============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_Amex_plR_m9_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(9)', '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 -0.0091 -0.0127 -0.0142 -0.0149 -0.0005 j= 35 -0.0097 -0.0181 -0.0197 -0.0169 -0.0008 j= 45 -0.0187 -0.0262 -0.0234 -0.0187 -0.0010 j= 65 -0.0322 -0.0264 -0.0241 -0.0212 -0.0028 j=130 -0.0094 -0.0045 -0.0038 -0.0034 0.0127 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0144 -0.0169 -0.0178 -0.0169 -0.0016 j= 35 -0.0164 -0.0226 -0.0236 -0.0193 -0.0019 j= 45 -0.0255 -0.0308 -0.0276 -0.0216 -0.0022 j= 65 -0.0382 -0.0306 -0.0281 -0.0237 -0.0036 j=130 -0.0159 -0.0093 -0.0078 -0.0058 0.0119 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 -0.0044 -0.0051 -0.0004 0.0054 0.0083 j= 35 -0.0014 0.0025 0.0065 0.0053 0.0087 j= 45 0.0124 0.0127 0.0128 0.0093 0.0098 j= 65 0.0130 0.0075 0.0088 0.0069 0.0130 j=130 0.0284 0.0242 0.0299 0.0382 0.0400 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0093 -0.0088 -0.0037 0.0028 0.0068 j= 35 -0.0056 -0.0012 0.0028 0.0027 0.0073 j= 45 0.0076 0.0081 0.0085 0.0064 0.0084 j= 65 0.0068 0.0026 0.0046 0.0041 0.0116 j=130 0.0214 0.0183 0.0249 0.0351 0.0390 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.6686 -3.6374 -4.2087 -5.6963 -1.5061 j= 35 -2.5248 -4.6612 -5.3086 -5.7683 -1.6291 j= 45 -4.1264 -6.2341 -5.8708 -5.6826 -1.8595 j= 65 -6.6392 -6.2777 -5.9216 -6.7082 -3.2086 j=130 -2.2597 -1.6116 -1.7039 -2.4568 2.4287 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0078 0.0003 0.0000 0.0000 0.1325 j= 35 0.0117 0.0000 0.0000 0.0000 0.1037 j= 45 0.0000 0.0000 0.0000 0.0000 0.0634 j= 65 0.0000 0.0000 0.0000 0.0000 0.0014 j=130 0.0241 0.1075 0.0889 0.0143 0.0155 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.9946 -1.8299 -3.5862 -6.7079 -3.9332 j= 35 -1.6991 -5.2154 -7.0084 -7.4079 -4.4093 j= 45 -6.4070 -9.6220 -9.0098 -8.6571 -5.1619 j= 65 -7.2313 -6.4640 -6.8277 -8.3899 -6.4303 j=130 -5.2376 -4.6028 -5.9938 -9.7984 -13.3351 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.3204 0.0679 0.0004 0.0000 0.0001 j= 35 0.0900 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 0.1019 0.0917 0.0859 0.0637 0.0476 j= 35 0.1131 0.0946 0.0882 0.0691 0.0476 j= 45 0.1139 0.0959 0.0918 0.0756 0.0477 j= 65 0.1070 0.0920 0.0895 0.0691 0.0402 j=130 0.1131 0.0979 0.0903 0.0687 0.0386 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0977 0.0859 0.0812 0.0732 0.0558 j= 35 0.0912 0.0879 0.0872 0.0731 0.0546 j= 45 0.0982 0.0968 0.0935 0.0776 0.0539 j= 65 0.1121 0.1000 0.0940 0.0744 0.0535 j=130 0.1184 0.1090 0.1008 0.0786 0.0460 ============================================ ============================================ 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 -0.0044 +0.0977 -0.0453 0 -0.0091 +0.1019 -0.0892 (Winner-Loser) -0.0047 (t-stat) -0.7062 (p-value) +0.4803 ============================================ ============================================ 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 +0.0859 -0.0597 0 -0.0127 +0.0917 -0.1382 (Winner-Loser) -0.0075 (t-stat) -1.2675 (p-value) +0.2053 ============================================ ============================================ 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 -0.0004 +0.0812 -0.0053 0 -0.0142 +0.0859 -0.1650 (Winner-Loser) -0.0137 (t-stat) -2.4405 (p-value) +0.0149 ============================================ ============================================ 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 +0.0054 +0.0732 +0.0740 0 -0.0149 +0.0637 -0.2334 (Winner-Loser) -0.0203 (t-stat) -4.2681 (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 +0.0558 +0.1489 0 -0.0005 +0.0476 -0.0109 (Winner-Loser) -0.0088 (t-stat) -2.2565 (p-value) +0.0243 ============================================ ============================================ 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 -0.0014 +0.0912 -0.0151 0 -0.0097 +0.1131 -0.0858 (Winner-Loser) -0.0083 (t-stat) -1.2112 (p-value) +0.2261 ============================================ ============================================ 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 +0.0025 +0.0879 +0.0289 0 -0.0181 +0.0946 -0.1910 (Winner-Loser) -0.0206 (t-stat) -3.3353 (p-value) +0.0009 ============================================ ============================================ 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 +0.0065 +0.0872 +0.0743 0 -0.0197 +0.0882 -0.2231 (Winner-Loser) -0.0262 (t-stat) -4.3796 (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 +0.0053 +0.0731 +0.0727 0 -0.0169 +0.0691 -0.2447 (Winner-Loser) -0.0222 (t-stat) -4.4550 (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 +0.0087 +0.0546 +0.1602 0 -0.0008 +0.0476 -0.0172 (Winner-Loser) -0.0096 (t-stat) -2.4423 (p-value) +0.0148 ============================================ ============================================ 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 +0.0124 +0.0982 +0.1262 0 -0.0187 +0.1139 -0.1644 (Winner-Loser) -0.0311 (t-stat) -4.3257 (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 +0.0127 +0.0968 +0.1315 0 -0.0262 +0.0959 -0.2726 (Winner-Loser) -0.0389 (t-stat) -5.8952 (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 +0.0128 +0.0935 +0.1365 0 -0.0234 +0.0918 -0.2553 (Winner-Loser) -0.0362 (t-stat) -5.6682 (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 +0.0093 +0.0776 +0.1202 0 -0.0187 +0.0756 -0.2467 (Winner-Loser) -0.0280 (t-stat) -5.1466 (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 +0.0098 +0.0539 +0.1828 0 -0.0010 +0.0477 -0.0219 (Winner-Loser) -0.0109 (t-stat) -2.7602 (p-value) +0.0059 ============================================ ============================================ 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 +0.0130 +0.1121 +0.1156 0 -0.0322 +0.1070 -0.3006 (Winner-Loser) -0.0451 (t-stat) -5.9454 (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 +0.0075 +0.1000 +0.0745 0 -0.0264 +0.0920 -0.2866 (Winner-Loser) -0.0338 (t-stat) -5.0213 (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 +0.0088 +0.0940 +0.0941 0 -0.0241 +0.0895 -0.2694 (Winner-Loser) -0.0330 (t-stat) -5.0846 (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 +0.0069 +0.0744 +0.0922 0 -0.0212 +0.0691 -0.3075 (Winner-Loser) -0.0281 (t-stat) -5.3741 (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 +0.0130 +0.0535 +0.2428 0 -0.0028 +0.0402 -0.0696 (Winner-Loser) -0.0158 (t-stat) -4.1671 (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 +0.0284 +0.1184 +0.2397 0 -0.0094 +0.1131 -0.0833 (Winner-Loser) -0.0378 (t-stat) -4.3330 (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 +0.0242 +0.1090 +0.2221 0 -0.0045 +0.0979 -0.0463 (Winner-Loser) -0.0287 (t-stat) -3.6284 (p-value) +0.0003 ============================================ ============================================ 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 +0.0299 +0.1008 +0.2965 0 -0.0038 +0.0903 -0.0424 (Winner-Loser) -0.0337 (t-stat) -4.5658 (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 +0.0382 +0.0786 +0.4859 0 -0.0034 +0.0687 -0.0499 (Winner-Loser) -0.0416 (t-stat) -7.0441 (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 +0.0400 +0.0460 +0.8699 0 +0.0127 +0.0386 +0.3281 (Winner-Loser) -0.0273 (t-stat) -7.1483 (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 0.1111 NAK 1.62 0.1111 BVX 4.15 0.1111 BGI 1.07 0.1111 SEB 4116.84 0.1111 CCF 88.70 0.1111 AST 4.40 0.1111 BTX 3.57 0.1111 TMP 90.84 0.1111 REI 11.80 Sell Qty Ticker Price on 2016-12-15 0.1111 MGT 2.36 0.1111 AKG 3.01 0.1111 NOG 3.05 0.1111 TXMD 5.54 0.1111 RIC 6.00 0.1111 NG 3.96 0.1111 ASM 1.23 0.1111 PLG 1.54 0.1111 VHC 2.40 Holding period is 130 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.1111 NAK 1.62 0.1111 SYRG 9.45 0.1111 CCF 88.70 0.1111 SEB 4116.84 0.1111 GIG 2.65 0.1111 PRK 119.22 0.1111 STRP 29.22 0.1111 TMP 90.84 0.1111 NHC 75.32 Sell Qty Ticker Price on 2016-12-15 0.1111 MAG 10.41 0.1111 NAVB 0.67 0.1111 AXU 1.25 0.1111 RIC 6.00 0.1111 GORO 3.82 0.1111 BGI 1.07 0.1111 PLG 1.54 0.1111 ASM 1.23 0.1111 GBR 2.15 Holding period is 25 d