============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m6_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(6)', '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 -0.0155 -0.0198 -0.0228 -0.0216 -0.0064 j= 35 -0.0185 -0.0288 -0.0300 -0.0261 -0.0090 j= 45 -0.0383 -0.0407 -0.0373 -0.0315 -0.0109 j= 65 -0.0497 -0.0413 -0.0396 -0.0334 -0.0094 j=130 -0.0114 -0.0066 -0.0071 -0.0071 0.0151 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0229 -0.0253 -0.0274 -0.0240 -0.0077 j= 35 -0.0273 -0.0346 -0.0349 -0.0288 -0.0103 j= 45 -0.0471 -0.0466 -0.0423 -0.0346 -0.0121 j= 65 -0.0573 -0.0468 -0.0445 -0.0363 -0.0104 j=130 -0.0208 -0.0138 -0.0133 -0.0105 0.0143 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 -0.0038 -0.0050 0.0002 0.0069 0.0087 j= 35 0.0005 0.0060 0.0102 0.0076 0.0112 j= 45 0.0230 0.0227 0.0220 0.0145 0.0120 j= 65 0.0295 0.0199 0.0198 0.0140 0.0182 j=130 0.0289 0.0259 0.0332 0.0437 0.0445 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0095 -0.0092 -0.0035 0.0037 0.0066 j= 35 -0.0049 0.0014 0.0057 0.0043 0.0093 j= 45 0.0171 0.0169 0.0167 0.0110 0.0102 j= 65 0.0210 0.0129 0.0136 0.0102 0.0161 j=130 0.0199 0.0187 0.0270 0.0395 0.0432 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.4570 -4.6663 -5.6045 -7.2156 -3.4909 j= 35 -3.6827 -6.2532 -6.9531 -7.9253 -4.5684 j= 45 -6.8576 -8.4583 -8.2358 -8.8297 -5.2334 j= 65 -8.9397 -8.4030 -8.5061 -9.2976 -5.3990 j=130 -2.1630 -1.6265 -1.9148 -2.8345 3.2005 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0006 0.0000 0.0000 0.0000 0.0005 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 0.0309 0.1043 0.0559 0.0047 0.0015 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.0136 -2.8666 -4.7652 -7.4149 -5.2239 j= 35 -3.0404 -6.8239 -8.5509 -8.7423 -7.3531 j= 45 -9.6667 -11.9025 -11.4098 -11.2394 -8.2579 j= 65 -10.1361 -9.0557 -9.4227 -10.6742 -8.3300 j=130 -4.6215 -4.3942 -5.8974 -9.5111 -13.5267 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0446 0.0043 0.0000 0.0000 0.0000 j= 35 0.0025 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 0.1181 0.1035 0.0963 0.0691 0.0516 j= 35 0.1271 0.1057 0.0977 0.0732 0.0495 j= 45 0.1267 0.1057 0.0992 0.0770 0.0504 j= 65 0.1187 0.1039 0.0981 0.0747 0.0451 j=130 0.1361 0.1209 0.1120 0.0824 0.0408 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1054 0.0915 0.0867 0.0808 0.0644 j= 35 0.1036 0.0973 0.0960 0.0819 0.0622 j= 45 0.1100 0.1091 0.1046 0.0845 0.0622 j= 65 0.1334 0.1208 0.1146 0.0888 0.0655 j=130 0.1343 0.1201 0.1131 0.0912 0.0518 ============================================ ============================================ 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 -0.0038 +0.1054 -0.0364 0 -0.0155 +0.1181 -0.1316 (Winner-Loser) -0.0117 (t-stat) -1.5801 (p-value) +0.1144 ============================================ ============================================ 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 -0.0050 +0.0915 -0.0547 0 -0.0198 +0.1035 -0.1916 (Winner-Loser) -0.0148 (t-stat) -2.2691 (p-value) +0.0235 ============================================ ============================================ 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 +0.0002 +0.0867 +0.0022 0 -0.0228 +0.0963 -0.2366 (Winner-Loser) -0.0230 (t-stat) -3.7238 (p-value) +0.0002 ============================================ ============================================ 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 +0.0069 +0.0808 +0.0856 0 -0.0216 +0.0691 -0.3128 (Winner-Loser) -0.0285 (t-stat) -5.4804 (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 +0.0087 +0.0644 +0.1343 0 -0.0064 +0.0516 -0.1241 (Winner-Loser) -0.0150 (t-stat) -3.4223 (p-value) +0.0007 ============================================ ============================================ 