============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_NYSE_plR_m5_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(5)', 'computePortfolioReturns()', 'report()'] js: [25, 35, 45, 65, 130] ks: [25, 35, 41, 65, 130] risklessReturnSecurityName: %5EH15_TB_M6 indexSecurityName: %5EDJI Report switches: WinnerLoser TimeFrame: 1 4 2015 12 15 2016 Period: d Component Count: 1701 Component Source: ../../../DBs/Analyst/stockhistory/20161218/d Components: ['AGO', 'AGN', 'AGM', 'NYT', 'AGX', 'AGU', 'BWP', 'CP', 'KYN', 'SPR', 'ITUB', 'HEI', 'SPH', 'BWA', 'SPN', 'BWG', 'SPA', 'SPB', 'VRTV', 'SPG', 'CTLT', 'XPO', 'TRTN', 'GE', 'GD', 'GM', 'JNS', 'MAS', 'SNE', 'SNA', 'SNN', 'HIVE', 'SNV', 'MAC', 'SNR', 'SNP', 'JNJ', 'SNX', 'SNY', 'BEN', 'BEL', 'EVC', 'EVR', 'LNKD', 'VLO', 'MPLX', 'LSI', 'VLY', 'TTI', 'TTC', 'VLP', 'VNTV', 'TPRE', 'HUBS', 'GRA', 'HLX', 'ITGR', 'HLT', 'HLS', 'NOC', 'HLF', 'NOV', 'NOW', 'CTT', 'CTS', 'CWEI', 'BWXT', 'KYE', 'CTB', 'CTL', 'LXFT', 'WHR', 'BFAM', 'V', 'RLI', 'EDD', 'RLJ', 'LMT', 'EDR', 'SFUN', 'EDU', 'EVER', 'ORC', 'ORA', 'DPS', 'DPZ', 'GS', 'DPM', 'CVE', 'LB', 'LC', 'AGCO', 'SEMG', 'LL', 'LM', 'LH', 'LQ', 'ATEN', 'A', 'KEYS', 'NVGS', 'ANTM', 'NBHC', 'STNG', 'CALX', 'GG', 'CFI', 'CFG', 'PNR', 'PNW', 'PNM', 'CFX', 'PNC', 'CFR', 'WCIC', 'ZAYO', 'BYD', 'RELX', 'PRA', 'SAN', 'SAM', 'JOY', 'PRO', 'MUR', 'PRI', 'PRU', 'JOE', 'SAP', 'INXN', 'CHA', 'CHD', 'CHE', 'CHH', 'CHK', 'CHL', 'CHS', 'CHT', 'CHU', 'MRK', 'ESNT', 'MRC', 'TNET', 'MTRN', 'DBD', 'APU', 'APH', 'APO', 'APC', 'APA', 'APD', 'MAA', 'NLS', 'HMY', 'NLY', 'MYCC', 'HMN', 'TKR', 'HMC', 'AFL', 'DLB', 'AFG', 'GCO', 'SLCA', 'W', 'PAYC', 'DLX', 'SSW', 'XCO', 'BTE', 'SSL', 'SSI', 'TIME', 'SSD', 'VLRS', 'DGI', 'WYN', 'RMP', 'ECA', 'EXPR', 'ECL', 'FMSA', 'EVDY', 'LNN', 'ECR', 'RMD', 'LNC', 'B', 'BBG', 'BBD', 'BBY', 'WAIR', 'BBT', 'NUE', 'VMI', 'TUP', 'VMC', 'VMW', 'HCLP', 'CLGX', 'AGRO', 'CNHI', 'HASI', 'CYS', 'NPTN', 'POT', 'POR', 'CBL', 'POL', 'CYH', 'FRO', 'CWT', 'YUM', 'TARO', 'PDM', 'PAY', 'CKH', 'PAA', 'PAC', 'PAG', 'PAH', 'PAM', 'DCO', 'DCM', 'DCI', 'AWR', 'AWK', 'AWI', 'AWH', 'DCT', 'WEC', 'GLOB', 'GLOG', 'WES', 'TGNA', 'GLOP', 'X', 'WEX', 'OII', 'OAS', 'OIS', 'IHG', 'NFG', 'AES', 'AER', 'AET', 'KN', 'AEE', 'AEG', 'AEM', 'AEL', 'GBX', 'BSBR', 'PRLB', 'BUD', 'C', 'FLTX', 'MSCI', 'XRX', 'ITW', 'XRS', 'PSO', 'PSB', 'PSA', 'MOV', 'PSX', 'MOH', 'MON', 'JLL', 'MOD', 'KMG', 'ETP', 'BCO', 'BCH', 'KMB', 'TRNO', 'HNI', 'BCE', 'ACCO', 'KMI', 'BCC', 'HNP', 'KMT', 'ETE', 'ETJ', 'ETH', 'ETN', 'HRTG', 'BCR', 'BCS', 'VRX', 'SWC', 'SRC', 'CI', 'CM', 'CL', 'CB', 'SRI', 'CF', 'CE', 'CX', 'CS', 'CR', 'USNA', 'CW', 'PIR', 'TCAP', 'NMR', 'AAT', 'TDC', 'HUBB', 'NOK', 'TDG', 'TDY', 'TDS', 'TDW', 'FHN', 'CVX', 'CVT', 'CVS', 'DV', 'LOW', 'CVI', 'CVG', 'KKR', 