============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m5_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(5)', '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 -0.0191 -0.0228 -0.0267 -0.0250 -0.0107 j= 35 -0.0227 -0.0344 -0.0371 -0.0312 -0.0127 j= 45 -0.0455 -0.0452 -0.0410 -0.0365 -0.0149 j= 65 -0.0566 -0.0497 -0.0496 -0.0386 -0.0124 j=130 -0.0178 -0.0144 -0.0135 -0.0119 0.0150 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0274 -0.0290 -0.0320 -0.0276 -0.0121 j= 35 -0.0331 -0.0412 -0.0427 -0.0343 -0.0140 j= 45 -0.0558 -0.0518 -0.0466 -0.0398 -0.0163 j= 65 -0.0664 -0.0566 -0.0554 -0.0419 -0.0136 j=130 -0.0289 -0.0230 -0.0209 -0.0160 0.0141 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 -0.0014 -0.0032 0.0031 0.0073 0.0101 j= 35 0.0059 0.0097 0.0139 0.0094 0.0123 j= 45 0.0247 0.0242 0.0232 0.0144 0.0128 j= 65 0.0356 0.0224 0.0226 0.0157 0.0191 j=130 0.0300 0.0271 0.0345 0.0441 0.0465 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0078 -0.0079 -0.0011 0.0037 0.0077 j= 35 -0.0003 0.0045 0.0087 0.0057 0.0101 j= 45 0.0179 0.0177 0.0172 0.0105 0.0106 j= 65 0.0256 0.0147 0.0157 0.0114 0.0167 j=130 0.0201 0.0194 0.0278 0.0396 0.0451 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.8582 -4.9125 -5.9966 -7.9082 -4.8500 j= 35 -4.0881 -6.8159 -7.9007 -8.8430 -5.6629 j= 45 -7.5340 -8.8421 -8.6319 -9.8336 -6.3319 j= 65 -9.0323 -9.0529 -9.7310 -9.9739 -6.0425 j=130 -2.8169 -2.5696 -2.7204 -3.5016 3.0895 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0001 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 0.0050 0.0104 0.0067 0.0005 0.0021 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.7724 -3.3933 -5.5761 -7.6946 -6.4610 j= 35 -4.0028 -7.4705 -9.3352 -9.2169 -8.2152 j= 45 -9.9436 -11.5982 -11.0394 -11.4130 -8.8051 j= 65 -10.4781 -9.6261 -10.3198 -10.8220 -8.3367 j=130 -5.0340 -5.2880 -6.4440 -9.5570 -13.0878 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0058 0.0008 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 0.1254 0.1110 0.1036 0.0717 0.0534 j= 35 0.1362 0.1141 0.1044 0.0772 0.0516 j= 45 0.1353 0.1116 0.1036 0.0792 0.0531 j= 65 0.1336 0.1153 0.1060 0.0798 0.0491 j=130 0.1464 0.1316 0.1215 0.0907 0.0419 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1122 0.0971 0.0922 0.0856 0.0698 j= 35 0.1108 0.1034 0.1027 0.0863 0.0669 j= 45 0.1184 0.1168 0.1121 0.0894 0.0678 j= 65 0.1449 0.1273 0.1205 0.0937 0.0711 j=130 0.1416 0.1252 0.1174 0.0957 0.0552 ============================================ ============================================ 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 -0.0014 +0.1122 -0.0122 0 -0.0191 +0.1254 -0.1524 (Winner-Loser) -0.0177 (t-stat) -2.2544 (p-value) +0.0244 ============================================ ============================================ 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 -0.0032 +0.0971 -0.0328 0 -0.0228 +0.1110 -0.2051 (Winner-Loser) -0.0196 (t-stat) -2.8077 (p-value) +0.0051 ============================================ ============================================ 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 +0.0031 +0.0922 +0.0333 0 -0.0267 +0.1036 -0.2574 (Winner-Loser) -0.0297 (t-stat) -4.5018 (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 +0.0073 +0.0856 +0.0855 0 -0.0250 +0.0717 -0.3488 (Winner-Loser) -0.0323 (t-stat) -5.9111 (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 +0.0101 +0.0698 +0.1446 0 -0.0107 +0.0534 -0.1999 (Winner-Loser) -0.0208 (t-stat) -4.4337 (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 +0.0059 +0.1108 +0.0531 0 -0.0227 +0.1362 -0.1669 (Winner-Loser) -0.0286 (t-stat) -3.4445 (p-value) +0.0006 ============================================ ============================================ 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 +0.0097 +0.1034 +0.0942 0 -0.0344 +0.1141 -0.3012 (Winner-Loser) -0.0441 (t-stat) -5.9878 (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 +0.0139 +0.1027 +0.1349 0 -0.0371 +0.1044 -0.3553 (Winner-Loser) -0.0510 (t-stat) -7.2224 (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 +0.0094 +0.0863 +0.1086 0 -0.0312 +0.0772 -0.4042 (Winner-Loser) -0.0406 (t-stat) -7.0720 (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 +0.0123 +0.0669 +0.1833 0 -0.0127 +0.0516 -0.2453 (Winner-Loser) -0.0249 (t-stat) -5.4554 (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 +0.0247 +0.1184 +0.2084 0 -0.0455 +0.1353 -0.3363 (Winner-Loser) -0.0702 (t-stat) -8.1599 (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 +0.0242 +0.1168 +0.2075 0 -0.0452 +0.1116 -0.4053 (Winner-Loser) -0.0694 (t-stat) -8.8843 (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 +0.0232 +0.1121 +0.2072 0 -0.0410 +0.1036 -0.3963 (Winner-Loser) -0.0643 (t-stat) -8.6390 (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 +0.0144 +0.0894 +0.1615 0 -0.0365 +0.0792 -0.4612 (Winner-Loser) -0.0510 (t-stat) -8.5018 (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 +0.0128 +0.0678 +0.1888 0 -0.0149 +0.0531 -0.2801 (Winner-Loser) -0.0277 (t-stat) -5.8538 (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 +0.0356 +0.1449 +0.2457 0 -0.0566 +0.1336 -0.4239 (Winner-Loser) -0.0922 (t-stat) -9.5557 (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 +0.0224 +0.1273 +0.1758 0 -0.0497 +0.1153 -0.4310 (Winner-Loser) -0.0721 (t-stat) -8.4647 (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 +0.0226 +0.1205 +0.1873 0 -0.0496 +0.1060 -0.4677 (Winner-Loser) -0.0721 (t-stat) -9.0015 (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 +0.0157 +0.0937 +0.1671 0 -0.0386 +0.0798 -0.4836 (Winner-Loser) -0.0543 (t-stat) -8.5569 (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 +0.0191 +0.0711 +0.2688 0 -0.0124 +0.0491 -0.2529 (Winner-Loser) -0.0315 (t-stat) -6.4451 (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 +0.0300 +0.1416 +0.2116 0 -0.0178 +0.1464 -0.1214 (Winner-Loser) -0.0477 (t-stat) -4.3968 (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 +0.0271 +0.1252 +0.2165 0 -0.0144 +0.1316 -0.1092 (Winner-Loser) -0.0415 (t-stat) -4.2225 (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 +0.0345 +0.1174 +0.2941 0 -0.0135 +0.1215 -0.1114 (Winner-Loser) -0.0481 (t-stat) -5.2155 (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 +0.0441 +0.0957 +0.4609 0 -0.0119 +0.0907 -0.1310 (Winner-Loser) -0.0560 (t-stat) -7.5000 (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 +0.0465 +0.0552 +0.8421 0 +0.0150 +0.0419 +0.3576 (Winner-Loser) -0.0315 (t-stat) -7.1485 (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 0.2000 NAK 1.62 0.2000 BVX 4.15 0.2000 BGI 1.07 0.2000 SEB 4116.84 0.2000 CCF 88.70 Sell Qty Ticker Price on 2016-12-15 0.2000 RIC 6.00 0.2000 NG 3.96 0.2000 ASM 1.23 0.2000 PLG 1.54 0.2000 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.2000 NAK 1.62 0.2000 SYRG 9.45 0.2000 CCF 88.70 0.2000 SEB 4116.84 0.2000 GIG 2.65 Sell Qty Ticker Price on 2016-12-15 0.2000 GORO 3.82 0.2000 BGI 1.07 0.2000 PLG 1.54 0.2000 ASM 1.23 0.2000 GBR 2.15 Holding period is 25 d