============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_NASDAQ_plR_m3_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(3)', 'computePortfolioReturns()', 'report()'] js: [25, 35, 45, 65, 130] ks: [25, 35, 41, 65, 130] risklessReturnSecurityName: %5EH15_TB_M6 indexSecurityName: %5EIXIC Report switches: WinnerLoser TimeFrame: 1 4 2015 12 15 2016 Period: d Component Count: 1268 Component Source: ../../../DBs/Analyst/stockhistory/20161218/d Components: ['VSAR', 'NDSN', 'PRIM', 'KITE', 'PFPT', 'SIR', 'PRSC', 'EXLS', 'AMD', 'BLDR', 'IDXX', 'QRVO', 'GAIN', 'MGNX', 'ERII', 'JBHT', 'ICLR', 'ERIE', 'ERIC', 'LSTR', 'ROIC', 'SSYS', 'EXAS', 'MANT', 'VSAT', 'RPTP', 'AVAV', 'EXA', 'SCLN', 'CRBP', 'NILE', 'VRTX', 'RSYS', 'TGTX', 'TRVN', 'FRAN', 'MANH', 'VRTS', 'VRTU', 'CCOI', 'DENN', 'CSIQ', 'ENDP', 'GT', 'LIOX', 'ONVO', 'TSCO', 'ADTN', 'FLXN', 'MNKD', 'ONEQ', 'LION', 'BECN', 'RDWR', 'CSII', 'MRNS', 'AMZN', 'FULT', 'GK', 'PLPM', 'OTIC', 'MAR', 'MAT', 'AXAS', 'MENT', 'HDP', 'SNH', 'SNI', 'XRAY', 'AMCN', 'ACLS', 'INVA', 'PACB', 'ODFL', 'AMCC', 'SFBS', 'JBSS', 'EGBN', 'IBTX', 'WBMD', 'NYMT', 'CME', 'SBAC', 'TOPS', 'BDGE', 'GWPH', 'WMGI', 'PCH', 'EVOK', 'ICUI', 'SOHU', 'ESIO', 'IDCC', 'SREV', 'AAWW', 'OMCL', 'INGN', 'GHDX', 'TTS', 'ITRI', 'APOL', 'CYOU', 'DCOM', 'THLD', 'DVAX', 'FNGN', 'PCLN', 'UIHC', 'FSLR', 'NWLI', 'BSET', 'DIOD', 'ALGT', 'GRMN', 'APLP', 'MBFI', 'NSIT', 'WSBC', 'SNPS', 'STBA', 'ZG', 'JAKK', 'MSTR', 'STBZ', 'JACK', 'CEVA', 'FIVE', 'BBOX', 'LHCG', 'BABY', 'CPRT', 'PEBO', 'AFAM', 'CHUY', 'SLRC', 'WIX', 'CBF', 'ALOG', 'SAIA', 'LPSN', 'UFPI', 'SBSI', 'VWR', 'NVDA', 'MU', 'AMSG', 'INO', 'NDAQ', 'ASNA', 'MMLP', 'BMCH', 'NUAN', 'LMAT', 'EBIO', 'MBUU', 'ARIA', 'HRZN', 'CROX', 'ACIW', 'STKL', 'MITK', 'LMOS', 'SPPI', 'AMGN', 'MDRX', 'MGRC', 'DOX', 'RAVN', 'LBAI', 'HURN', 'EBIX', 'ELGX', 'AMBA', 'SNHY', 'MSFT', 'SWIR', 'BLUE', 'KTOS', 'NGHC', 'HSII', 'XXIA', 'UHAL', 'MNTA', 'NATI', 'POWI', 'VIP', 'PCBK', 'POWL', 'ASPS', 'SCHN', 'RPXC', 'TASR', 'CVBF', 'TAST', 'CELG', 'IDTI', 'LOXO', 'LQDT', 'CNCE', 'ATEC', 'LJPC', 'HABT', 'INSM', 'SMCI', 'FOMX', 'KNDI', 'FMI', 'CBPO', 'LLTC', 'SPIL', 'FMBI', 'CAC', 'MYRG', 'FGEN', 'NTAP', 'ZBRA', 'EFSC', 'MIFI', 'SP', 'UEPS', 'NTRI', 'UNFI', 'GNCA', 'USAT', 'GNCMA', 'AAL', 'ASCMA', 'LYTS', 'WMIH', 'PSEC', 'ADBE', 'LTRPA', 'ITCI', 'FARM', 