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 +0.0005 +0.1036 +0.0048 0 -0.0185 +0.1271 -0.1456 (Winner-Loser) -0.0190 (t-stat) -2.4496 (p-value) +0.0145 ============================================ ============================================ 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 +0.0060 +0.0973 +0.0612 0 -0.0288 +0.1057 -0.2722 (Winner-Loser) -0.0347 (t-stat) -5.0535 (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 +0.0102 +0.0960 +0.1065 0 -0.0300 +0.0977 -0.3072 (Winner-Loser) -0.0402 (t-stat) -6.0985 (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 +0.0076 +0.0819 +0.0932 0 -0.0261 +0.0732 -0.3563 (Winner-Loser) -0.0337 (t-stat) -6.1911 (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 +0.0112 +0.0622 +0.1793 0 -0.0090 +0.0495 -0.1825 (Winner-Loser) -0.0202 (t-stat) -4.6952 (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 +0.0230 +0.1100 +0.2089 0 -0.0383 +0.1267 -0.3020 (Winner-Loser) -0.0613 (t-stat) -7.6297 (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 +0.0227 +0.1091 +0.2079 0 -0.0407 +0.1057 -0.3856 (Winner-Loser) -0.0634 (t-stat) -8.6291 (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 +0.0220 +0.1046 +0.2101 0 -0.0373 +0.0992 -0.3758 (Winner-Loser) -0.0592 (t-stat) -8.4342 (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 +0.0145 +0.0845 +0.1718 0 -0.0315 +0.0770 -0.4090 (Winner-Loser) -0.0460 (t-stat) -8.0205 (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 +0.0120 +0.0622 +0.1936 0 -0.0109 +0.0504 -0.2153 (Winner-Loser) -0.0229 (t-stat) -5.2115 (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 +0.0295 +0.1334 +0.2213 0 -0.0497 +0.1187 -0.4187 (Winner-Loser) -0.0792 (t-stat) -9.0601 (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 +0.0199 +0.1208 +0.1646 0 -0.0413 +0.1039 -0.3972 (Winner-Loser) -0.0611 (t-stat) -7.7437 (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 +0.0198 +0.1146 +0.1730 0 -0.0396 +0.0981 -0.4041 (Winner-Loser) -0.0595 (t-stat) -7.8940 (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 +0.0140 +0.0888 +0.1579 0 -0.0334 +0.0747 -0.4466 (Winner-Loser) -0.0474 (t-stat) -7.9278 (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 +0.0182 +0.0655 +0.2776 0 -0.0094 +0.0451 -0.2084 (Winner-Loser) -0.0276 (t-stat) -6.1260 (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 +0.0289 +0.1343 +0.2149 0 -0.0114 +0.1361 -0.0835 (Winner-Loser) -0.0402 (t-stat) -3.9464 (p-value) +0.0001 ============================================ ============================================ 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 +0.0259 +0.1201 +0.2153 0 -0.0066 +0.1209 -0.0543 (Winner-Loser) -0.0324 (t-stat) -3.5184 (p-value) +0.0005 ============================================ ============================================ 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 +0.0332 +0.1131 +0.2938 0 -0.0071 +0.1120 -0.0634 (Winner-Loser) -0.0403 (t-stat) -4.6436 (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 +0.0437 +0.0912 +0.4793 0 -0.0071 +0.0824 -0.0860 (Winner-Loser) -0.0508 (t-stat) -7.2989 (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 +0.0445 +0.0518 +0.8578 0 +0.0151 +0.0408 +0.3694 (Winner-Loser) -0.0294 (t-stat) -7.0034 (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 0.1667 NAK 1.62 0.1667 BVX 4.15 0.1667 BGI 1.07 0.1667 SEB 4116.84 0.1667 CCF 88.70 0.1667 AST 4.40 Sell Qty Ticker Price on 2016-12-15 0.1667 TXMD 5.54 0.1667 RIC 6.00 0.1667 NG 3.96 0.1667 ASM 1.23 0.1667 PLG 1.54 0.1667 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.1667 NAK 1.62 0.1667 SYRG 9.45 0.1667 CCF 88.70 0.1667 SEB 4116.84 0.1667 GIG 2.65 0.1667 PRK 119.22 Sell Qty Ticker Price on 2016-12-15 0.1667 RIC 6.00 0.1667 GORO 3.82 0.1667 BGI 1.07 0.1667 PLG 1.54 0.1667 ASM 1.23 0.1667 GBR 2.15 Holding period is 25 d