'CVA', 'TWTR', 'SBGL', 'QTWO', 'MODN', 'VC', 'VG', 'HPQ', 'HPP', 'VR', 'BCEI', 'TJX', 'Y', 'VZ', 'EBF', 'RJF', 'EBS', 'DRQ', 'DRI', 'DRH', 'WDR', 'GIM', 'DRE', 'DRD', 'ALLE', 'OHI', 'UIS', 'RVT', 'IOC', 'ALLY', 'CXP', 'D', 'RXN', 'PBYI', 'CXW', 'BIP', 'CXO', 'HY', 'HR', 'HP', 'HW', 'HT', 'HK', 'HI', 'HL', 'ENIA', 'HF', 'HD', 'HE', 'SCL', 'SCI', 'SCG', 'INVN', 'MNK', 'PTR', 'SCS', 'GOF', 'PBR', 'CAPL', 'PBF', 'PBI', 'PBH', 'MPG', 'AVX', 'AVY', 'AVT', 'AVP', 'MATX', 'MPW', 'AVD', 'AVG', 'AVA', 'AVB', 'SUN', 'AXTA', 'CEQP', 'SUI', 'SUP', 'TEI', 'SLG', 'TEL', 'TEN', 'TEO', 'NBR', 'TEF', 'TEX', 'NBL', 'TEP', 'TER', 'ADS', 'DNB', 'GME', 'RENN', 'ADC', 'CORR', 'DNR', 'RENX', 'ADM', 'BRX', 'XEL', 'BRS', 'BRO', 'RIGP', 'BRC', 'BSAC', 'TWI', 'TWO', 'HQH', 'HQL', 'TWX', 'VEEV', 'ALSN', 'EAT', 'ESV', 'ESS', 'HON', 'HOV', 'ESE', 'TROX', 'HOS', 'EVTC', 'ESL', 'MCS', 'WBAI', 'MBLY', 'VSH', 'SPGI', 'MNR', 'RYN', 'EOG', 'RYI', 'EOI', 'EVHC', 'EOS', 'NWE', 'PBFX', 'FIS', 'VAL', 'LHO', 'VAC', 'FIX', 'CNNX', 'FIG', 'VAR', 'FII', 'EDE', 'CMO', 'CMN', 'CMI', 'CMG', 'CMC', 'CMA', 'WNRL', 'CMS', 'PCG', 'CMP', 'UVV', 'EMES', 'BRFS', 'UVE', 'INGR', 'DOOR', 'DSX', 'DSW', 'WGO', 'ORI', 'DSM', 'WGP', 'MD', 'MG', 'MA', 'MC', 'INT', 'MO', 'BLOX', 'MT', 'INN', 'RWT', 'UHS', 'MS', 'ING', 'MX', 'AKS', 'DOC', 'GLP', 'DOV', 'EPAM', 'GLW', 'SCHW', 'BSX', 'TLLP', 'ELLI', 'F', 'AUO', 'CBPX', 'AUY', 'MPC', 'SBR', 'SBS', 'PUK', 'SBY', 'MMP', 'MMS', 'MMM', 'MMI', 'SBH', 'FBHS', 'MMC', 'CIEN', 'BAP', 'BAX', 'KOF', 'ERF', 'BAC', 'KOP', 'KOS', 'BAM', 'BAK', 'ERJ', 'CAG', 'BSMX', 'STE', 'STC', 'STL', 'STM', 'STO', 'STI', 'STJ', 'EQT', 'STT', 'RESI', 'YPF', 'STZ', 'NCZ', 'NCR', 'NCS', 'NCT', 'NCV', 'NCI', 'TFX', 'ECOM', 'VFC', 'LII', 'FNF', 'FNB', 'EQC', 'RT', 'WTR', 'WTS', 'WTW', 'RY', 'RE', 'RF', 'DNP', 'RL', 'WTI', 'RH', 'WTM', 'TPC', 'TPL', 'HRS', 'TPH', 'HRL', 'HRI', 'HRG', 'HRC', 'HRB', 'RHP', 'KAI', 'RHT', 'RHI', 'KAR', 'VEDL', 'MTDR', 'FCFS', 'WFC', 'WFT', 'UGI', 'RTN', 'UGP', 'ENB', 'OXY', 'G', 'ENH', 'OXM', 'ENS', 'ENV', 'ENZ', 'CZZ', 'YELP', 'TOWR', 'CLDT', 'ATO', 'ATI', 'ATW', 'ATU', 'ATR', 'SEP', 'HTGC', 'JKS', 'SEE', 'PVH', 'SEM', 'FRC', 'CLH', 'CLI', 'CLD', 'CLF', 'NSAM', 'PDS', 'CLB', 'CLC', 'IMS', 'CLX', 'FRT', 'CLW', 'CLR', 'CLS', 'CRC', 'ZEN', 'RATE', 'INFY', 'DO', 'SWK', 'DM', 'SWM', 'DK', 'SWN', 'DF', 'DG', 'DD', 'DE', 'DB', 'BPL', 'SWX', 'BPT', 'DX', 'DY', 'BPY', 'DW', 'DQ', 'TGP', 'TGT', 'TGH', 'TGI', 'CGI', 'GOL', 'VCRA', 'DHI', 'MLI', 'MLM', 'ADX', 'DHX', 'DHT', 'DHR', 'AJG', 'MAN', 'NRG', 'NRF', 'NRZ', 'NRP', 'RRTS', 'WD', 'WM', 'WK', 'WU', 'WR', 'WY', 'HSC', 'OMAM', 'RIO', 'HST', 'RIG', 'HSY', 'EQY', 'KNL', 'HAL', 'BNS', 'H', 'KND', 'EQR', 'HAE', 'XIN', 'EQM', 'KNX', 'HAR', 'LVLT', 'LXU', 'WLKP', 'SYF', 'LXP', 'SYK', 'XEC', 'VNCE', 