'CAR', 'FARO', 'YRCW', 'STEM', 'YY', 'EEFT', 'FFIV', 'SONC', 'PBPB', 'FTR', 'BNCL', 'COHR', 'IART', 'ABAX', 'BNCN', 'EPZM', 'ERI', 'COHU', 'INCR', 'LE', 'SEMI', 'WOOF', 'ONB', 'INCY', 'ISRG', 'STRZA', 'ATNI', 'BJRI', 'EXEL', 'VNET', 'MDCO', 'BHBK', 'MDCA', 'WETF', 'FLEX', 'AKRX', 'CACQ', 'NEOG', 'FORM', 'BANR', 'MMSI', 'KEYW', 'SKYW', 'HTLD', 'FDUS', 'BANF', 'BLBD', 'ANTH', 'CACC', 'FRGI', 'FORR', 'ZIOP', 'WSFS', 'STX', 'XONE', 'EZPW', 'PICO', 'ACHC', 'QLYS', 'ALKS', 'FLXS', 'CERN', 'NCLH', 'FLWS', 'SRNE', 'CRAY', 'MITL', 'TBRA', 'SONS', 'CALM', 'SYBT', 'HAYN', 'BLKB', 'RUTH', 'CALD', 'FIZZ', 'MIK', 'UTEK', 'NUVA', 'WSTC', 'SPTN', 'TRUP', 'ORBK', 'CBOE', 'MDXG', 'SQBG', 'CSFL', 'DORM', 'KALU', 'FLDM', 'GIII', 'SCHL', 'TRUE', 'XLNX', 'ECPG', 'PLUG', 'HFWA', 'HAWK', 'RP', 'EXTR', 'ESPR', 'ACET', 'GLPI', 'XENT', 'GERN', 'ASTE', 'TTPH', 'CTBI', 'PLUS', 'MEOH', 'PCRX', 'SPSC', 'WPPGY', 'TOWN', 'NVFY', 'ESLT', 'URBN', 'HBNC', 'CHFC', 'GPOR', 'AEPI', 'ATRS', 'RVNC', 'ESND', 'HLIT', 'PACW', 'DAKT', 'EGOV', 'KPTI', 'CHY', 'FELE', 'NNBR', 'SFNC', 'NVIV', 'HAFC', 'AMRN', 'SNAK', 'ARCC', 'AMRI', 'ARWR', 'NTES', 'AMCX', 'ILMN', 'BRKL', 'HTBX', 'UFCS', 'FOXA', 'BRKS', 'BRKR', 'SUPN', 'ROST', 'ACTA', 'ORBC', 'SAVE', 'MTRX', 'AMRS', 'PTCT', 'ATSG', 'FFIN', 'HDS', 'DXPE', 'ISBC', 'VA', 'EFII', 'HZNP', 'SLGN', 'CKEC', 'BMRN', 'ISNS', 'EWBC', 'FOXF', 'COLB', 'MNRO', 'AVGO', 'QIWI', 'PTEN', 'LAYN', 'SBRA', 'SGMO', 'ADSK', 'SEIC', 'EMKR', 'SGMS', 'ALNY', 'LPLA', 'LNCE', 'IIIN', 'HSKA', 'ASML', 'SYMC', 'DISCA', 'PAYX', 'CSOD', 'RARE', 'AEIS', 'RAIL', 'BOBE', 'EA', 'ORLY', 'UTHR', 'CRESY', 'AXDX', 'ENT', 'CSX', 'HWAY', 'EQIX', 'VNDA', 'IQNT', 'OCFC', 'AIMC', 'CNOB', 'CZR', 'TUBE', 'WIFI', 'SAAS', 'LXRX', 'ORIG', 'ALGN', 'TXRH', 'KANG', 'RSTI', 'SCMP', 'SSB', 'TCPC', 'ACXM', 'AGII', 'CVGI', 'AGIO', 'SALE', 'MLAB', 'CMPR', 'SPHS', 'WABC', 'XLRN', 'FOLD', 'NWBI', 'PLXS', 'NWBO', 'HIBB', 'OTEX', 'ABY', 'CRTO', 'CBSH', 'MERC', 'CVGW', 'PGTI', 'TVIA', 'QUNR', 'ENOC', 'LANC', 'XNCR', 'SASR', 'LBRDA', 'SIMO', 'PODD', 'IPHS', 'MASI', 'TTEC', 'LORL', 'EXPO', 'LGND', 'HAIN', 'TTEK', 'GEVO', 'LBIO', 'MDLZ', 'OZRK', 'EXPE', 'EXPD', 'SBCF', 'IONS', 'ETFC', 'TNDM', 'MRCY', 'RRGB', 'CHKP', 'EKSO', 'DFRG', 'CSTE', 'TECD', 'FRP', 'HMST', 'CTWS', 'FCNCA', 'HMSY', 'EGLE', 'CARA', 'TRIP', 'GBCI', 'INFO', 'INFN', 