============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_NASDAQ_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: %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 -0.0379 -0.0380 -0.0360 -0.0327 -0.0264 j= 35 -0.0288 -0.0280 -0.0293 -0.0275 -0.0212 j= 45 -0.0363 -0.0379 -0.0379 -0.0351 -0.0224 j= 65 -0.0512 -0.0477 -0.0481 -0.0433 -0.0239 j=130 -0.0463 -0.0459 -0.0429 -0.0343 -0.0168 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0436 -0.0421 -0.0396 -0.0350 -0.0273 j= 35 -0.0334 -0.0318 -0.0325 -0.0293 -0.0221 j= 45 -0.0409 -0.0409 -0.0405 -0.0368 -0.0234 j= 65 -0.0558 -0.0504 -0.0505 -0.0450 -0.0252 j=130 -0.0493 -0.0484 -0.0453 -0.0361 -0.0179 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 -0.0043 -0.0086 -0.0057 -0.0052 -0.0274 j= 35 -0.0036 -0.0016 0.0027 -0.0028 -0.0246 j= 45 0.0026 0.0024 0.0011 -0.0095 -0.0257 j= 65 0.0029 -0.0039 -0.0054 -0.0192 -0.0261 j=130 -0.0087 -0.0160 -0.0128 -0.0069 -0.0116 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0127 -0.0139 -0.0098 -0.0075 -0.0284 j= 35 -0.0128 -0.0069 -0.0012 -0.0052 -0.0256 j= 45 -0.0072 -0.0028 -0.0027 -0.0120 -0.0268 j= 65 -0.0046 -0.0082 -0.0091 -0.0211 -0.0275 j=130 -0.0175 -0.0220 -0.0178 -0.0092 -0.0128 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -7.9429 -9.3255 -9.4903 -10.8013 -11.9581 j= 35 -6.7160 -7.2164 -8.1422 -9.7621 -9.8846 j= 45 -8.2471 -10.2854 -10.9547 -12.3622 -9.8638 j= 65 -10.9977 -12.9063 -13.7802 -14.7547 -8.8915 j=130 -10.5981 -11.6418 -11.4470 -11.1418 -6.4215 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 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 0.0000 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 -4.8595 -4.9616 -5.5604 -6.5100 0.4398 j= 35 -3.4946 -4.2776 -5.7361 -6.2252 1.5466 j= 45 -5.4040 -6.7233 -7.2818 -6.3824 1.2924 j= 65 -8.5263 -8.5500 -8.9875 -6.3939 0.8705 j=130 -5.6204 -5.1210 -5.2914 -7.1329 -2.3022 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 0.0000 0.0000 0.0000 0.6604 j= 35 0.0005 0.0000 0.0000 0.0000 0.1229 j= 45 0.0000 0.0000 0.0000 0.0000 0.1971 j= 65 0.0000 0.0000 0.0000 0.0000 0.3847 j=130 0.0000 0.0000 0.0000 0.0000 0.0222 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1055 0.0882 0.0821 0.0650 0.0426 j= 35 0.0943 0.0847 0.0775 0.0597 0.0413 j= 45 0.0939 0.0757 0.0708 0.0577 0.0436 j= 65 0.0931 0.0715 0.0672 0.0566 0.0511 j=130 0.0756 0.0681 0.0665 0.0583 0.0478 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1279 0.1029 0.0906 0.0680 0.0434 j= 35 0.1366 0.1039 0.0890 0.0692 0.0444 j= 45 0.1402 0.1025 0.0863 0.0704 0.0467 j= 65 0.1229 0.0931 0.0859 0.0603 0.0531 j=130 0.1282 0.1071 0.0984 0.0674 0.0496 ============================================ ============================================ 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 -0.0043 +0.1279 -0.0336 0 -0.0379 +0.1055 -0.3589 (Winner-Loser) -0.0336 (t-stat) -4.3226 (p-value) +0.0000 ============================================ ============================================ 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 -0.0086 +0.1029 -0.0833 0 -0.0380 +0.0882 -0.4314 (Winner-Loser) -0.0295 (t-stat) -4.5920 (p-value) +0.0000 ============================================ ============================================ 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 -0.0057 +0.0906 -0.0624 0 -0.0360 +0.0821 -0.4383 (Winner-Loser) -0.0303 (t-stat) -5.2056 (p-value) +0.0000 ============================================ ============================================ 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 +0.0680 -0.0761 0 -0.0327 +0.0650 -0.5038 (Winner-Loser) -0.0276 (t-stat) -5.9786 (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 -0.0274 +0.0434 -0.6312 0 -0.0264 +0.0426 -0.6194 (Winner-Loser) +0.0010 (t-stat) +0.3165 (p-value) +0.7517 ============================================ ============================================ 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 -0.0036 +0.1366 -0.0264 0 -0.0288 +0.0943 -0.3050 (Winner-Loser) -0.0252 (t-stat) -3.2015 (p-value) +0.0014 ============================================ ============================================ 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 -0.0016 +0.1039 -0.0150 0 -0.0280 +0.0847 -0.3311 (Winner-Loser) -0.0265 (t-stat) -4.1248 (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 +0.0027 +0.0890 +0.0306 0 -0.0293 +0.0775 -0.3781 (Winner-Loser) -0.0320 (t-stat) -5.6287 (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 -0.0028 +0.0692 -0.0403 0 -0.0275 +0.0597 -0.4602 (Winner-Loser) -0.0247 (t-stat) -5.4447 (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 -0.0246 +0.0444 -0.5539 0 -0.0212 +0.0413 -0.5144 (Winner-Loser) +0.0034 (t-stat) +1.0259 (p-value) +0.3053 ============================================ ============================================ 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 +0.0026 +0.1402 +0.0185 0 -0.0363 +0.0939 -0.3861 (Winner-Loser) -0.0388 (t-stat) -4.8078 (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 +0.0024 +0.1025 +0.0239 0 -0.0379 +0.0757 -0.4999 (Winner-Loser) -0.0403 (t-stat) -6.5288 (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 +0.0011 +0.0863 +0.0125 0 -0.0379 +0.0708 -0.5350 (Winner-Loser) -0.0389 (t-stat) -7.1505 (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 -0.0095 +0.0704 -0.1350 0 -0.0351 +0.0577 -0.6078 (Winner-Loser) -0.0256 (t-stat) -5.5894 (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 -0.0257 +0.0467 -0.5503 0 -0.0224 +0.0436 -0.5138 (Winner-Loser) +0.0033 (t-stat) +0.9330 (p-value) +0.3512 ============================================ ============================================ 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 +0.0029 +0.1229 +0.0238 0 -0.0512 +0.0931 -0.5496 (Winner-Loser) -0.0541 (t-stat) -7.1569 (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 -0.0039 +0.0931 -0.0414 0 -0.0477 +0.0715 -0.6673 (Winner-Loser) -0.0439 (t-stat) -7.5281 (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 -0.0054 +0.0859 -0.0626 0 -0.0481 +0.0672 -0.7155 (Winner-Loser) -0.0427 (t-stat) -7.8311 (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 -0.0192 +0.0603 -0.3191 0 -0.0433 +0.0566 -0.7650 (Winner-Loser) -0.0240 (t-stat) -5.6362 (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 -0.0261 +0.0531 -0.4913 0 -0.0239 +0.0511 -0.4665 (Winner-Loser) +0.0022 (t-stat) +0.5362 (p-value) +0.5920 ============================================ ============================================ 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 -0.0087 +0.1282 -0.0676 0 -0.0463 +0.0756 -0.6125 (Winner-Loser) -0.0376 (t-stat) -4.7378 (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 -0.0160 +0.1071 -0.1492 0 -0.0459 +0.0681 -0.6742 (Winner-Loser) -0.0299 (t-stat) -4.3581 (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 -0.0128 +0.0984 -0.1297 0 -0.0429 +0.0665 -0.6453 (Winner-Loser) -0.0302 (t-stat) -4.6492 (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 -0.0069 +0.0674 -0.1026 0 -0.0343 +0.0583 -0.5882 (Winner-Loser) -0.0274 (t-stat) -5.4148 (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 -0.0116 +0.0496 -0.2336 0 -0.0168 +0.0478 -0.3506 (Winner-Loser) -0.0052 (t-stat) -1.1820 (p-value) +0.2378 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:35, k:41 Buy Qty Ticker Price on 2016-12-15 0.1111 HIIQ 13.85 0.1111 WLB 18.23 0.1111 PTCT 12.15 0.1111 IONS 49.65 0.1111 TUBE 13.99 0.1111 PGNX 9.22 0.1111 IMMU 3.74 0.1111 FLDM 7.92 0.1111 DXPE 36.65 Sell Qty Ticker Price on 2016-12-15 0.1111 PACB 3.89 0.1111 DVAX 4.10 0.1111 GALE 2.04 0.1111 TNDM 2.25 0.1111 BIOS 1.07 0.1111 CEMP 7.00 0.1111 ARWR 1.27 0.1111 OPHT 4.86 0.1111 RGSE 0.19 Holding period is 41 d ============== bestWinnerLoser =================== j:65, k:25 Buy Qty Ticker Price on 2016-12-15 0.1111 TBRA 42.09 0.1111 HIIQ 13.85 0.1111 HTCH 4.00 0.1111 ARRY 8.70 0.1111 WLB 18.23 0.1111 ORIG 1.53 0.1111 AERI 39.55 0.1111 CCXI 8.22 0.1111 AMD 10.86 Sell Qty Ticker Price on 2016-12-15 0.1111 ITCI 16.10 0.1111 DVAX 4.10 0.1111 TNDM 2.25 0.1111 GALE 2.04 0.1111 CEMP 7.00 0.1111 ARWR 1.27 0.1111 NVAX 1.40 0.1111 OPHT 4.86 0.1111 RGSE 0.19 Holding period is 25 d