'SYT', 'SYY', 'LXK', 'GWRE', 'EME', 'RGR', 'RGS', 'MEI', 'EMN', 'RGA', 'RGC', 'EMR', 'NYLD.A', 'SDRL', 'LDL', 'LDR', 'FOR', 'FOE', 'SAH', 'BXMT', 'VGR', 'WWW', 'WWE', 'COP', 'COR', 'COT', 'PEP', 'PES', 'FSS', 'PEI', 'COG', 'COF', 'COH', 'PEG', 'COL', 'PEB', 'ASGN', 'AOS', 'WAL', 'PSXP', 'WAC', 'WAB', 'WAT', 'ZTS', 'UFI', 'PLOW', 'OEC', 'UFS', 'DIN', 'MKC', 'GNW', 'AIZ', 'AIT', 'MKL', 'AIR', 'GNC', 'AIN', 'RPAI', 'AIG', 'DIS', 'NSH', 'NSM', 'NSC', 'NSP', 'NSR', 'IX', 'PANW', 'I', 'IP', 'IRS', 'IT', 'UTL', 'URI', 'IM', 'IL', 'UTX', 'PWR', 'QUOT', 'MRO', 'ACRE', 'SHLX', 'HBI', 'TLRD', 'EPR', 'BOH', 'NAP', 'NAV', 'NAT', 'EPD', 'EPE', 'EPC', 'LYV', 'SXC', 'SXI', 'SXL', 'LYG', 'SXT', 'VVI', 'VVC', 'SVU', 'PFSI', 'PEO', 'GXP', 'FLY', 'HOG', 'BURL', 'FLS', 'FLR', 'FLT', 'FLO', 'E', 'COO', 'TRI', 'TRN', 'TRQ', 'TRP', 'TRV', 'KCG', 'HTA', 'RTEC', 'HTH', 'GNRC', 'ZBH', 'NI', 'AJRD', 'NC', 'RRC', 'NE', 'NX', 'NP', 'NQ', 'NR', 'NS', 'RDY', 'ELY', 'RDC', 'ELS', 'ELP', 'RDN', 'LEA', 'FBP', 'SMLP', 'LEE', 'LEG', 'OZM', 'SPXC', 'LEO', 'FBC', 'USG', 'USB', 'AZN', 'AZO', 'USM', 'AZZ', 'LDOS', 'SGY', 'JONE', 'KORS', 'PXD', 'CNS', 'CNP', 'CNQ', 'FPO', 'FPI', 'ICE', 'ICD', 'CNC', 'VSI', 'CNO', 'CNK', 'TKC', 'PFE', 'PFG', 'SNOW', 'CATO', 'PFS', 'SIX', 'CIVI', 'SIG', 'JWN', 'SID', 'TAP', 'RLGY', 'GIS', 'MJN', 'GIB', 'BRSS', 'GIL', 'NPO', 'NPK', 'AHH', 'AHL', 'PACD', 'AHS', 'AHP', 'AHT', 'RICE', 'XYL', 'TSN', 'TSO', 'TSL', 'TSM', 'TSE', 'TSU', 'TSS', 'KBH', 'PGRE', 'HUM', 'HUN', 'AROC', 'KBR', 'BABA', 'HCP', 'BLX', 'K', 'TRCO', 'BLL', 'HCA', 'BLK', 'HCI', 'HCN', 'NFX', 'WAGE', 'SAIC', 'DLR', 'PRGO', 'LZB', 'REX', 'RES', 'REV', 'REN', 'REG', 'LFC', 'FCX', 'LFL', 'STWD', 'FCB', 'FCF', 'FCH', 'FICO', 'FCN', 'OUT', 'AIV', 'VER', 'FMX', 'FMS', 'LTC', 'VEC', 'FMC', 'ADPT', 'SR', 'SU', 'ST', 'SO', 'SN', 'SM', 'SC', 'SA', 'SF', 'SE', 'IBM', 'IBN', 'CAT', 'CAJ', 'CAH', 'CAL', 'IBP', 'CAB', 'CAA', 'DATA', 'PGH', 'DYN', 'PGR', 'CUDA', 'WWAV', 'WCC', 'WCG', 'CACI', 'WCN', 'UDR', 'RSO', 'RSG', 'OGS', 'OGE', 'DKS', 'GRUB', 'MIC', 'GHC', 'GHL', 'DKL', 'SON', 'AON', 'SXCP', 'CVRR', 'AYI', 'L', 'AYR', 'ENLK', 'IPG', 'NLSN', 'ENLC', 'IPI', 'SFR', 'SFS', 'SFL', 'KSU', 'NGG', 'KSS', 'NGL', 'VIPS', 'EROS', 'BMA', 'GATX', 'BMI', 'BMO', 'BMS', 'BMY', 'EL', 'IR', 'SHW', 'EE', 'ED', 'ENBL', 'EC', 'SHG', 'CRK', 'EW', 'EV', 'ES', 'SHO', 'MGA', 'AMID', 'MGM', 'TBI', 'LNT', 'IRM', 'LUV', 'LUX', 'LUK', 'WPX', 'QTS', 'WPZ', 'BITA', 'JCI', 'WPG', 'WPC', 'TLP', 'IPHI', 'XL', 'GTN', 'VTR', 'GTT', 'TLK', 'GTY', 'NMFC', 'RYAM', 'HSBC', 'BHLB', 'KEY', 'KEX', 'HVT', 'KEP', 'WBS', 'BBL', 'WBC', 'WBK', 'TSLX', 'RPT', 'ITC', 'PWE', 'RPM', 'M', 'HXL', 'RBC', 'RBA', 'RSPP', 'LGF', 'GTS', 'MET', 'AXS', 'AXP', 'AXE', 'AXL', 'OFC', 'OFG', 'IAG', 'VALE', 'CLNY', 'PHH', 'PHM', 'GMED', 