'PAHC', 'INFI', 'RMTI', 'VRNT', 'EGLT', 'DNKN', 'VIVO', 'YNDX', 'ADXS', 'ARNA', 'HNRG', 'MZOR', 'SPAR', 'KZ', 'NOVT', 'BLDP', 'MIDD', 'OXLC', 'JASO', 'ANIP', 'ARII', 'OTTR', 'WYNN', 'LBTYA', 'TTWO', 'SWHC', 'SSRI', 'STMP', 'ANSS', 'DWSN', 'IRMD', 'MGLN', 'NBIX', 'PRKR', 'GNTX', 'CYBE', 'STML', 'WBA', 'KRNY', 'PATK', 'SAEX', 'SYNT', 'BLCM', 'CRIS', 'HMHC', 'CYTK', 'AGEN', 'MMYT', 'NANO', 'HBAN', 'BIIB', 'CAMP', 'UVSP', 'MGEE', 'ACGL', 'TCBI', 'TCBK', 'ATVI', 'PEIX', 'KTWO', 'AEGR', 'CYTR', 'BSFT', 'MYGN', 'ARRY', 'CERS', 'BPFH', 'AKAM', 'LMNX', 'OSTK', 'INTC', 'APOG', 'SPWH', 'VASC', 'RGLS', 'CRNT', 'AMDA', 'INTU', 'TSEM', 'SPWR', 'ALXN', 'HOLI', 'FWRD', 'BOFI', 'AZPN', 'XCRA', 'RGLD', 'POOL', 'CCCL', 'RNST', 'ZGNX', 'UBNK', 'FANG', 'LMCA', 'TTMI', 'LGIH', 'AIRM', 'SAGE', 'PBCT', 'WASH', 'KIRK', 'INTL', 'SRDX', 'PRXL', 'FIBK', 'NWSA', 'FUEL', 'GTLS', 'IMMR', 'IMMU', 'ZAGG', 'NICE', 'ENTA', 'NFLX', 'WB', 'ENTG', 'SRCE', 'TICC', 'AAPL', 'MSEX', 'ALDR', 'SRCL', 'IIVI', 'CHEF', 'CARB', 'USCR', 'JD', 'IOSP', 'SANM', 'TKAI', 'QVCA', 'COWN', 'FPRX', 'CFNL', 'THRM', 'IRWD', 'OMAB', 'ISCA', 'ININ', 'AMSF', 'SPLK', 'LKFN', 'CDNS', 'SHEN', 'SPLS', 'ENSG', 'VNR', 'ECOL', 'HTCH', 'PERY', 'ICON', 'GLRE', 'BUSE', 'CTSH', 'WEB', 'CLNE', 'ARAY', 'DRRX', 'CYCC', 'SIGI', 'FITB', 'SIGM', 'WEN', 'IAC', 'HWKN', 'TRMB', 'BGCP', 'CTRE', 'RNET', 'TRMK', 'HAS', 'IESC', 'ADMS', 'UBSH', 'UBSI', 'ANAT', 'ZLTQ', 'PLCE', 'RIGL', 'MRVL', 'LNDC', 'CEMP', 'FTD', 'PNRA', 'DTLK', 'EPIQ', 'BRCD', 'UMBF', 'AMAG', 'CRMT', 'CLMT', 'CFFN', 'ESGR', 'WSBF', 'ESRX', 'VRNS', 'HELE', 'AMAT', 'ZUMZ', 'MHLD', 'SWKS', 'CTAS', 'CVTI', 'LPCN', 'CNSL', 'TRST', 'MGPI', 'MSFG', 'PNFP', 'TCX', 'IXYS', 'SABR', 'CLVS', 'ABMD', 'IBKC', 'SYNA', 'CCMP', 'HBP', 'VTAE', 'OLED', 'WAFD', 'IRDM', 'SGEN', 'TILE', 'MEET', 'CTXS', 'FTNT', 'IRBT', 'FFBC', 'ADVM', 'EGRX', 'BCRX', 'TMUS', 'UMPQ', 'MKSI', 'PPC', 'SIRI', 'CSGS', 'AVID', 'ECHO', 'SPKE', 'WLB', 'QCOM', 'IBKR', 'PDFS', 'MSCC', 'CSGP', 'SSNC', 'HALO', 'CPSI', 'PAAS', 'ULTA', 'IPGP', 'OSHC', 'MPEL', 'IMKTA', 'ULTI', 'MKTX', 'OPHT', 'UCBI', 'MPET', 'WWD', 'KFRC', 'MELI', 'FRSH', 'OPB', 'INWK', 'MCHP', 'STRA', 'NTCT', 'GABC', 'MPWR', 'HRTX', 'CLDX', 'BSPM', 'PEGI', 'CMRX', 'OVAS', 'VNOM', 'TRNC', 'PEGA', 'AOSL', 'KLXI', 'FFIC', 'FNHC', 'FISV', 'FDEF', 'CRVL', 'KERX', 'PRFT', 'EHTH', 'GOLD', 