============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m8_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(8)', '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 -0.0120 -0.0162 -0.0174 -0.0172 -0.0017 j= 35 -0.0122 -0.0215 -0.0228 -0.0193 -0.0032 j= 45 -0.0236 -0.0307 -0.0278 -0.0224 -0.0037 j= 65 -0.0380 -0.0315 -0.0290 -0.0254 -0.0050 j=130 -0.0092 -0.0045 -0.0044 -0.0041 0.0135 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0178 -0.0207 -0.0213 -0.0193 -0.0028 j= 35 -0.0194 -0.0264 -0.0271 -0.0219 -0.0044 j= 45 -0.0311 -0.0357 -0.0324 -0.0254 -0.0049 j= 65 -0.0445 -0.0361 -0.0332 -0.0280 -0.0058 j=130 -0.0165 -0.0099 -0.0089 -0.0066 0.0128 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 -0.0056 -0.0051 -0.0002 0.0052 0.0084 j= 35 -0.0003 0.0042 0.0079 0.0064 0.0096 j= 45 0.0141 0.0153 0.0154 0.0107 0.0103 j= 65 0.0178 0.0102 0.0115 0.0083 0.0145 j=130 0.0285 0.0250 0.0307 0.0399 0.0416 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0107 -0.0089 -0.0036 0.0024 0.0068 j= 35 -0.0047 0.0003 0.0040 0.0036 0.0080 j= 45 0.0091 0.0105 0.0110 0.0077 0.0088 j= 65 0.0112 0.0049 0.0067 0.0053 0.0129 j=130 0.0210 0.0186 0.0253 0.0365 0.0405 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.1189 -4.2672 -4.8493 -6.3168 -1.9102 j= 35 -2.8691 -5.2015 -5.8272 -6.2941 -2.4988 j= 45 -4.7953 -6.9546 -6.6251 -6.5765 -2.7760 j= 65 -7.4631 -7.0670 -6.7947 -7.6372 -4.0369 j=130 -2.0951 -1.5074 -1.7047 -2.5076 2.7188 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0019 0.0000 0.0000 0.0000 0.0565 j= 35 0.0042 0.0000 0.0000 0.0000 0.0127 j= 45 0.0000 0.0000 0.0000 0.0000 0.0057 j= 65 0.0000 0.0000 0.0000 0.0000 0.0001 j=130 0.0365 0.1322 0.0887 0.0124 0.0068 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -1.2755 -2.5269 -4.2153 -6.9880 -4.1758 j= 35 -2.2618 -6.0432 -7.7017 -7.8032 -5.5226 j= 45 -7.1988 -10.5640 -10.0130 -9.7699 -6.2418 j= 65 -8.4399 -7.3378 -7.7456 -9.1915 -7.3025 j=130 -4.9460 -4.3896 -5.7834 -9.6719 -13.2076 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.2028 0.0119 0.0000 0.0000 0.0000 j= 35 0.0242 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 0.1065 0.0950 0.0883 0.0648 0.0486 j= 35 0.1174 0.0983 0.0915 0.0710 0.0484 j= 45 0.1189 0.0992 0.0947 0.0764 0.0488 j= 65 0.1108 0.0960 0.0920 0.0711 0.0413 j=130 0.1205 0.1046 0.0963 0.0717 0.0394 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0994 0.0871 0.0828 0.0746 0.0578 j= 35 0.0931 0.0895 0.0886 0.0755 0.0566 j= 45 0.1010 0.0991 0.0956 0.0790 0.0557 j= 65 0.1171 0.1046 0.0992 0.0776 0.0564 j=130 0.1234 0.1135 0.1048 0.0825 0.0477 ============================================ ============================================ 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 -0.0056 +0.0994 -0.0568 0 -0.0120 +0.1065 -0.1125 (Winner-Loser) -0.0063 (t-stat) -0.9301 (p-value) +0.3526 ============================================ ============================================ 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 -0.0051 +0.0871 -0.0584 0 -0.0162 +0.0950 -0.1701 (Winner-Loser) -0.0111 (t-stat) -1.8157 (p-value) +0.0697 ============================================ ============================================ 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 +0.0828 -0.0024 0 -0.0174 +0.0883 -0.1974 (Winner-Loser) -0.0172 (t-stat) -2.9902 (p-value) +0.0029 ============================================ ============================================ 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 +0.0052 +0.0746 +0.0696 0 -0.0172 +0.0648 -0.2654 (Winner-Loser) -0.0224 (t-stat) -4.6270 (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 +0.0084 +0.0578 +0.1453 0 -0.0017 +0.0486 -0.0343 (Winner-Loser) -0.0101 (t-stat) -2.5000 (p-value) +0.0126 ============================================ ============================================ 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 -0.0003 +0.0931 -0.0033 0 -0.0122 +0.1174 -0.1038 (Winner-Loser) -0.0119 (t-stat) -1.6765 (p-value) +0.0940 ============================================ ============================================ 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 +0.0042 +0.0895 +0.0464 0 -0.0215 +0.0983 -0.2187 (Winner-Loser) -0.0257 (t-stat) -4.0344 (p-value) +0.0001 ============================================ ============================================ 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 +0.0079 +0.0886 +0.0887 0 -0.0228 +0.0915 -0.2498 (Winner-Loser) -0.0307 (t-stat) -5.0068 (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 +0.0064 +0.0755 +0.0854 0 -0.0193 +0.0710 -0.2723 (Winner-Loser) -0.0258 (t-stat) -5.0183 (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 +0.0096 +0.0566 +0.1699 0 -0.0032 +0.0484 -0.0664 (Winner-Loser) -0.0128 (t-stat) -3.1875 (p-value) +0.0015 ============================================ ============================================ 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 +0.0141 +0.1010 +0.1399 0 -0.0236 +0.1189 -0.1987 (Winner-Loser) -0.0378 (t-stat) -5.0598 (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 +0.0153 +0.0991 +0.1540 0 -0.0307 +0.0992 -0.3094 (Winner-Loser) -0.0459 (t-stat) -6.7709 (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 +0.0154 +0.0956 +0.1611 0 -0.0278 +0.0947 -0.2940 (Winner-Loser) -0.0432 (t-stat) -6.5933 (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 +0.0107 +0.0790 +0.1361 0 -0.0224 +0.0764 -0.2930 (Winner-Loser) -0.0331 (t-stat) -6.0084 (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 +0.0103 +0.0557 +0.1853 0 -0.0037 +0.0488 -0.0752 (Winner-Loser) -0.0140 (t-stat) -3.4423 (p-value) +0.0006 ============================================ ============================================ 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 +0.0178 +0.1171 +0.1522 0 -0.0380 +0.1108 -0.3431 (Winner-Loser) -0.0558 (t-stat) -7.0733 (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 +0.0102 +0.1046 +0.0978 0 -0.0315 +0.0960 -0.3279 (Winner-Loser) -0.0417 (t-stat) -5.9254 (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 +0.0115 +0.0992 +0.1160 0 -0.0290 +0.0920 -0.3150 (Winner-Loser) -0.0405 (t-stat) -5.9917 (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 +0.0083 +0.0776 +0.1064 0 -0.0254 +0.0711 -0.3576 (Winner-Loser) -0.0337 (t-stat) -6.2106 (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 +0.0145 +0.0564 +0.2564 0 -0.0050 +0.0413 -0.1206 (Winner-Loser) -0.0194 (t-stat) -4.9127 (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 +0.0285 +0.1234 +0.2311 0 -0.0092 +0.1205 -0.0762 (Winner-Loser) -0.0377 (t-stat) -4.0996 (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 +0.0250 +0.1135 +0.2204 0 -0.0045 +0.1046 -0.0429 (Winner-Loser) -0.0295 (t-stat) -3.5331 (p-value) +0.0004 ============================================ ============================================ 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 +0.0307 +0.1048 +0.2926 0 -0.0044 +0.0963 -0.0453 (Winner-Loser) -0.0350 (t-stat) -4.5113 (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 +0.0399 +0.0825 +0.4834 0 -0.0041 +0.0717 -0.0565 (Winner-Loser) -0.0439 (t-stat) -7.0970 (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 +0.0416 +0.0477 +0.8729 0 +0.0135 +0.0394 +0.3436 (Winner-Loser) -0.0281 (t-stat) -7.1340 (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 0.1250 NAK 1.62 0.1250 BVX 4.15 0.1250 BGI 1.07 0.1250 SEB 4116.84 0.1250 CCF 88.70 0.1250 AST 4.40 0.1250 BTX 3.57 0.1250 TMP 90.84 Sell Qty Ticker Price on 2016-12-15 0.1250 AKG 3.01 0.1250 NOG 3.05 0.1250 TXMD 5.54 0.1250 RIC 6.00 0.1250 NG 3.96 0.1250 ASM 1.23 0.1250 PLG 1.54 0.1250 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.1250 NAK 1.62 0.1250 SYRG 9.45 0.1250 CCF 88.70 0.1250 SEB 4116.84 0.1250 GIG 2.65 0.1250 PRK 119.22 0.1250 STRP 29.22 0.1250 TMP 90.84 Sell Qty Ticker Price on 2016-12-15 0.1250 NAVB 0.67 0.1250 AXU 1.25 0.1250 RIC 6.00 0.1250 GORO 3.82 0.1250 BGI 1.07 0.1250 PLG 1.54 0.1250 ASM 1.23 0.1250 GBR 2.15 Holding period is 25 d