============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_NYSE_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: %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 0.0156 0.0145 0.0104 -0.0055 -0.0095 j= 35 0.0145 0.0073 0.0028 -0.0117 -0.0089 j= 45 0.0102 0.0029 -0.0011 -0.0132 -0.0098 j= 65 0.0026 -0.0046 -0.0089 -0.0162 -0.0148 j=130 0.0044 0.0008 -0.0008 -0.0063 -0.0086 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0109 0.0109 0.0069 -0.0083 -0.0110 j= 35 0.0095 0.0032 -0.0014 -0.0147 -0.0104 j= 45 0.0048 -0.0018 -0.0048 -0.0160 -0.0114 j= 65 -0.0025 -0.0079 -0.0120 -0.0191 -0.0161 j=130 -0.0014 -0.0035 -0.0048 -0.0088 -0.0096 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 -0.0010 -0.0064 -0.0086 -0.0054 -0.0147 j= 35 -0.0118 -0.0137 -0.0115 -0.0034 -0.0128 j= 45 -0.0107 -0.0098 -0.0077 -0.0001 -0.0147 j= 65 -0.0114 -0.0068 -0.0042 -0.0016 -0.0095 j=130 0.0343 0.0274 0.0250 0.0219 0.0169 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0147 -0.0166 -0.0158 -0.0093 -0.0162 j= 35 -0.0265 -0.0235 -0.0186 -0.0070 -0.0141 j= 45 -0.0236 -0.0189 -0.0147 -0.0040 -0.0160 j= 65 -0.0237 -0.0153 -0.0116 -0.0058 -0.0109 j=130 0.0181 0.0158 0.0158 0.0179 0.0156 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 2.5261 2.7656 1.9207 -1.8924 -3.6336 j= 35 2.1975 1.0229 0.1150 -3.3913 -3.5564 j= 45 1.2474 0.0431 -0.7889 -3.8124 -3.7980 j= 65 -0.1557 -1.5874 -2.5977 -4.4253 -6.0469 j=130 -0.1205 -0.8140 -1.2263 -3.0342 -4.8989 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0117 0.0058 0.0551 0.0588 0.0003 j= 35 0.0282 0.3066 0.9085 0.0007 0.0004 j= 45 0.2126 0.9656 0.4304 0.0001 0.0002 j= 65 0.8763 0.1128 0.0096 0.0000 0.0000 j=130 0.9041 0.4160 0.2205 0.0025 0.0000 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 2.3410 3.7075 4.2778 -0.0344 2.2937 j= 35 3.7161 3.9166 3.0609 -2.3172 1.7625 j= 45 3.3673 2.5657 1.4704 -3.4856 2.1950 j= 65 2.1263 0.4033 -0.8688 -3.2741 -2.7325 j=130 -3.4742 -3.5110 -3.6609 -6.2001 -11.3217 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0197 0.0002 0.0000 0.9726 0.0224 j= 35 0.0002 0.0001 0.0023 0.0210 0.0789 j= 45 0.0008 0.0107 0.1422 0.0005 0.0289 j= 65 0.0341 0.6870 0.3855 0.0012 0.0067 j=130 0.0006 0.0005 0.0003 0.0000 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0976 0.0859 0.0837 0.0741 0.0553 j= 35 0.0998 0.0902 0.0901 0.0760 0.0550 j= 45 0.1038 0.0947 0.0854 0.0742 0.0576 j= 65 0.1004 0.0815 0.0784 0.0753 0.0517 j=130 0.1085 0.0939 0.0893 0.0704 0.0447 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1597 0.1356 0.1181 0.0886 0.0544 j= 35 0.1649 0.1348 0.1199 0.0851 0.0512 j= 45 0.1586 0.1340 0.1214 0.0889 0.0509 j= 65 0.1572 0.1313 0.1247 0.0916 0.0523 j=130 0.1838 0.1546 0.1401 0.0913 0.0526 ============================================ ============================================ 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 -0.0010 +0.1597 -0.0064 0 +0.0156 +0.0976 +0.1596 (Winner-Loser) +0.0166 (t-stat) +1.8634 (p-value) +0.0627 ============================================ ============================================ 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 -0.0064 +0.1356 -0.0471 0 +0.0145 +0.0859 +0.1694 (Winner-Loser) +0.0209 (t-stat) +2.7110 (p-value) +0.0068 ============================================ ============================================ 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 -0.0086 +0.1181 -0.0725 0 +0.0104 +0.0837 +0.1248 (Winner-Loser) +0.0190 (t-stat) +2.7101 (p-value) +0.0069 ============================================ ============================================ 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 +0.0886 -0.0606 0 -0.0055 +0.0741 -0.0741 (Winner-Loser) -0.0001 (t-stat) -0.0216 (p-value) +0.9827 ============================================ ============================================ 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 -0.0147 +0.0544 -0.2702 0 -0.0095 +0.0553 -0.1713 (Winner-Loser) +0.0052 (t-stat) +1.2405 (p-value) +0.2152 ============================================ ============================================ 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 -0.0118 +0.1649 -0.0714 0 +0.0145 +0.0998 +0.1453 (Winner-Loser) +0.0263 (t-stat) +2.8325 (p-value) +0.0047 ============================================ ============================================ 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 -0.0137 +0.1348 -0.1018 0 +0.0073 +0.0902 +0.0812 (Winner-Loser) +0.0210 (t-stat) +2.6648 (p-value) +0.0079 ============================================ ============================================ 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 -0.0115 +0.1199 -0.0955 0 +0.0028 +0.0901 +0.0316 (Winner-Loser) +0.0143 (t-stat) +1.9446 (p-value) +0.0522 ============================================ ============================================ 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 -0.0034 +0.0851 -0.0395 0 -0.0117 +0.0760 -0.1543 (Winner-Loser) -0.0084 (t-stat) -1.4523 (p-value) +0.1468 ============================================ ============================================ 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 -0.0128 +0.0512 -0.2503 0 -0.0089 +0.0550 -0.1619 (Winner-Loser) +0.0039 (t-stat) +0.9429 (p-value) +0.3461 ============================================ ============================================ 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 -0.0107 +0.1586 -0.0675 0 +0.0102 +0.1038 +0.0984 (Winner-Loser) +0.0209 (t-stat) +2.2669 (p-value) +0.0236 ============================================ ============================================ 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 -0.0098 +0.1340 -0.0734 0 +0.0029 +0.0947 +0.0306 (Winner-Loser) +0.0127 (t-stat) +1.5754 (p-value) +0.1155 ============================================ ============================================ 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 -0.0077 +0.1214 -0.0634 0 -0.0011 +0.0854 -0.0127 (Winner-Loser) +0.0066 (t-stat) +0.8981 (p-value) +0.3694 ============================================ ============================================ 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 -0.0001 +0.0889 -0.0016 0 -0.0132 +0.0742 -0.1772 (Winner-Loser) -0.0130 (t-stat) -2.1953 (p-value) +0.0284 ============================================ ============================================ 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 -0.0147 +0.0509 -0.2888 0 -0.0098 +0.0576 -0.1699 (Winner-Loser) +0.0049 (t-stat) +1.1364 (p-value) +0.2562 ============================================ ============================================ 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 -0.0114 +0.1572 -0.0723 0 +0.0026 +0.1004 +0.0254 (Winner-Loser) +0.0139 (t-stat) +1.4957 (p-value) +0.1351 ============================================ ============================================ 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 -0.0068 +0.1313 -0.0519 0 -0.0046 +0.0815 -0.0562 (Winner-Loser) +0.0022 (t-stat) +0.2867 (p-value) +0.7744 ============================================ ============================================ 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 -0.0042 +0.1247 -0.0334 0 -0.0089 +0.0784 -0.1129 (Winner-Loser) -0.0047 (t-stat) -0.6254 (p-value) +0.5319 ============================================ ============================================ 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 -0.0016 +0.0916 -0.0179 0 -0.0162 +0.0753 -0.2146 (Winner-Loser) -0.0145 (t-stat) -2.3302 (p-value) +0.0201 ============================================ ============================================ 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 -0.0095 +0.0523 -0.1821 0 -0.0148 +0.0517 -0.2856 (Winner-Loser) -0.0052 (t-stat) -1.2254 (p-value) +0.2209 ============================================ ============================================ 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 +0.0343 +0.1838 +0.1867 0 +0.0044 +0.1085 +0.0404 (Winner-Loser) -0.0299 (t-stat) -2.5731 (p-value) +0.0103 ============================================ ============================================ 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 +0.0274 +0.1546 +0.1771 0 +0.0008 +0.0939 +0.0090 (Winner-Loser) -0.0265 (t-stat) -2.6522 (p-value) +0.0082 ============================================ ============================================ 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 +0.0250 +0.1401 +0.1785 0 -0.0008 +0.0893 -0.0086 (Winner-Loser) -0.0258 (t-stat) -2.7789 (p-value) +0.0056 ============================================ ============================================ 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 +0.0219 +0.0913 +0.2405 0 -0.0063 +0.0704 -0.0900 (Winner-Loser) -0.0283 (t-stat) -4.2293 (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 +0.0169 +0.0526 +0.3217 0 -0.0086 +0.0447 -0.1920 (Winner-Loser) -0.0255 (t-stat) -5.6281 (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 REN 37.14 0.1111 CWEI 107.76 0.1111 OCN 5.23 0.1111 CLD 5.92 0.1111 NRP 37.00 0.1111 TLRD 27.38 0.1111 TROX 11.57 0.1111 EVHC 65.86 0.1111 TLYS 14.38 Sell Qty Ticker Price on 2016-12-15 0.1111 HK 8.81 0.1111 DYN 8.41 0.1111 CYH 5.43 0.1111 FGP 6.45 0.1111 DPLO 13.06 0.1111 AAC 7.80 0.1111 STON 7.83 0.1111 BAS 0.42 0.1111 ADPT 8.14 Holding period is 130 d ============== bestWinnerLoser =================== j:35, k:25 Buy Qty Ticker Price on 2016-12-15 0.1111 EVHC 65.86 0.1111 TDW 3.99 0.1111 IPI 2.41 0.1111 BRS 20.90 0.1111 AKS 10.57 0.1111 PIR 8.57 0.1111 CXW 24.53 0.1111 X 35.84 0.1111 HOV 2.66 Sell Qty Ticker Price on 2016-12-15 0.1111 VRX 13.60 0.1111 HMY 1.92 0.1111 SBGL 6.55 0.1111 CYH 5.43 0.1111 GOL 13.18 0.1111 DPLO 13.06 0.1111 AAC 7.80 0.1111 STON 7.83 0.1111 ADPT 8.14 Holding period is 25 d