'CASC', 'ANDE', 'PZZA', 'DLTR', 'PPBI', 'CASH', 'QURE', 'SCSC', 'VRA', 'RYAAY', 'RDUS', 'RUSHA', 'AMWD', 'JKHY', 'PENN', 'FIVN', 'WERN', 'GSM', 'TESO', 'RTRX', 'NATL', 'ATRC', 'SCOR', 'OCLR', 'IMGN', 'ATRI', 'IEP', 'CA', 'SODA', 'CG', 'AINV', 'ATRO', 'FRED', 'VUZI', 'GALE', 'CY', 'COMM', 'FEYE', 'TSLA', 'APEI', 'SORL', 'BCPC', 'WRLD', 'OPTT', 'HCKT', 'SMTC', 'NYMX', 'BBSI', 'CHRS', 'ALIM', 'SGBK', 'NXPI', 'FCEL', 'HUBG', 'CCRN', 'CDK', 'SBUX', 'MLNX', 'UEIC', 'BLMN', 'MORN', 'CAVM', 'RDCM', 'BNFT', 'TYPE', 'CMCSA', 'EARS', 'SCAI', 'FNSR', 'RECN', 'HSTM', 'QGEN', 'AXGN', 'SGYP', 'AKBA', 'NVEE', 'AMED', 'VDSI', 'CNXN', 'ZNGA', 'SPNC', 'SAFM', 'COLM', 'ARCB', 'ADUS', 'WTFC', 'INSY', 'OSUR', 'PGNX', 'LTXB', 'FRPT', 'LEDS', 'CCXI', 'MNST', 'TUES', 'TTOO', 'SBGI', 'FFWM', 'NEWT', 'ROCK', 'PRGS', 'ABCO', 'SINA', 'PDLI', 'FLML', 'AMBC', 'RGSE', 'GOOD', 'SBNY', 'GRPN', 'BBRY', 'CNMD', 'KONA', 'IBOC', 'KONE', 'SFLY', 'HPT', 'CBRL', 'SPOK', 'SIVB', 'OCUL', 'TACO', 'ICPT', 'EGHT', 'ELNK', 'JJSF', 'CHRW', 'JOUT', 'CPLP', 'NTGR', 'SATS', 'PINC', 'MPAA', 'ACRX', 'CSCO', 'NUTR', 'LAMR', 'DXCM', 'ARDX', 'CYNO', 'VIAV', 'GEOS', 'LABL', 'HSNI', 'WDC', 'CTRN', 'CTRL', 'ZFGN', 'GLNG', 'LFUS', 'AGTC', 'TIVO', 'WATT', 'BV', 'FSC', 'SHLM', 'CONE', 'GPRE', 'CIGI', 'CTRP', 'GPRO', 'SHLD', 'CONN', 'KBAL', 'CENX', 'ABCB', 'EBSB', 'CRZO', 'BKCC', 'NERV', 'CENT', 'FLIR', 'CGNX', 'WDFC', 'BPOP', 'MYL', 'EPAY', 'ARRS', 'LOGI', 'UBNT', 'BWLD', 'FLIC', 'HSIC', 'SYKE', 'NDRM', 'WIN', 'NVAX', 'SENEA', 'NAVG', 'ON', 'NAVI', 'ORIT', 'ABTL', 'MRCC', 'MOMO', 'WLDN', 'CPTA', 'HOFT', 'SAFT', 'LOGM', 'NXST', 'STLD', 'SRPT', 'MDSO', 'VRSK', 'CINF', 'LECO', 'TREE', 'FB', 'NTRS', 'PLKI', 'BOKF', 'COST', 'VBLT', 'AMKR', 'GSBC', 'PRAH', 'TWOU', 'ISLE', 'URRE', 'JRVR', 'CYBR', 'OFIX', 'HCSG', 'JCOM', 'NBTB', 'CPHD', 'CHCO', 'PLAY', 'OSIS', 'REGN', 'AAON', 'FINL', 'AAOI', 'REGI', 'GMLP', 'DGLY', 'HA', 'MINI', 'LKQ', 'ADMP', 'PRAA', 'CVLT', 'CVCO', 'LPTN', 'TBBK', 'AREX', 'HOLX', 'PTC', 'KLIC', 'BEAT', 'LOPE', 'SFM', 'PVTB', 'HOMB', 'PTX', 'PCTY', 'ACOR', 'BEAV', 'NSTG', 'LRCX', 'SCSS', 'EYES', 'CREE', 'DHIL', 'JAZZ', 'IBCP', 'OPK', 'LVNTA', 'SCVL', 'DEPO', 'ICFI', 'YHOO', 'TRS', 'CRUS', 'DTSI', 'AQXP', 'CHDN', 'VOD', 'MATW', 'AMPH', 'ZAIS', 'SNCR', 'AHGP', 'SLM', 'ZION', 'ANGO', 'ANGI', 'HTBK', 'PCMI', 'SUNS', 'SCTY', 