'PHG', 'SKT', 'ESRT', 'SKX', 'SKM', 'GSK', 'GES', 'MFA', 'MFC', 'MFG', 'TCS', 'TCP', 'TCO', 'GEF', 'WGL', 'TCB', 'DST', 'GEL', 'MHO', 'MHK', 'DDS', 'DDR', 'BBVA', 'KAMN', 'COTY', 'DDC', 'DDD', 'ANF', 'NVS', 'NVR', 'ANH', 'ANW', 'NVO', 'GWB', 'GWW', 'REXR', 'GWR', 'TMH', 'TMK', 'TMO', 'APAM', 'RCI', 'QEP', 'ARMK', 'HEP', 'LYB', 'HES', 'LOCK', 'OKS', 'N', 'KRO', 'KRC', 'KRA', 'KRG', 'TISI', 'HYH', 'EIX', 'WSM', 'WSO', 'RCL', 'WSR', 'WST', 'EIG', 'ARCO', 'UHT', 'OKE', 'FAF', 'LVS', 'VKQ', 'RMAX', 'VSLR', 'CCU', 'OAK', 'CCS', 'CCL', 'CCI', 'CCK', 'CCJ', 'CCE', 'CCC', 'PII', 'AKR', 'CHMT', 'WMS', 'WMT', 'WMK', 'WMC', 'WMB', 'ALEX', 'OI', 'UBS', 'OC', 'OB', 'OA', 'UBA', 'MAIN', 'MWW', 'DEI', 'MWA', 'DEL', 'DEO', 'SERV', 'AMH', 'GLT', 'AMC', 'AME', 'AMG', 'DOW', 'AMX', 'NWL', 'AMP', 'NWN', 'AMT', 'RBS', 'O', 'WDAY', 'UPS', 'IVC', 'IVR', 'IVZ', 'ACC', 'NEM', 'ACN', 'ACM', 'ACW', 'HFC', 'NEU', 'NEP', 'BKD', 'BKE', 'BKH', 'BKU', 'BKS', 'SALT', 'SJR', 'SJW', 'SJI', 'SJM', 'QUAD', 'TVPT', 'MED', 'MEG', 'BOOT', 'SSTK', 'TX', 'TV', 'DLNG', 'TU', 'TR', 'TS', 'TM', 'TK', 'TI', 'TG', 'TD', 'TXT', 'AB', 'TNP', 'AF', 'AI', 'GVA', 'AM', 'AL', 'AN', 'AR', 'AU', 'TNC', 'TNH', 'TNK', 'NKE', 'HHC', 'KGC', 'RRMS', 'CPK', 'CPL', 'CPN', 'CPA', 'CPB', 'CPE', 'CPF', 'WLH', 'WLK', 'WLL', 'CPS', 'CPT', 'ALDW', 'OSK', 'UAM', 'UAL', 'UAN', 'VOYA', 'WRE', 'WRB', 'HZO', 'WRI', 'P', 'LAD', 'LAZ', 'NTP', 'FFG', 'SEAS', 'DTE', 'CODI', 'ANFI', 'KATE', 'NYRT', 'IGT', 'JNPR', 'IGD', 'IMAX', 'FTI', 'FTK', 'CBB', 'CBG', 'CBD', 'CBI', 'PJC', 'CBM', 'CBS', 'MXL', 'CBT', 'CBU', 'CBZ', 'GIMO', 'FR', 'SCCO', 'SMP', 'KNOP', 'FE', 'FF', 'SMG', 'FI', 'FL', 'FN', 'BZH', 'GGP', 'MDC', 'GGG', 'GGB', 'MDR', 'MDP', 'MDT', 'MDU', 'DFT', 'RUBI', 'DFS', 'JEC', 'ALL', 'ALJ', 'ALK', 'PAGP', 'ALG', 'ALE', 'ALB', 'NTT', 'ALX', 'ALV', 'ALR', 'DECK', 'USAC', 'MITT', 'TOT', 'WUBA', 'TOO', 'TOL', 'HIW', 'NHI', 'KFY', 'BAH', 'HIG', 'HII', 'ABB', 'ABC', 'ABG', 'ABM', 'Q', 'ABT', 'BANC', 'XON', 'XOM', 'BHI', 'SSP', 'BAS', 'BHE', 'TRGP', 'BHP', 'NOAH', 'EGP', 'EGO', 'EGN', 'EGL', 'RAD', 'IMPV', 'FGP', 'RAI', 'FGL', 'RAS', 'THG', 'RAX', 'EVRI', 'LPX', 'DNOW', 'LPT', 'BFS', 'BFR', 'LPL', 'LPI', 'LADR', 'LPG', 'TYL', 'TYG', 'VIV', 'DPLO', 'STAR', 'OCN', 'NYCB', 'WNR', 'STAY', 'STAG', 'IFF', 'FUN', 'FUL', 'CHSP', 'CEB', 'CEO', 'PKX', 'PKY', 'PKG', 'PKD', 'PKI', 'PKO', 'CSL', 'CSC', 'WOR', 'NVRO', 'CSU', 'CST', 'CSV', 'XOXO', 'JBT', 'AEP', 'MUX', 'ABX', 'JBL', 'ASR', 'CMCM', 'ASX', 'NUS', 'ASC', 'ASB', 'ASA', 'DGX', 'ASH', 'ORAN', 'UNP', 'DUK', 'UNT', 'CSTM', 'R', 'MTOR', 'UNF', 'UNH', 'UNM', 'OMC', 'KB', 'OMF', 'OME', 'ITG', 'OMI', 'KO', 'OMN', 'KS', 'KR', 'KW', 'ANET', 'KT', 'JMEI', 'ITT', 'ZOES', 'AAC', 'AAN', 'TIER', 'AAP', 'BIO', 'SCNB', 'BIG', 'BID', 'SSNI', 'KWR', 'AEO', 'CSLT', 