============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m2_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(2)', 'computePortfolioReturns()', 'report()'] js: [25, 35, 45, 65, 130] ks: [25, 35, 41, 65, 130] risklessReturnSecurityName: %5EH15_TB_M6 indexSecurityName: %5ERUA Report switches: WinnerLoser TimeFrame: 1 4 2015 12 15 2016 Period: d Component Count: 41 Component Source: ../../../DBs/Analyst/stockhistory/20161218/d Components: ['DANOY', 'DASTY', 'ZURVY', 'LUKOY', 'FRFHF', 'TSCDY', 'UOVEY', 'RDSMY', 'BRDCY', 'HEINY', 'WOSYY', 'WMMVY', 'TLSYY', 'FMCC', 'KMTUY', 'AXAHY', 'AZSEY', 'DTEGY', 'BASFY', 'DDAIF', 'AKZOY', 'NSANY', 'FNMA', 'ADRNY', 'LVMUY', 'RYCEY', 'IFNNY', 'SKYAY', 'IMBBY', 'TRTC', 'RHHBY', 'KKPNY', 'PCRFY', 'TTNDY', 'SIEGY', 'BAYRY', 'KUBTY', 'NPSNY', 'SCGLY', 'VLKAY', 'VEOEY'] ============================================ 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 -0.0213 -0.0178 -0.0095 -0.0034 0.0072 j= 35 -0.0187 -0.0085 -0.0012 -0.0014 0.0112 j= 45 -0.0073 0.0021 0.0062 0.0029 0.0134 j= 65 0.0013 0.0014 0.0040 0.0023 0.0113 j=130 0.0119 0.0132 0.0164 0.0158 0.0125 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0266 -0.0214 -0.0128 -0.0053 0.0064 j= 35 -0.0250 -0.0130 -0.0053 -0.0035 0.0104 j= 45 -0.0142 -0.0029 0.0021 0.0009 0.0126 j= 65 -0.0053 -0.0033 0.0002 0.0003 0.0106 j=130 0.0063 0.0095 0.0136 0.0145 0.0121 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 0.0126 0.0148 0.0133 0.0033 0.0012 j= 35 0.0108 0.0074 0.0049 0.0064 0.0035 j= 45 0.0034 -0.0004 -0.0001 0.0054 -0.0010 j= 65 0.0009 0.0055 0.0046 0.0065 -0.0005 j=130 0.0215 0.0211 0.0203 0.0265 0.0350 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0085 0.0111 0.0098 0.0016 0.0002 j= 35 0.0065 0.0046 0.0024 0.0047 0.0023 j= 45 -0.0010 -0.0036 -0.0028 0.0035 -0.0022 j= 65 -0.0040 0.0010 0.0004 0.0043 -0.0015 j=130 0.0166 0.0183 0.0177 0.0252 0.0342 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.5630 -4.5051 -2.6735 -1.4552 2.6379 j= 35 -3.6808 -2.0753 -0.6092 -0.7851 4.1958 j= 45 -1.6066 0.0425 0.9225 0.4640 4.9829 j= 65 -0.1657 -0.0194 0.5372 0.2796 3.8464 j=130 1.3996 1.9250 2.7487 3.4064 3.7186 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 0.0000 0.0076 0.1460 0.0085 j= 35 0.0002 0.0383 0.5425 0.4326 0.0000 j= 45 0.1085 0.9661 0.3565 0.6428 0.0000 j= 65 0.8684 0.9845 0.5913 0.7798 0.0001 j=130 0.1621 0.0547 0.0062 0.0007 0.0002 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -6.0531 -6.3683 -4.3868 -1.8019 2.1465 j= 35 -4.8769 -2.9201 -1.1973 -1.9827 2.5249 j= 45 -1.5687 0.4294 1.2613 -0.6465 4.8147 j= 65 0.0507 -0.6188 -0.1058 -1.0231 4.2393 j=130 -1.2157 -1.2197 -0.6752 -2.8184 -7.1090 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 0.0723 0.0326 j= 35 0.0000 0.0037 0.2319 0.0481 0.0120 j= 45 0.1175 0.6679 0.2079 0.5183 0.0000 j= 65 0.9596 0.5364 0.9158 0.3069 0.0000 j=130 0.2249 0.2235 0.5000 0.0052 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.1044 0.0865 0.0830 0.0640 0.0406 j= 35 0.1154 0.0987 0.0939 0.0664 0.0405 j= 45 0.1229 0.1043 0.0944 0.0648 0.0395 j= 65 0.1213 0.1017 0.0908 0.0637 0.0371 j=130 0.1100 0.0889 0.0790 0.0533 0.0280 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0919 0.0883 0.0862 0.0584 0.0464 j= 35 0.0928 0.0761 0.0706 0.0601 0.0499 j= 45 0.0936 0.0797 0.0746 0.0645 0.0492 j= 65 0.1003 0.0974 0.0955 0.0688 0.0441 j=130 0.0979 0.0760 0.0730 0.0518 0.0426 ============================================ ============================================ 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 +0.0126 +0.0919 +0.1376 0 -0.0213 +0.1044 -0.2041 (Winner-Loser) -0.0340 (t-stat) -5.1315 (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 +0.0148 +0.0883 +0.1681 0 -0.0178 +0.0865 -0.2063 (Winner-Loser) -0.0327 (t-stat) -5.4967 (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 +0.0133 +0.0862 +0.1541 0 -0.0095 +0.0830 -0.1145 (Winner-Loser) -0.0228 (t-stat) -3.9307 (p-value) +0.0001 ============================================ ============================================ 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 +0.0033 +0.0584 +0.0561 0 -0.0034 +0.0640 -0.0529 (Winner-Loser) -0.0067 (t-stat) -1.5409 (p-value) +0.1237 ============================================ ============================================ 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 +0.0012 +0.0464 +0.0268 0 +0.0072 +0.0406 +0.1776 (Winner-Loser) +0.0060 (t-stat) +1.7779 (p-value) +0.0759 ============================================ ============================================ 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 +0.0108 +0.0928 +0.1161 0 -0.0187 +0.1154 -0.1622 (Winner-Loser) -0.0295 (t-stat) -4.1383 (p-value) +0.0000 ============================================ ============================================ 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 +0.0074 +0.0761 +0.0976 0 -0.0085 +0.0987 -0.0858 (Winner-Loser) -0.0159 (t-stat) -2.6203 (p-value) +0.0089 ============================================ ============================================ 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 +0.0049 +0.0706 +0.0693 0 -0.0012 +0.0939 -0.0128 (Winner-Loser) -0.0061 (t-stat) -1.0583 (p-value) +0.2902 ============================================ ============================================ 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 +0.0064 +0.0601 +0.1066 0 -0.0014 +0.0664 -0.0208 (Winner-Loser) -0.0078 (t-stat) -1.7223 (p-value) +0.0854 ============================================ ============================================ 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 +0.0035 +0.0499 +0.0709 0 +0.0112 +0.0405 +0.2766 (Winner-Loser) +0.0077 (t-stat) +2.1562 (p-value) +0.0314 ============================================ ============================================ 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 +0.0034 +0.0936 +0.0360 0 -0.0073 +0.1229 -0.0596 (Winner-Loser) -0.0107 (t-stat) -1.4222 (p-value) +0.1553 ============================================ ============================================ 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 -0.0004 +0.0797 -0.0048 0 +0.0021 +0.1043 +0.0198 (Winner-Loser) +0.0024 (t-stat) +0.3780 (p-value) +0.7055 ============================================ ============================================ 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 -0.0001 +0.0746 -0.0008 0 +0.0062 +0.0944 +0.0655 (Winner-Loser) +0.0062 (t-stat) +1.0462 (p-value) +0.2958 ============================================ ============================================ 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 +0.0054 +0.0645 +0.0843 0 +0.0029 +0.0648 +0.0452 (Winner-Loser) -0.0025 (t-stat) -0.5355 (p-value) +0.5925 ============================================ ============================================ 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 -0.0010 +0.0492 -0.0203 0 +0.0134 +0.0395 +0.3381 (Winner-Loser) +0.0144 (t-stat) +4.0503 (p-value) +0.0001 ============================================ ============================================ 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 +0.0009 +0.1003 +0.0093 0 +0.0013 +0.1213 +0.0108 (Winner-Loser) +0.0004 (t-stat) +0.0476 (p-value) +0.9621 ============================================ ============================================ 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 +0.0055 +0.0974 +0.0562 0 +0.0014 +0.1017 +0.0139 (Winner-Loser) -0.0041 (t-stat) -0.5712 (p-value) +0.5680 ============================================ ============================================ 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 +0.0046 +0.0955 +0.0480 0 +0.0040 +0.0908 +0.0436 (Winner-Loser) -0.0006 (t-stat) -0.0942 (p-value) +0.9250 ============================================ ============================================ 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 +0.0065 +0.0688 +0.0948 0 +0.0023 +0.0637 +0.0357 (Winner-Loser) -0.0042 (t-stat) -0.8602 (p-value) +0.3900 ============================================ ============================================ 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 -0.0005 +0.0441 -0.0118 0 +0.0113 +0.0371 +0.3048 (Winner-Loser) +0.0118 (t-stat) +3.5360 (p-value) +0.0004 ============================================ ============================================ 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 +0.0215 +0.0979 +0.2196 0 +0.0119 +0.1100 +0.1079 (Winner-Loser) -0.0096 (t-stat) -1.2018 (p-value) +0.2299 ============================================ ============================================ 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 +0.0211 +0.0760 +0.2775 0 +0.0132 +0.0889 +0.1481 (Winner-Loser) -0.0079 (t-stat) -1.2261 (p-value) +0.2206 ============================================ ============================================ 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 +0.0203 +0.0730 +0.2783 0 +0.0164 +0.0790 +0.2079 (Winner-Loser) -0.0039 (t-stat) -0.6458 (p-value) +0.5187 ============================================ ============================================ 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 +0.0265 +0.0518 +0.5119 0 +0.0158 +0.0533 +0.2965 (Winner-Loser) -0.0107 (t-stat) -2.4891 (p-value) +0.0131 ============================================ ============================================ 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 +0.0350 +0.0426 +0.8216 0 +0.0125 +0.0280 +0.4472 (Winner-Loser) -0.0225 (t-stat) -6.7241 (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 0.5000 FMCC 3.92 0.5000 FNMA 4.00 Sell Qty Ticker Price on 2016-12-15 0.5000 HEINY 36.57 0.5000 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:25, k:25 Buy Qty Ticker Price on 2016-12-15 0.5000 FMCC 3.92 0.5000 FNMA 4.00 Sell Qty Ticker Price on 2016-12-15 0.5000 NPSNY 14.06 0.5000 TRTC 0.27 Holding period is 25 d