'LSCC', 'BREW', 'HTLF', 'ACTG', 'HOPE', 'NEO', 'AXTI', 'ACAD', 'FOSL', 'AERI', 'RGEN', 'ZEUS', 'ANIK', 'NXTM', 'PRMW', 'ACAT', 'ACAS', 'PLAB', 'BMTC', 'JBLU', 'PFLT', 'OMED', 'TEDU', 'BGFV', 'HDSN', 'KLAC', 'JOBS', 'GOV', 'FDML', 'LPNT', 'ODP', 'MACK', 'WFM', 'GGAL', 'FAST', 'NCMI', 'BIOS', 'TECH', 'SIEN', 'MCRI', 'NMIH', 'PTLA', 'SKYS', 'ISIL', 'MTSI', 'ATHN', 'SKLN', 'CORE', 'VECO', 'GLUU', 'ARGS', 'CASS', 'ADP', 'IPCC', 'GILD', 'PNNT', 'SHPG', 'ROLL', 'LULU', 'CORT', 'BCOV', 'PRTA', 'BCOR', 'OMER', 'RCII', 'PRTK', 'NHTC', 'SLAB', 'CISG', 'ADI', 'VIAB', 'CASY', 'BIDU', 'CDW', 'GOOGL', 'GLAD', 'EBAY', 'TBPH', 'CHTR', 'IPAR', 'DRNA', 'NLNK', 'TFSL', 'CMTL', 'HQY', 'PETS', 'GBDC', 'FNBC', 'JUNO', 'KOOL', 'CAKE', 'RMBS', 'TCRD', 'AEGN', 'CPLA', 'DERM', 'VRSN', 'HTHT', 'MXIM', 'PDCO', 'ABEO', 'DISH', 'MTSC', 'BSTC', 'GNMK', 'PDCE', 'NFBK', 'PCAR', 'TXN', 'ACHN', 'WIRE', 'HEES', 'GDEN', 'BDSI', 'SGI', 'EIGI', 'NKTR', 'QSII', 'SCYX', 'DMRC', 'FRME', 'PETX', 'TA', 'HIMX', 'SHOR', 'PKOH', 'COKE', 'CWST', 'THFF', 'MLHR', 'LOCO', 'GOGO', 'BBBY', 'HBHC', 'TSRO', 'TSRA', 'AFSI', 'LFVN', 'TROW', 'TROV', 'SHOO', 'IPXL', 'ATRA', 'PFBC', 'QDEL', 'ARLP', 'MRTN', 'CATM', 'KELYA', 'IDRA', 'TOUR', 'CECE', 'INDB', 'CATY', 'AMTD', 'HIIQ', 'PSMT', 'MRTX', 'CECO'] ============================================ 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= 25 457 447 441 417 352 j= 35 447 437 431 407 342 j= 45 437 427 421 397 332 j= 65 417 407 401 377 312 j=130 352 342 336 312 247 2 Winner Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0242 -0.0334 -0.0327 -0.0303 -0.0279 j= 35 -0.0371 -0.0358 -0.0362 -0.0296 -0.0196 j= 45 -0.0420 -0.0383 -0.0388 -0.0376 -0.0155 j= 65 -0.0542 -0.0495 -0.0497 -0.0421 -0.0097 j=130 -0.0558 -0.0583 -0.0525 -0.0414 -0.0140 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0380 -0.0430 -0.0405 -0.0346 -0.0299 j= 35 -0.0471 -0.0439 -0.0424 -0.0334 -0.0215 j= 45 -0.0527 -0.0451 -0.0441 -0.0413 -0.0177 j= 65 -0.0654 -0.0566 -0.0555 -0.0473 -0.0123 j=130 -0.0658 -0.0666 -0.0603 -0.0461 -0.0155 4 Loser Number of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 457 447 441 417 352 j= 35 447 437 431 407 342 j= 45 437 427 421 397 332 j= 65 417 407 401 377 312 j=130 352 342 336 312 247 5 Loser Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0061 -0.0017 