'SLW', 'VTTI', 'SLF', 'MSGN', 'SLB', 'MCO', 'MCK', 'MCD', 'MCC', 'USPH', 'GFI', 'MCY', 'GFF', 'BGC', 'EXC', 'BGG', 'MUSA', 'EXK', 'BGS', 'EXR', 'EXP', 'VNO', 'JPM', 'ONDK', 'DLPH', 'TCK', 'GPN', 'GPI', 'GPK', 'THS', 'THR', 'GPC', 'THO', 'GPX', 'TMHC', 'GPT', 'THC', 'GPS', 'KODK', 'GEO', 'KMPR', 'NMBL', 'KIM', 'NORD', 'CRR', 'CRS', 'CRY', 'FDP', 'FDS', 'LEN', 'FDX', 'CRH', 'CRI', 'CRL', 'CRM', 'WNC', 'PGEM', 'PX', 'PB', 'WNS', 'PF', 'PG', 'PE', 'PH', 'PM', 'EFX', 'APTS', 'S', 'EFC', 'FBR', 'RS', 'RNG', 'RNR', 'LCI', 'DVN', 'DVA', 'UMC', 'CMRE', 'UMH', 'GDOT', 'OLN', 'OLP', 'IEX', 'IRET', 'RM', 'EXAR', 'CDE', 'PLT', 'MOS', 'PLD', 'CDR', 'MORE', 'BXP', 'BXS', 'PPG', 'MBI', 'AMBR', 'PPL', 'PPS', 'NGVC', 'MBT', 'MTZ', 'MTX', 'JCP', 'MTW', 'MTU', 'MTH', 'MTN', 'MTB', 'FSIC', 'MTG', 'MTD', 'ARR', 'ARW', 'SWFT', 'ARE', 'ARI', 'ETR', 'BG', 'BA', 'BC', 'BH', 'BK', 'BT', 'BP', 'BR', 'TIF', 'BX', 'NNN', 'NNI', 'POST', 'ATHM', 'TPX', 'TLYS', 'T', 'TREX', 'SQM', 'CINR', 'BVN', 'CRCM', 'EEQ', 'EEP', 'EOCC', 'LLY', 'ROK', 'ROL', 'ROG', 'TEVA', 'LLL', 'ROP', 'KMX', 'BDC', 'BDN', 'BERY', 'CNX', 'BDX', 'SDLP', 'LRN', 'UL', 'UN', 'IDT', 'CNA', 'STOR', 'STON', 'IDA', 'PMT', 'NJR', 'GRAM', 'PMC', 'CNI', 'CUZ', 'TMST', 'FET', 'CUB', 'CUK', 'NOMD', 'WIT', 'CIB', 'CIG', 'CIE', 'NEWM', 'CIO', 'CIM', 'CHGG', 'CIR', 'MSM', 'MSI', 'CIT', 'NEWR', 'IFN', 'MSA', 'DAL', 'DAN', 'SRE', 'ORCL', 'DAR', 'YDKN', 'CUBE', 'CUBI', 'ABBV', 'ENVA'] ============================================ 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= 25 443 433 427 403 338 j= 35 433 423 417 393 328 j= 45 423 413 407 383 318 j= 65 403 393 387 363 298 j=130 338 328 322 298 233 2 Winner Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0192 0.0188 0.0143 -0.0058 -0.0114 j= 35 0.0278 0.0207 0.0124 -0.0130 -0.0144 j= 45 0.0192 0.0083 0.0018 -0.0177 -0.0138 j= 65 0.0163 0.0049 -0.0018 -0.0185 -0.0197 j=130 -0.0036 -0.0063 -0.0084 -0.0123 -0.0100 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0119 0.0133 0.0088 -0.0103 -0.0136 j= 35 0.0197 0.0139 0.0052 -0.0179 -0.0166 j= 45 0.0109 0.0009 -0.0042 -0.0219 -0.0162 j= 65 0.0091 0.0000 -0.0065 -0.0228 -0.0215 j=130 -0.0136 -0.0142 -0.0155 -0.0164 -0.0113 4 Loser Number of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 443 433 427 403 338 j= 35 433 423 417 393 328 j= 45 423 413 407 383 318 j= 65 403 393 387 363 298 j=130 338 328 322 298 233 5 Loser Arithmetic Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0081 0.0034 0.0031 0.0040 -0.0086 j= 35 -0.0030 -0.0040 -0.0021 0.0042 -0.0101 j= 45 -0.0112 -0.0076 -0.0040 0.0043 -0.0119 j= 65 -0.0010 0.0077 0.0087 0.0127 -0.0083 j=130 0.0453 0.0418 0.0420 0.0348 0.0153 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0109 -0.0092 -0.0058 -0.0010 -0.0101 j= 35 -0.0226 -0.0161 -0.0116 -0.0004 -0.0116 j= 45 -0.0284 -0.0192 -0.0134 -0.0005 -0.0134 j= 65 -0.0181 -0.0029 -0.0002 0.0080 -0.0094 j=130 0.0214 0.0263 0.0298 0.0288 0.0130 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 2.6736 3.0976 2.2872 -1.5823 -3.5384 j= 35 3.8513 3.1091 1.7096 -2.9349 -4.4462 j= 45 2.4160 0.9292 -0.1071 -4.1236 -4.2774 j= 65 2.0569 0.4787 -0.7842 -4.2218 -6.6727 j=130 -1.0999 -1.6344 -2.0848 -3.5614 -4.8274 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0076 0.0020 0.0224 0.1140 0.0004 j= 35 0.0001 0.0019 0.0877 0.0034 0.0000 j= 45 0.0159 0.3530 0.9147 0.0000 0.0000 j= 65 0.0400 0.6323 0.4331 0.0000 0.0000 j=130 0.2718 0.1026 0.0375 0.0004 0.0000 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 1.2473 2.1821 1.9948 -1.9677 -0.8583 j= 35 3.4007 3.5920 2.2659 -3.2825 -1.2991 j= 45 4.0786 2.4237 0.9599 -4.2122 -0.6020 j= 65 1.9496 -0.3811 -1.4851 -5.3576 -4.7458 j=130 -4.6518 -5.2343 -5.8304 -7.9330 -7.0691 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.2129 0.0296 0.0467 0.0498 0.3913 j= 35 0.0007 0.0004 0.0240 0.0011 0.1948 j= 45 0.0001 0.0158 0.3377 0.0000 0.5476 j= 65 0.0519 0.7033 0.1383 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 0.1213 0.1056 0.1056 0.0935 0.0668 j= 35 0.1276 0.1158 0.1166 0.0969 0.0663 j= 45 0.1285 0.1176 0.1087 0.0903 0.0681 j= 65 0.1209 0.0994 0.0958 0.0901 0.0597 j=130 0.1399 0.1243 0.1173 0.0891 0.0501 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1906 0.1555 0.1340 0.1003 0.0552 j= 35 0.1943 0.1545 0.1404 0.0973 0.0532 j= 45 0.1828 0.1538 0.1409 0.0983 0.0533 j= 65 0.1869 0.1483 0.1378 0.0974 0.0483 j=130 0.2203 0.1817 0.1638 0.1100 0.0679 ============================================ ============================================ 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 +0.0081 +0.1906 +0.0423 0 +0.0192 +0.1213 +0.1580 (Winner-Loser) +0.0111 (t-stat) +1.0338 (p-value) +0.3015 ============================================ ============================================ 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 +0.0034 +0.1555 +0.0219 0 +0.0188 +0.1056 +0.1780 (Winner-Loser) +0.0154 (t-stat) +1.7026 (p-value) +0.0890 ============================================ ============================================ 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 +0.0031 +0.1340 +0.0229 0 +0.0143 +0.1056 +0.1358 (Winner-Loser) +0.0113 (t-stat) +1.3623 (p-value) +0.1735 ============================================ ============================================ 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 +0.0040 +0.1003 +0.0397 0 -0.0058 +0.0935 -0.0621 (Winner-Loser) -0.0098 (t-stat) -1.4322 (p-value) +0.1525 ============================================ ============================================ 