============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m2_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(2)', 'computePortfolioReturns()', 'report()'] js: [25, 35, 45, 65, 130] ks: [25, 35, 41, 65, 130] risklessReturnSecurityName: %5EH15_TB_M6 indexSecurityName: SPY Report switches: WinnerLoser TimeFrame: 1 4 2015 12 15 2016 Period: d Component Count: 56 Component Source: ../../../DBs/Analyst/stockhistory/20161218/d Components: ['NGD', 'TMP', 'GSS', 'BVX', 'AXU', 'NAK', 'HCHC', 'TIS', 'FSP', 'REI', 'GBR', 'PARR', 'CCF', 'AKG', 'EVV', 'FAX', 'CMT', 'NHC', 'AST', 'LBY', 'GSAT', 'PRK', 'NG', 'TRXC', 'VHC', 'BGI', 'LNG', 'NSU', 'ASM', 'SEB', 'GPL', 'CQH', 'GTE', 'CEF', 'MGT', 'IRT', 'IMO', 'GIG', 'NAVB', 'VGZ', 'STS', 'CQP', 'GORO', 'TXMD', 'MCF', 'NOG', 'BTX', 'RIC', 'PLG', 'BGSF', 'MAG', 'STRP', 'BRG', 'CRMD', 'BTI', 'SYRG'] ============================================ Table I: From Rouwenhorst 199802 Journal Of Finance p 270 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month 1 Winner Number of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 458 448 442 418 353 j= 35 448 438 432 408 343 j= 45 438 428 422 398 333 j= 65 418 408 402 378 313 j=130 353 343 337 313 248 2 Winner Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0242 -0.0376 -0.0455 -0.0437 -0.0263 j= 35 -0.0467 -0.0573 -0.0630 -0.0520 -0.0296 j= 45 -0.0699 -0.0731 -0.0713 -0.0607 -0.0350 j= 65 -0.0896 -0.0913 -0.0949 -0.0664 -0.0300 j=130 -0.0619 -0.0547 -0.0479 -0.0354 0.0025 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0489 -0.0555 -0.0607 -0.0503 -0.0289 j= 35 -0.0848 -0.0777 -0.0785 -0.0598 -0.0323 j= 45 -0.1047 -0.0916 -0.0859 -0.0684 -0.0379 j= 65 -0.1142 -0.1090 -0.1104 -0.0748 -0.0333 j=130 -0.0969 -0.0742 -0.0618 -0.0423 0.0010 4 Loser Number of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 458 448 442 418 353 j= 35 448 438 432 408 343 j= 45 438 428 422 398 333 j= 65 418 408 402 378 313 j=130 353 343 337 313 248 5 Loser Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0105 0.0013 0.0089 0.0130 0.0105 j= 35 0.0056 0.0098 0.0205 0.0213 0.0168 j= 45 0.0399 0.0382 0.0351 0.0279 0.0273 j= 65 0.0636 0.0389 0.0392 0.0261 0.0281 j=130 0.0343 0.0355 0.0387 0.0415 0.0629 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0032 -0.0078 -0.0001 0.0068 0.0061 j= 35 -0.0078 -0.0002 0.0109 0.0151 0.0126 j= 45 0.0245 0.0247 0.0233 0.0204 0.0229 j= 65 0.0461 0.0267 0.0283 0.0187 0.0233 j=130 0.0169 0.0231 0.0293 0.0355 0.0590 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.9517 -4.8625 -6.1158 -8.4940 -7.6234 j= 35 -4.7462 -6.8564 -8.2625 -9.1046 -8.4341 j= 45 -6.8017 -8.7972 -9.3688 -10.5266 -9.3134 j= 65 -9.4551 -10.8567 -11.9250 -10.8307 -7.5503 j=130 -5.4144 -5.9131 -6.0092 -6.2980 -1.1177 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0032 0.0000 0.0000 0.0000 0.0000 j= 35 0.0000 0.0000 0.0000 0.0000 0.0000 j= 45 0.0000 0.0000 0.0000 0.0000 0.0000 j= 65 0.0000 0.0000 0.0000 0.0000 0.0000 j=130 0.0000 0.0000 0.0000 0.0000 0.2643 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.8709 -3.7481 -5.4402 -7.9460 -6.7485 j= 35 -4.0062 -6.1867 -8.3469 -9.7973 -8.9409 j= 45 -8.3308 -10.1710 -10.5184 -11.8977 -11.7115 j= 65 -11.2784 -11.5543 -12.6000 -11.2010 -9.2372 j=130 -6.3168 -7.7470 -8.3758 -9.8963 -11.1969 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0043 0.0002 0.0000 0.0000 0.0000 j= 35 0.0001 0.0000 0.0000 0.0000 0.0000 j= 45 0.0000 0.0000 0.0000 0.0000 0.0000 j= 65 0.0000 0.0000 0.0000 0.0000 0.0000 j=130 0.0000 0.0000 0.0000 0.0000 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.2032 0.1777 0.1673 0.1122 0.0722 j= 35 0.2249 0.1846 0.1659 0.1217 0.0718 j= 45 0.2269 0.1788 0.1625 0.1202 0.0755 j= 65 0.2001 0.1739 0.1632 0.1239 0.0805 j=130 0.2285 0.1824 0.1590 0.1160 0.0551 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1643 0.1341 0.1361 0.1126 0.0979 j= 35 0.1631 0.1442 0.1452 0.1143 0.0946 j= 45 0.1851 0.1778 0.1631 0.1274 0.0975 j= 65 0.1988 0.1651 0.1548 0.1245 0.1001 j=130 0.1926 0.1612 0.1422 0.1100 0.0921 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 25 k=25 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0105 +0.1643 +0.0639 0 -0.0242 +0.2032 -0.1189 (Winner-Loser) -0.0347 (t-stat) -2.8348 (p-value) +0.0047 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 25 k=35 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0013 +0.1341 +0.0094 0 -0.0376 +0.1777 -0.2114 (Winner-Loser) -0.0388 (t-stat) -3.6871 (p-value) +0.0002 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 25 k=41 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0089 +0.1361 +0.0657 0 -0.0455 +0.1673 -0.2720 (Winner-Loser) -0.0545 (t-stat) -5.3019 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 25 k=65 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0130 +0.1126 +0.1150 0 -0.0437 +0.1122 -0.3893 (Winner-Loser) -0.0566 (t-stat) -7.2742 