============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m7_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(7)', '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 -0.0153 -0.0184 -0.0203 -0.0191 -0.0032 j= 35 -0.0165 -0.0255 -0.0264 -0.0228 -0.0060 j= 45 -0.0315 -0.0366 -0.0337 -0.0270 -0.0070 j= 65 -0.0441 -0.0359 -0.0333 -0.0290 -0.0068 j=130 -0.0102 -0.0053 -0.0047 -0.0044 0.0148 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0217 -0.0233 -0.0245 -0.0214 -0.0045 j= 35 -0.0241 -0.0307 -0.0308 -0.0255 -0.0072 j= 45 -0.0396 -0.0420 -0.0384 -0.0299 -0.0082 j= 65 -0.0510 -0.0410 -0.0379 -0.0318 -0.0077 j=130 -0.0185 -0.0116 -0.0102 -0.0073 0.0140 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 -0.0053 -0.0058 -0.0003 0.0057 0.0083 j= 35 0.0007 0.0052 0.0090 0.0069 0.0105 j= 45 0.0179 0.0187 0.0181 0.0124 0.0110 j= 65 0.0225 0.0140 0.0146 0.0108 0.0166 j=130 0.0275 0.0241 0.0312 0.0424 0.0429 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0105 -0.0097 -0.0038 0.0028 0.0065 j= 35 -0.0039 0.0010 0.0050 0.0038 0.0088 j= 45 0.0127 0.0136 0.0134 0.0091 0.0093 j= 65 0.0151 0.0081 0.0093 0.0075 0.0148 j=130 0.0193 0.0173 0.0253 0.0387 0.0417 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.6128 -4.5797 -5.2631 -6.6913 -2.3698 j= 35 -3.5591 -5.9258 -6.5134 -7.1452 -3.4938 j= 45 -5.9679 -7.9639 -7.7464 -7.8237 -3.9949 j= 65 -8.3031 -7.6125 -7.4141 -8.2746 -4.5942 j=130 -2.1182 -1.5256 -1.6119 -2.4209 3.1098 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0003 0.0000 0.0000 0.0000 0.0181 j= 35 0.0004 0.0000 0.0000 0.0000 0.0005 j= 45 0.0000 0.0000 0.0000 0.0000 0.0001 j= 65 0.0000 0.0000 0.0000 0.0000 0.0000 j=130 0.0345 0.1276 0.1075 0.0158 0.0020 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -1.8994 -2.6998 -4.5683 -7.1943 -4.3440 j= 35 -3.0590 -6.6707 -8.2417 -8.3003 -6.6784 j= 45 -8.6847 -11.7523 -11.2465 -10.8200 -7.4051 j= 65 -9.3370 -8.0201 -8.2667 -9.8449 -7.9502 j=130 -4.6704 -4.1785 -5.5408 -9.5596 -13.5660 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0581 0.0072 0.0000 0.0000 0.0000 j= 35 0.0024 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 0.1109 0.0989 0.0925 0.0669 0.0509 j= 35 0.1194 0.1001 0.0929 0.0722 0.0488 j= 45 0.1224 0.1016 0.0961 0.0756 0.0489 j= 65 0.1141 0.1007 0.0958 0.0739 0.0431 j=130 0.1282 0.1130 0.1057 0.0771 0.0407 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1011 0.0878 0.0837 0.0767 0.0609 j= 35 0.0965 0.0923 0.0910 0.0786 0.0587 j= 45 0.1032 0.1026 0.0987 0.0816 0.0589 j= 65 0.1234 0.1103 0.1051 0.0818 0.0599 j=130 0.1282 0.1174 0.1090 0.0866 0.0490 ============================================ ============================================ 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 -0.0053 +0.1011 -0.0526 0 -0.0153 +0.1109 -0.1376 (Winner-Loser) -0.0100 (t-stat) -1.4180 (p-value) +0.1565 ============================================ ============================================ 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 -0.0058 +0.0878 -0.0665 0 -0.0184 +0.0989 -0.1864 (Winner-Loser) -0.0126 (t-stat) -2.0123 (p-value) +0.0445 ============================================ ============================================ 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 -0.0003 +0.0837 -0.0036 0 -0.0203 +0.0925 -0.2189 (Winner-Loser) -0.0200 (t-stat) -3.3581 (p-value) +0.0008 ============================================ ============================================ 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 +0.0057 +0.0767 +0.0739 0 -0.0191 +0.0669 -0.2854 (Winner-Loser) -0.0248 (t-stat) -4.9685 (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 +0.0083 +0.0609 +0.1365 0 -0.0032 +0.0509 -0.0622 (Winner-Loser) -0.0115 (t-stat) -2.7140 (p-value) +0.0068 ============================================ ============================================ 