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 -0.0086 +0.0552 -0.1549 0 -0.0114 +0.0668 -0.1700 (Winner-Loser) -0.0028 (t-stat) -0.5937 (p-value) +0.5529 ============================================ ============================================ 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 -0.0030 +0.1943 -0.0157 0 +0.0278 +0.1276 +0.2182 (Winner-Loser) +0.0309 (t-stat) +2.7616 (p-value) +0.0059 ============================================ ============================================ 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 -0.0040 +0.1545 -0.0262 0 +0.0207 +0.1158 +0.1787 (Winner-Loser) +0.0247 (t-stat) +2.6318 (p-value) +0.0086 ============================================ ============================================ 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 -0.0021 +0.1404 -0.0152 0 +0.0124 +0.1166 +0.1060 (Winner-Loser) +0.0145 (t-stat) +1.6181 (p-value) +0.1060 ============================================ ============================================ 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 +0.0042 +0.0973 +0.0435 0 -0.0130 +0.0969 -0.1337 (Winner-Loser) -0.0172 (t-stat) -2.4785 (p-value) +0.0134 ============================================ ============================================ 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 -0.0101 +0.0532 -0.1903 0 -0.0144 +0.0663 -0.2172 (Winner-Loser) -0.0043 (t-stat) -0.9120 (p-value) +0.3621 ============================================ ============================================ 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 -0.0112 +0.1828 -0.0614 0 +0.0192 +0.1285 +0.1497 (Winner-Loser) +0.0305 (t-stat) +2.8001 (p-value) +0.0052 ============================================ ============================================ 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 -0.0076 +0.1538 -0.0493 0 +0.0083 +0.1176 +0.0702 (Winner-Loser) +0.0158 (t-stat) +1.6597 (p-value) +0.0974 ============================================ ============================================ 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 -0.0040 +0.1409 -0.0286 0 +0.0018 +0.1087 +0.0169 (Winner-Loser) +0.0059 (t-stat) +0.6651 (p-value) +0.5062 ============================================ ============================================ 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 +0.0043 +0.0983 +0.0438 0 -0.0177 +0.0903 -0.1958 (Winner-Loser) -0.0220 (t-stat) -3.2181 (p-value) +0.0013 ============================================ ============================================ 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 -0.0119 +0.0533 -0.2238 0 -0.0138 +0.0681 -0.2034 (Winner-Loser) -0.0019 (t-stat) -0.3961 (p-value) +0.6922 ============================================ ============================================ 