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 25 k=130 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0105 +0.0979 +0.1073 0 -0.0263 +0.0722 -0.3636 (Winner-Loser) -0.0368 (t-stat) -5.6695 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 35 k=25 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0056 +0.1631 +0.0345 0 -0.0467 +0.2249 -0.2075 (Winner-Loser) -0.0523 (t-stat) -3.9795 (p-value) +0.0001 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 35 k=35 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0098 +0.1442 +0.0678 0 -0.0573 +0.1846 -0.3105 (Winner-Loser) -0.0671 (t-stat) -5.9865 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 35 k=41 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0205 +0.1452 +0.1411 0 -0.0630 +0.1659 -0.3798 (Winner-Loser) -0.0835 (t-stat) -7.8627 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 35 k=65 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0213 +0.1143 +0.1861 0 -0.0520 +0.1217 -0.4274 (Winner-Loser) -0.0733 (t-stat) -8.8575 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 35 k=130 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0168 +0.0946 +0.1771 0 -0.0296 +0.0718 -0.4126 (Winner-Loser) -0.0464 (t-stat) -7.2201 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 45 k=25 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0399 +0.1851 +0.2155 0 -0.0699 +0.2269 -0.3082 (Winner-Loser) -0.1098 (t-stat) -7.8395 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 45 k=35 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0382 +0.1778 +0.2149 0 -0.0731 +0.1788 -0.4086 (Winner-Loser) -0.1113 (t-stat) -9.1186 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 45 k=41 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0351 +0.1631 +0.2151 0 -0.0713 +0.1625 -0.4387 (Winner-Loser) -0.1064 (t-stat) -9.4799 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 45 k=65 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0279 +0.1274 +0.2193 0 -0.0607 +0.1202 -0.5049 (Winner-Loser) -0.0886 (t-stat) -10.0817 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 45 k=130 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0273 +0.0975 +0.2802 0 -0.0350 +0.0755 -0.4639 (Winner-Loser) -0.0623 (t-stat) -9.2103 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 65 k=25 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0636 +0.1988 +0.3198 0 -0.0896 +0.2001 -0.4480 (Winner-Loser) -0.1532 (t-stat) -11.0940 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 65 k=35 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0389 +0.1651 +0.2356 0 -0.0913 +0.1739 -0.5246 (Winner-Loser) -0.1302 (t-stat) -10.9496 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 65 k=41 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0392 +0.1548 +0.2534 0 -0.0949 +0.1632 -0.5818 (Winner-Loser) -0.1342 (t-stat) -11.9444 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 65 k=65 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0261 +0.1245 +0.2099 0 -0.0664 +0.1239 -0.5361 (Winner-Loser) -0.0925 (t-stat) -10.2313 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 65 k=130 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0281 +0.1001 +0.2806 0 -0.0300 +0.0805 -0.3720 (Winner-Loser) -0.0581 (t-stat) -7.9809 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 130 k=25 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0343 +0.1926 +0.1782 0 -0.0619 +0.2285 -0.2708 (Winner-Loser) -0.0962 (t-stat) -6.0404 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 130 k=35 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0355 +0.1612 +0.2199 0 -0.0547 +0.1824 -0.3001 (Winner-Loser) -0.0902 (t-stat) -6.8512 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 130 k=41 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0387 +0.1422 +0.2723 0 -0.0479 +0.1590 -0.3015 (Winner-Loser) -0.0867 (t-stat) -7.4475 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 130 k=65 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0415 +0.1100 +0.3768 0 -0.0354 +0.1160 -0.3050 (Winner-Loser) -0.0768 (t-stat) -8.4897 (p-value) +0.0000 ============================================ ============================================ Table II: From Rouwenhorst 199802 Journal Of Finance p 272 j= 130 k=130 As in Rouwenhorst, Percent returns are Monthly. e.g. 0.01 == 1%/month Prior Return Decile Average Return(m) Standard Deviation(v) (m/v) Note: winner = 0 1 +0.0629 +0.0921 +0.6828 0 +0.0025 +0.0551 +0.0450 (Winner-Loser) -0.0604 (t-stat) -8.8433 (p-value) +0.0000 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:130, k:130 Buy Qty Ticker Price on 2016-12-15 0.5000 NAK 1.62 0.5000 BVX 4.15 Sell Qty Ticker Price on 2016-12-15 0.5000 PLG 1.54 0.5000 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.5000 NAK 1.62 0.5000 SYRG 9.45 Sell Qty Ticker Price on 2016-12-15 0.5000 ASM 1.23 0.5000 GBR 2.15 Holding period is 25 d