============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m3_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(3)', '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 -0.0280 -0.0344 -0.0397 -0.0369 -0.0205 j= 35 -0.0363 -0.0499 -0.0525 -0.0405 -0.0198 j= 45 -0.0596 -0.0621 -0.0575 -0.0496 -0.0251 j= 65 -0.0708 -0.0710 -0.0734 -0.0542 -0.0171 j=130 -0.0496 -0.0445 -0.0409 -0.0272 0.0047 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0423 -0.0454 -0.0491 -0.0410 -0.0224 j= 35 -0.0559 -0.0619 -0.0622 -0.0457 -0.0219 j= 45 -0.0785 -0.0733 -0.0669 -0.0546 -0.0272 j= 65 -0.0895 -0.0842 -0.0839 -0.0599 -0.0193 j=130 -0.0698 -0.0581 -0.0516 -0.0327 0.0035 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 0.0048 -0.0003 0.0053 0.0113 0.0089 j= 35 0.0018 0.0061 0.0147 0.0142 0.0134 j= 45 0.0289 0.0272 0.0261 0.0182 0.0176 j= 65 0.0499 0.0317 0.0317 0.0198 0.0204 j=130 0.0369 0.0354 0.0396 0.0410 0.0552 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0045 -0.0067 -0.0010 0.0063 0.0054 j= 35 -0.0074 -0.0010 0.0075 0.0096 0.0104 j= 45 0.0180 0.0177 0.0178 0.0127 0.0144 j= 65 0.0359 0.0215 0.0225 0.0135 0.0166 j=130 0.0234 0.0253 0.0318 0.0358 0.0527 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.1975 -5.4621 -6.6614 -9.0662 -7.1410 j= 35 -4.8288 -7.5829 -8.6368 -8.8203 -6.6999 j= 45 -7.4422 -9.4278 -9.3812 -10.6982 -8.2155 j= 65 -8.3922 -9.6318 -10.8870 -10.7111 -5.8852 j=130 -5.2688 -5.5112 -5.7686 -5.6125 -0.5412 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 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 0.5886 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.5764 -4.2592 -6.0182 -8.5827 -6.6995 j= 35 -3.7803 -6.7289 -8.7148 -9.2276 -8.3728 j= 45 -8.8343 -10.9360 -10.7465 -11.5392 -9.7096 j= 65 -10.4629 -10.8510 -11.8412 -10.9401 -7.4158 j=130 -7.0375 -8.2680 -9.2702 -10.3339 -14.3923 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0004 0.0000 0.0000 0.0000 0.0000 j= 35 0.0002 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 0.1612 0.1452 0.1347 0.0894 0.0619 j= 35 0.1750 0.1458 0.1329 0.0991 0.0634 j= 45 0.1775 0.1421 0.1316 0.0972 0.0636 j= 65 0.1795 0.1536 0.1389 0.1028 0.0648 j=130 0.1906 0.1611 0.1430 0.1045 0.0502 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1364 0.1126 0.1125 0.1021 0.0857 j= 35 0.1337 0.1202 0.1224 0.0968 0.0788 j= 45 0.1516 0.1438 0.1338 0.1058 0.0821 j= 65 0.1754 0.1502 0.1422 0.1140 0.0891 j=130 0.1688 0.1456 0.1289 0.1029 0.0733 ============================================ ============================================ 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 +0.0048 +0.1364 +0.0355 0 -0.0280 +0.1612 -0.1739 (Winner-Loser) -0.0329 (t-stat) -3.3272 (p-value) +0.0009 ============================================ ============================================ 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 -0.0003 +0.1126 -0.0029 0 -0.0344 +0.1452 -0.2368 (Winner-Loser) -0.0341 (t-stat) -3.9182 (p-value) +0.0001 ============================================ ============================================ 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 +0.0053 +0.1125 +0.0468 0 -0.0397 +0.1347 -0.2947 (Winner-Loser) -0.0450 (t-stat) -5.3811 (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 +0.0113 +0.1021 +0.1112 0 -0.0369 +0.0894 -0.4124 (Winner-Loser) -0.0482 (t-stat) -7.2560 (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 +0.0089 +0.0857 +0.1038 0 -0.0205 +0.0619 -0.3312 (Winner-Loser) -0.0294 (t-stat) -5.2168 (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 +0.0018 +0.1337 +0.0133 0 -0.0363 +0.1750 -0.2074 (Winner-Loser) -0.0381 (t-stat) -3.6563 (p-value) +0.0003 ============================================ ============================================ 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 +0.0061 +0.1202 +0.0504 0 -0.0499 +0.1458 -0.3424 (Winner-Loser) -0.0560 (t-stat) -6.1929 (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 +0.0147 +0.1224 +0.1204 0 -0.0525 +0.1329 -0.3950 (Winner-Loser) -0.0672 (t-stat) -7.7266 (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 +0.0142 +0.0968 +0.1467 0 -0.0405 +0.0991 -0.4089 (Winner-Loser) -0.0547 (t-stat) -7.9686 (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 +0.0134 +0.0788 +0.1699 0 -0.0198 +0.0634 -0.3125 (Winner-Loser) -0.0332 (t-stat) -6.0715 (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 +0.0289 +0.1516 +0.1905 0 -0.0596 +0.1775 -0.3357 (Winner-Loser) -0.0885 (t-stat) -7.9228 (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 +0.0272 +0.1438 +0.1895 0 -0.0621 +0.1421 -0.4369 (Winner-Loser) -0.0893 (t-stat) -9.1295 (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 +0.0261 +0.1338 +0.1953 0 -0.0575 +0.1316 -0.4366 (Winner-Loser) -0.0836 (t-stat) -9.1388 (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 +0.0182 +0.1058 +0.1716 0 -0.0496 +0.0972 -0.5096 (Winner-Loser) -0.0677 (t-stat) -9.3875 (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 +0.0176 +0.0821 +0.2147 0 -0.0251 +0.0636 -0.3951 (Winner-Loser) -0.0428 (t-stat) -7.5037 (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 +0.0499 +0.1754 +0.2844 0 -0.0708 +0.1795 -0.3942 (Winner-Loser) -0.1206 (t-stat) -9.8158 (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 +0.0317 +0.1502 +0.2113 0 -0.0710 +0.1536 -0.4621 (Winner-Loser) -0.1027 (t-stat) -9.6467 (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 +0.0317 +0.1422 +0.2230 0 -0.0734 +0.1389 -0.5282 (Winner-Loser) -0.1051 (t-stat) -10.5855 (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 +0.0198 +0.1140 +0.1736 0 -0.0542 +0.1028 -0.5267 (Winner-Loser) -0.0740 (t-stat) -9.3521 (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 +0.0204 +0.0891 +0.2292 0 -0.0171 +0.0648 -0.2642 (Winner-Loser) -0.0375 (t-stat) -6.0175 (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 +0.0369 +0.1688 +0.2189 0 -0.0496 +0.1906 -0.2602 (Winner-Loser) -0.0865 (t-stat) -6.3776 (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 +0.0354 +0.1456 +0.2428 0 -0.0445 +0.1611 -0.2760 (Winner-Loser) -0.0798 (t-stat) -6.7973 (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 +0.0396 +0.1289 +0.3068 0 -0.0409 +0.1430 -0.2858 (Winner-Loser) -0.0804 (t-stat) -7.6569 (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 +0.0410 +0.1029 +0.3985 0 -0.0272 +0.1045 -0.2605 (Winner-Loser) -0.0682 (t-stat) -8.2178 (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 +0.0552 +0.0733 +0.7524 0 +0.0047 +0.0502 +0.0938 (Winner-Loser) -0.0505 (t-stat) -8.9245 (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 0.3333 NAK 1.62 0.3333 BVX 4.15 0.3333 BGI 1.07 Sell Qty Ticker Price on 2016-12-15 0.3333 ASM 1.23 0.3333 PLG 1.54 0.3333 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.3333 NAK 1.62 0.3333 SYRG 9.45 0.3333 CCF 88.70 Sell Qty Ticker Price on 2016-12-15 0.3333 PLG 1.54 0.3333 ASM 1.23 0.3333 GBR 2.15 Holding period is 25 d