0.0005 0.0210 -0.0139 j= 35 -0.0021 -0.0012 0.0070 0.0216 -0.0034 j= 45 0.0219 0.0244 0.0328 0.0288 0.0070 j= 65 0.0636 0.0565 0.0540 0.0381 0.0034 j=130 0.0409 0.0341 0.0322 0.0262 0.0186 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0187 -0.0172 -0.0121 0.0156 -0.0164 j= 35 -0.0274 -0.0175 -0.0054 0.0167 -0.0060 j= 45 -0.0040 0.0080 0.0202 0.0236 0.0043 j= 65 0.0388 0.0422 0.0433 0.0329 -0.0005 j=130 0.0204 0.0225 0.0227 0.0203 0.0155 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.6114 -5.6492 -6.1678 -7.4665 -8.8907 j= 35 -5.9612 -6.4066 -7.2869 -7.5364 -6.3888 j= 45 -6.4588 -7.1748 -8.0451 -9.2064 -4.7929 j= 65 -7.8993 -8.8097 -9.7123 -8.6467 -3.0438 j=130 -7.5158 -8.8374 -8.4631 -8.5525 -4.8891 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 0.0000 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 0.0024 j=130 0.0000 0.0000 0.0000 0.0000 0.0000 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.5696 -3.1846 -3.8204 -8.4951 -3.2675 j= 35 -2.9532 -3.6139 -5.2847 -9.2669 -3.8697 j= 45 -5.0546 -6.2060 -7.9596 -10.6210 -5.2558 j= 65 -9.1295 -10.8421 -11.9140 -10.9236 -2.9641 j=130 -7.2365 -9.1328 -8.9020 -8.8775 -5.9710 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0105 0.0016 0.0002 0.0000 0.0012 j= 35 0.0033 0.0003 0.0000 0.0000 0.0001 j= 45 0.0000 0.0000 0.0000 0.0000 0.0000 j= 65 0.0000 0.0000 0.0000 0.0000 0.0033 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 0.1619 0.1336 0.1196 0.0896 0.0618 j= 35 0.1391 0.1234 0.1083 0.0851 0.0609 j= 45 0.1433 0.1151 0.1026 0.0853 0.0659 j= 65 0.1435 0.1149 0.1036 0.0981 0.0708 j=130 0.1400 0.1221 0.1164 0.0932 0.0547 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.2214 0.1781 0.1594 0.1058 0.0696 j= 35 0.2236 0.1772 0.1549 0.1002 0.0727 j= 45 0.2299 0.1798 0.1568 0.1020 0.0743 j= 65 0.2376 0.1749 0.1529 0.1039 0.0891 j=130 0.2090 0.1563 0.1412 0.1096 0.0802 ============================================ ============================================ 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 +0.0061 +0.2214 +0.0275 0 -0.0242 +0.1619 -0.1497 (Winner-Loser) -0.0303 (t-stat) -2.3616 (p-value) +0.0184 ============================================ ============================================ 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 -0.0017 +0.1781 -0.0093 0 -0.0334 +0.1336 -0.2497 (Winner-Loser) -0.0317 (t-stat) -3.0082 (p-value) +0.0027 ============================================ ============================================ 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 +0.0005 +0.1594 +0.0031 0 -0.0327 +0.1196 -0.2739 (Winner-Loser) -0.0332 (t-stat) -3.5004 (p-value) +0.0005 ============================================ ============================================ 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 +0.0210 +0.1058 +0.1988 0 -0.0303 +0.0896 -0.3384 (Winner-Loser) -0.0514 (t-stat) -7.5545 (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 -0.0139 +0.0696 -0.2003 0 -0.0279 +0.0618 -0.4526 (Winner-Loser) -0.0140 (t-stat) -2.8203 (p-value) +0.0049 ============================================ ============================================ 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 -0.0021 +0.2236 -0.0094 0 -0.0371 +0.1391 -0.2667 (Winner-Loser) -0.0350 (t-stat) -2.8068 (p-value) +0.0051 ============================================ ============================================ 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 -0.0012 +0.1772 -0.0068 0 -0.0358 +0.1234 -0.2905 (Winner-Loser) -0.0346 (t-stat) -3.3479 (p-value) +0.0008 ============================================ ============================================ 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 +0.0070 +0.1549 +0.0450 0 -0.0362 +0.1083 -0.3342 (Winner-Loser) -0.0432 (t-stat) -4.7362 (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 +0.0216 +0.1002 +0.2157 0 -0.0296 +0.0851 -0.3482 (Winner-Loser) -0.0512 (t-stat) -7.8562 (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 -0.0034 +0.0727 -0.0463 0 -0.0196 +0.0609 -0.3225 (Winner-Loser) -0.0163 (t-stat) -3.1691 (p-value) +0.0016 ============================================ ============================================ 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 +0.0219 +0.2299 +0.0951 0 -0.0420 +0.1433 -0.2932 (Winner-Loser) -0.0639 (t-stat) -4.9252 (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 +0.0244 +0.1798 +0.1359 0 -0.0383 +0.1151 -0.3330 (Winner-Loser) -0.0628 (t-stat) -6.0695 (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 +0.0328 +0.1568 +0.2089 0 -0.0388 +0.1026 -0.3777 (Winner-Loser) -0.0715 (t-stat) -7.8218 (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 +0.0288 +0.1020 +0.2819 0 -0.0376 +0.0853 -0.4408 (Winner-Loser) -0.0664 (t-stat) -9.9308 (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 +0.0070 +0.0743 +0.0939 0 -0.0155 +0.0659 -0.2347 (Winner-Loser) -0.0224 (t-stat) -4.1109 (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 +0.0636 +0.2376 +0.2677 0 -0.0542 +0.1435 -0.3779 (Winner-Loser) -0.1178 (t-stat) -8.6579 (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 +0.0565 +0.1749 +0.3229 0 -0.0495 +0.1149 -0.4305 (Winner-Loser) -0.1059 (t-stat) -10.2013 (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 +0.0540 +0.1529 +0.3531 0 -0.0497 +0.1036 -0.4796 (Winner-Loser) -0.1037 (t-stat) -11.2263 (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 +0.0381 +0.1039 +0.3665 0 -0.0421 +0.0981 -0.4289 (Winner-Loser) -0.0802 (t-stat) -10.8764 (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 +0.0034 +0.0891 +0.0385 0 -0.0097 +0.0708 -0.1369 (Winner-Loser) -0.0131 (t-stat) -2.0333 (p-value) +0.0424 ============================================ ============================================ 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 +0.0409 +0.2090 +0.1956 0 -0.0558 +0.1400 -0.3988 (Winner-Loser) -0.0967 (t-stat) -7.2017 (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 +0.0341 +0.1563 +0.2184 0 -0.0583 +0.1221 -0.4770 (Winner-Loser) -0.0924 (t-stat) -8.6014 (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 +0.0322 +0.1412 +0.2280 0 -0.0525 +0.1164 -0.4509 (Winner-Loser) -0.0847 (t-stat) -8.4702 (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 +0.0262 +0.1096 +0.2386 0 -0.0414 +0.0932 -0.4444 (Winner-Loser) -0.0676 (t-stat) -8.2828 (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 +0.0186 +0.0802 +0.2318 0 -0.0140 +0.0547 -0.2552 (Winner-Loser) -0.0326 (t-stat) -5.2598 (p-value) +0.0000 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:65, k:65 Buy Qty Ticker Price on 2016-12-15 0.3333 TBRA 42.09 0.3333 HIIQ 13.85 0.3333 HTCH 4.00 Sell Qty Ticker Price on 2016-12-15 0.3333 NVAX 1.40 0.3333 OPHT 4.86 0.3333 RGSE 0.19 Holding period is 65 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.3333 TBRA 42.09 0.3333 HIIQ 13.85 0.3333 HTCH 4.00 Sell Qty Ticker Price on 2016-12-15 0.3333 NVAX 1.40 0.3333 OPHT 4.86 0.3333 RGSE 0.19 Holding period is 25 d