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 +0.0007 +0.0965 +0.0074 0 -0.0165 +0.1194 -0.1380 (Winner-Loser) -0.0172 (t-stat) -2.3693 (p-value) +0.0180 ============================================ ============================================ 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 +0.0052 +0.0923 +0.0560 0 -0.0255 +0.1001 -0.2550 (Winner-Loser) -0.0307 (t-stat) -4.7124 (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 +0.0090 +0.0910 +0.0989 0 -0.0264 +0.0929 -0.2844 (Winner-Loser) -0.0354 (t-stat) -5.6553 (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 +0.0069 +0.0786 +0.0874 0 -0.0228 +0.0722 -0.3162 (Winner-Loser) -0.0297 (t-stat) -5.6137 (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 +0.0105 +0.0587 +0.1791 0 -0.0060 +0.0488 -0.1221 (Winner-Loser) -0.0165 (t-stat) -3.9899 (p-value) +0.0001 ============================================ ============================================ 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 +0.0179 +0.1032 +0.1735 0 -0.0315 +0.1224 -0.2574 (Winner-Loser) -0.0494 (t-stat) -6.4524 (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 +0.0187 +0.1026 +0.1824 0 -0.0366 +0.1016 -0.3604 (Winner-Loser) -0.0553 (t-stat) -7.9191 (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 +0.0181 +0.0987 +0.1832 0 -0.0337 +0.0961 -0.3507 (Winner-Loser) -0.0518 (t-stat) -7.7142 (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 +0.0124 +0.0816 +0.1516 0 -0.0270 +0.0756 -0.3569 (Winner-Loser) -0.0393 (t-stat) -7.0476 (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 +0.0110 +0.0589 +0.1875 0 -0.0070 +0.0489 -0.1438 (Winner-Loser) -0.0181 (t-stat) -4.3017 (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 +0.0225 +0.1234 +0.1824 0 -0.0441 +0.1141 -0.3862 (Winner-Loser) -0.0666 (t-stat) -8.0891 (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 +0.0140 +0.1103 +0.1270 0 -0.0359 +0.1007 -0.3564 (Winner-Loser) -0.0499 (t-stat) -6.7397 (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 +0.0146 +0.1051 +0.1390 0 -0.0333 +0.0958 -0.3475 (Winner-Loser) -0.0479 (t-stat) -6.7473 (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 +0.0108 +0.0818 +0.1317 0 -0.0290 +0.0739 -0.3922 (Winner-Loser) -0.0398 (t-stat) -7.0027 (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 +0.0166 +0.0599 +0.2772 0 -0.0068 +0.0431 -0.1573 (Winner-Loser) -0.0234 (t-stat) -5.5970 (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 +0.0275 +0.1282 +0.2144 0 -0.0102 +0.1282 -0.0793 (Winner-Loser) -0.0376 (t-stat) -3.8966 (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 +0.0241 +0.1174 +0.2055 0 -0.0053 +0.1130 -0.0465 (Winner-Loser) -0.0294 (t-stat) -3.3341 (p-value) +0.0009 ============================================ ============================================ 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 +0.0312 +0.1090 +0.2859 0 -0.0047 +0.1057 -0.0441 (Winner-Loser) -0.0358 (t-stat) -4.3234 (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 +0.0424 +0.0866 +0.4900 0 -0.0044 +0.0771 -0.0571 (Winner-Loser) -0.0468 (t-stat) -7.1351 (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 +0.0429 +0.0490 +0.8757 0 +0.0148 +0.0407 +0.3638 (Winner-Loser) -0.0281 (t-stat) -6.9298 (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 0.1429 NAK 1.62 0.1429 BVX 4.15 0.1429 BGI 1.07 0.1429 SEB 4116.84 0.1429 CCF 88.70 0.1429 AST 4.40 0.1429 BTX 3.57 Sell Qty Ticker Price on 2016-12-15 0.1429 NOG 3.05 0.1429 TXMD 5.54 0.1429 RIC 6.00 0.1429 NG 3.96 0.1429 ASM 1.23 0.1429 PLG 1.54 0.1429 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.1429 NAK 1.62 0.1429 SYRG 9.45 0.1429 CCF 88.70 0.1429 SEB 4116.84 0.1429 GIG 2.65 0.1429 PRK 119.22 0.1429 STRP 29.22 Sell Qty Ticker Price on 2016-12-15 0.1429 AXU 1.25 0.1429 RIC 6.00 0.1429 GORO 3.82 0.1429 BGI 1.07 0.1429 PLG 1.54 0.1429 ASM 1.23 0.1429 GBR 2.15 Holding period is 25 d