============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m4_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(4)', '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 -0.0246 -0.0281 -0.0337 -0.0304 -0.0147 j= 35 -0.0317 -0.0446 -0.0470 -0.0380 -0.0168 j= 45 -0.0500 -0.0509 -0.0471 -0.0408 -0.0196 j= 65 -0.0654 -0.0606 -0.0607 -0.0446 -0.0148 j=130 -0.0262 -0.0237 -0.0231 -0.0173 0.0112 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0353 -0.0363 -0.0404 -0.0334 -0.0163 j= 35 -0.0448 -0.0527 -0.0537 -0.0416 -0.0183 j= 45 -0.0635 -0.0589 -0.0537 -0.0446 -0.0212 j= 65 -0.0789 -0.0699 -0.0684 -0.0487 -0.0164 j=130 -0.0401 -0.0340 -0.0316 -0.0221 0.0102 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 -0.0001 -0.0023 0.0042 0.0104 0.0109 j= 35 0.0064 0.0102 0.0152 0.0119 0.0126 j= 45 0.0262 0.0262 0.0246 0.0158 0.0142 j= 65 0.0374 0.0220 0.0214 0.0147 0.0179 j=130 0.0281 0.0267 0.0324 0.0391 0.0496 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0072 -0.0073 -0.0005 0.0063 0.0081 j= 35 -0.0010 0.0042 0.0094 0.0079 0.0101 j= 45 0.0180 0.0187 0.0179 0.0114 0.0116 j= 65 0.0261 0.0134 0.0136 0.0098 0.0151 j=130 0.0171 0.0184 0.0255 0.0344 0.0478 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.2574 -5.2115 -6.6513 -8.7704 -5.8910 j= 35 -4.9927 -8.0478 -9.1287 -9.8465 -6.7282 j= 45 -7.3001 -9.0899 -9.0719 -10.1947 -7.6321 j= 65 -8.9499 -9.6099 -10.4592 -10.3977 -6.0633 j=130 -3.5154 -3.5794 -3.9028 -4.2281 1.5961 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 0.0005 0.0004 0.0001 0.0000 0.1111 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.3264 -3.9578 -6.2914 -8.6612 -6.8918 j= 35 -4.7288 -8.2912 -10.0789 -10.1554 -8.5059 j= 45 -9.2321 -11.2823 -11.0290 -11.3170 -9.3532 j= 65 -10.3840 -10.0550 -10.5609 -10.3851 -7.8332 j=130 -5.3861 -6.1098 -7.1971 -9.1942 -14.4221 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0010 0.0001 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 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1413 0.1265 0.1155 0.0771 0.0567 j= 35 0.1490 0.1229 0.1127 0.0832 0.0547 j= 45 0.1532 0.1217 0.1123 0.0849 0.0553 j= 65 0.1553 0.1318 0.1201 0.0879 0.0560 j=130 0.1619 0.1419 0.1289 0.0977 0.0448 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1187 0.1008 0.0975 0.0925 0.0767 j= 35 0.1209 0.1108 0.1094 0.0892 0.0721 j= 45 0.1309 0.1265 0.1187 0.0946 0.0734 j= 65 0.1551 0.1357 0.1293 0.1009 0.0762 j=130 0.1505 0.1308 0.1195 0.0974 0.0618 ============================================ ============================================ 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 -0.0001 +0.1187 -0.0006 0 -0.0246 +0.1413 -0.1742 (Winner-Loser) -0.0245 (t-stat) -2.8419 (p-value) +0.0046 ============================================ ============================================ 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 -0.0023 +0.1008 -0.0227 0 -0.0281 +0.1265 -0.2222 (Winner-Loser) -0.0258 (t-stat) -3.3757 (p-value) +0.0008 ============================================ ============================================ 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 +0.0042 +0.0975 +0.0426 0 -0.0337 +0.1155 -0.2915 (Winner-Loser) -0.0378 (t-stat) -5.2562 (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 +0.0104 +0.0925 +0.1128 0 -0.0304 +0.0771 -0.3940 (Winner-Loser) -0.0408 (t-stat) -6.9217 (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 +0.0109 +0.0767 +0.1417 0 -0.0147 +0.0567 -0.2595 (Winner-Loser) -0.0256 (t-stat) -5.0323 (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 +0.0064 +0.1209 +0.0533 0 -0.0317 +0.1490 -0.2125 (Winner-Loser) -0.0381 (t-stat) -4.1982 (p-value) +0.0000 ============================================ ============================================ 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 +0.0102 +0.1108 +0.0919 0 -0.0446 +0.1229 -0.3628 (Winner-Loser) -0.0548 (t-stat) -6.9189 (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 +0.0152 +0.1094 +0.1390 0 -0.0470 +0.1127 -0.4170 (Winner-Loser) -0.0622 (t-stat) -8.2231 (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 +0.0119 +0.0892 +0.1333 0 -0.0380 +0.0832 -0.4568 (Winner-Loser) -0.0499 (t-stat) -8.2503 (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 +0.0126 +0.0721 +0.1747 0 -0.0168 +0.0547 -0.3070 (Winner-Loser) -0.0294 (t-stat) -6.0051 (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 +0.0262 +0.1309 +0.2001 0 -0.0500 +0.1532 -0.3267 (Winner-Loser) -0.0762 (t-stat) -7.9084 (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 +0.0262 +0.1265 +0.2073 0 -0.0509 +0.1217 -0.4185 (Winner-Loser) -0.0772 (t-stat) -9.0822 (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 +0.0246 +0.1187 +0.2070 0 -0.0471 +0.1123 -0.4193 (Winner-Loser) -0.0716 (t-stat) -8.9960 (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 +0.0158 +0.0946 +0.1672 0 -0.0408 +0.0849 -0.4812 (Winner-Loser) -0.0567 (t-stat) -8.8826 (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 +0.0142 +0.0734 +0.1932 0 -0.0196 +0.0553 -0.3551 (Winner-Loser) -0.0338 (t-stat) -6.7047 (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 +0.0374 +0.1551 +0.2414 0 -0.0654 +0.1553 -0.4207 (Winner-Loser) -0.1028 (t-stat) -9.5634 (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 +0.0220 +0.1357 +0.1618 0 -0.0606 +0.1318 -0.4600 (Winner-Loser) -0.0826 (t-stat) -8.8070 (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 +0.0214 +0.1293 +0.1654 0 -0.0607 +0.1201 -0.5056 (Winner-Loser) -0.0821 (t-stat) -9.3189 (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 +0.0147 +0.1009 +0.1459 0 -0.0446 +0.0879 -0.5076 (Winner-Loser) -0.0593 (t-stat) -8.6108 (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 +0.0179 +0.0762 +0.2353 0 -0.0148 +0.0560 -0.2643 (Winner-Loser) -0.0327 (t-stat) -6.1146 (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 +0.0281 +0.1505 +0.1868 0 -0.0262 +0.1619 -0.1619 (Winner-Loser) -0.0543 (t-stat) -4.6103 (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 +0.0267 +0.1308 +0.2043 0 -0.0237 +0.1419 -0.1670 (Winner-Loser) -0.0504 (t-stat) -4.8307 (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 +0.0324 +0.1195 +0.2710 0 -0.0231 +0.1289 -0.1793 (Winner-Loser) -0.0555 (t-stat) -5.7876 (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 +0.0391 +0.0974 +0.4012 0 -0.0173 +0.0977 -0.1773 (Winner-Loser) -0.0564 (t-stat) -7.2211 (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 +0.0496 +0.0618 +0.8023 0 +0.0112 +0.0448 +0.2491 (Winner-Loser) -0.0384 (t-stat) -7.9153 (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 0.2500 NAK 1.62 0.2500 BVX 4.15 0.2500 BGI 1.07 0.2500 SEB 4116.84 Sell Qty Ticker Price on 2016-12-15 0.2500 NG 3.96 0.2500 ASM 1.23 0.2500 PLG 1.54 0.2500 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.2500 NAK 1.62 0.2500 SYRG 9.45 0.2500 CCF 88.70 0.2500 SEB 4116.84 Sell Qty Ticker Price on 2016-12-15 0.2500 BGI 1.07 0.2500 PLG 1.54 0.2500 ASM 1.23 0.2500 GBR 2.15 Holding period is 25 d