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 -0.0010 +0.1869 -0.0056 0 +0.0163 +0.1209 +0.1352 (Winner-Loser) +0.0174 (t-stat) +1.5660 (p-value) +0.1177 ============================================ ============================================ 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 +0.0077 +0.1483 +0.0520 0 +0.0049 +0.0994 +0.0496 (Winner-Loser) -0.0028 (t-stat) -0.3083 (p-value) +0.7579 ============================================ ============================================ 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 +0.0087 +0.1378 +0.0633 0 -0.0018 +0.0958 -0.0189 (Winner-Loser) -0.0105 (t-stat) -1.2331 (p-value) +0.2179 ============================================ ============================================ 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 +0.0127 +0.0974 +0.1305 0 -0.0185 +0.0901 -0.2057 (Winner-Loser) -0.0312 (t-stat) -4.4802 (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 -0.0083 +0.0483 -0.1712 0 -0.0197 +0.0597 -0.3304 (Winner-Loser) -0.0115 (t-stat) -2.5697 (p-value) +0.0104 ============================================ ============================================ 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 +0.0453 +0.2203 +0.2055 0 -0.0036 +0.1399 -0.0255 (Winner-Loser) -0.0488 (t-stat) -3.4350 (p-value) +0.0006 ============================================ ============================================ 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 +0.0418 +0.1817 +0.2301 0 -0.0063 +0.1243 -0.0506 (Winner-Loser) -0.0481 (t-stat) -3.9511 (p-value) +0.0001 ============================================ ============================================ 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 +0.0420 +0.1638 +0.2566 0 -0.0084 +0.1173 -0.0716 (Winner-Loser) -0.0504 (t-stat) -4.4855 (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 +0.0348 +0.1100 +0.3162 0 -0.0123 +0.0891 -0.1384 (Winner-Loser) -0.0471 (t-stat) -5.7354 (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 +0.0153 +0.0679 +0.2247 0 -0.0100 +0.0501 -0.2003 (Winner-Loser) -0.0253 (t-stat) -4.5652 (p-value) +0.0000 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:130, k:65 Buy Qty Ticker Price on 2016-12-15 0.2000 REN 37.14 0.2000 CWEI 107.76 0.2000 OCN 5.23 0.2000 CLD 5.92 0.2000 NRP 37.00 Sell Qty Ticker Price on 2016-12-15 0.2000 DPLO 13.06 0.2000 AAC 7.80 0.2000 STON 7.83 0.2000 BAS 0.42 0.2000 ADPT 8.14 Holding period is 65 d ============== bestWinnerLoser =================== j:130, k:41 Buy Qty Ticker Price on 2016-12-15 0.2000 REN 37.14 0.2000 CWEI 107.76 0.2000 OCN 5.23 0.2000 CLD 5.92 0.2000 NRP 37.00 Sell Qty Ticker Price on 2016-12-15 0.2000 DPLO 13.06 0.2000 AAC 7.80 0.2000 STON 7.83 0.2000 BAS 0.42 0.2000 ADPT 8.14 Holding period is 41 d