShares Russell 2000), and QQQQ (Nasdaq 100 Trust Series 1) during the same time period. Stocks were compared individually to the corresponding market return for the time period and the whole was averaged to achieve the percentage point difference versus each market.

Conclusions:
You can see the Jim Cramer’s “Triple Sell” picks actually outperformed the market in most cases, with exceptions being the underperfofmance for the 4 Week Return vs. S&P 500 and the 8 Week Return vs. all indices. It appears from this analysis that Cramer may be issuing “Triple Sells” to stocks that display longer termed weakness without accounting for what they do in the short term. Jim Cramer’s “Triple Sell” recommendations actually outperform the market over shorter durations of one, two and four weeks, while the underperformance one would expect from a “Triple Sell” doesn’t show up until eight weeks out.

Notes:

Transaction costs were not included in this analysis.

Prices used were obtained from Yahoo Finance through XLQ.

Triple Sells used by date of mention:
6/21/2005: FBR, HOTT, SCI, GMR, EYET, NFI, F, UN, SNIC
6/22/2005: DRL, MAT, GERN
6/28/2005: HNZ, PBY, SLR, STEM
6/30/2005: THC, REV
7/7/2005: IMX, DHB, ELN, FBR, MRK, UNP
7/8/2005: FDX, UPS, YELL, VZ, AV
8/3/2005: CL, L

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