============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m3_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(3)', 'computePortfolioReturns()', 'report()'] js: [25, 35, 45, 65, 130] ks: [25, 35, 41, 65, 130] risklessReturnSecurityName: %5EH15_TB_M6 indexSecurityName: %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 -0.0131 -0.0117 -0.0077 -0.0047 0.0027 j= 35 -0.0137 -0.0068 -0.0026 -0.0036 0.0063 j= 45 -0.0073 -0.0025 0.0008 -0.0015 0.0071 j= 65 0.0009 -0.0014 -0.0006 -0.0014 0.0094 j=130 0.0095 0.0132 0.0152 0.0125 0.0121 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0162 -0.0138 -0.0096 -0.0059 0.0022 j= 35 -0.0171 -0.0092 -0.0048 -0.0047 0.0059 j= 45 -0.0111 -0.0052 -0.0014 -0.0026 0.0067 j= 65 -0.0026 -0.0038 -0.0026 -0.0024 0.0090 j=130 0.0060 0.0107 0.0132 0.0117 0.0118 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 0.0105 0.0117 0.0095 0.0036 0.0005 j= 35 0.0072 0.0033 0.0026 0.0048 0.0016 j= 45 0.0011 0.0005 0.0001 0.0047 -0.0018 j= 65 0.0043 0.0068 0.0066 0.0084 0.0001 j=130 0.0156 0.0160 0.0160 0.0200 0.0276 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0080 0.0094 0.0071 0.0025 -0.0002 j= 35 0.0046 0.0014 0.0008 0.0037 0.0008 j= 45 -0.0016 -0.0017 -0.0019 0.0034 -0.0026 j= 65 0.0008 0.0041 0.0040 0.0069 -0.0007 j=130 0.0123 0.0138 0.0140 0.0190 0.0271 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.7995 -4.0059 -2.8637 -2.3512 0.8299 j= 35 -3.7250 -2.3478 -1.2105 -1.8970 2.7833 j= 45 -2.1209 -1.0871 -0.2373 -1.1006 2.9483 j= 65 -0.3040 -0.7318 -0.5498 -1.0527 3.6771 j=130 1.2525 2.2641 2.9297 3.0481 4.0701 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0002 0.0001 0.0043 0.0190 0.4069 j= 35 0.0002 0.0191 0.2264 0.0582 0.0055 j= 45 0.0342 0.2773 0.8125 0.2714 0.0033 j= 65 0.7612 0.4645 0.5826 0.2928 0.0003 j=130 0.2108 0.0239 0.0035 0.0024 0.0001 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -5.7002 -6.3203 -4.5223 -3.0525 0.9698 j= 35 -4.8529 -2.6508 -1.4564 -3.0522 2.0740 j= 45 -1.7439 -0.7310 0.2052 -2.2688 3.9792 j= 65 -0.6122 -1.7293 -1.6714 -3.1758 3.8732 j=130 -0.9679 -0.5201 -0.1716 -2.5171 -5.9848 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 0.0024 0.3328 j= 35 0.0000 0.0083 0.1460 0.0024 0.0389 j= 45 0.0819 0.4652 0.8375 0.0238 0.0001 j= 65 0.5407 0.0845 0.0955 0.0016 0.0001 j=130 0.3338 0.6034 0.8639 0.0124 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0798 0.0648 0.0627 0.0491 0.0314 j= 35 0.0840 0.0709 0.0681 0.0481 0.0296 j= 45 0.0899 0.0758 0.0687 0.0473 0.0296 j= 65 0.0867 0.0723 0.0650 0.0452 0.0296 j=130 0.0876 0.0742 0.0653 0.0404 0.0234 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0713 0.0698 0.0694 0.0492 0.0396 j= 35 0.0723 0.0622 0.0596 0.0480 0.0412 j= 45 0.0742 0.0668 0.0643 0.0506 0.0408 j= 65 0.0845 0.0748 0.0735 0.0549 0.0398 j=130 0.0809 0.0658 0.0642 0.0452 0.0347 ============================================ ============================================ 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 +0.0105 +0.0713 +0.1478 0 -0.0131 +0.0798 -0.1648 (Winner-Loser) -0.0237 (t-stat) -4.6536 (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 +0.0117 +0.0698 +0.1680 0 -0.0117 +0.0648 -0.1813 (Winner-Loser) -0.0235 (t-stat) -5.1218 (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 +0.0095 +0.0694 +0.1362 0 -0.0077 +0.0627 -0.1220 (Winner-Loser) -0.0171 (t-stat) -3.7743 (p-value) +0.0002 ============================================ ============================================ 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 +0.0036 +0.0492 +0.0739 0 -0.0047 +0.0491 -0.0954 (Winner-Loser) -0.0083 (t-stat) -2.4007 (p-value) +0.0166 ============================================ ============================================ 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 +0.0005 +0.0396 +0.0138 0 +0.0027 +0.0314 +0.0844 (Winner-Loser) +0.0021 (t-stat) +0.7643 (p-value) +0.4450 ============================================ ============================================ 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 +0.0072 +0.0723 +0.1000 0 -0.0137 +0.0840 -0.1625 (Winner-Loser) -0.0209 (t-stat) -3.9165 (p-value) +0.0001 ============================================ ============================================ 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 +0.0033 +0.0622 +0.0528 0 -0.0068 +0.0709 -0.0963 (Winner-Loser) -0.0101 (t-stat) -2.2027 (p-value) +0.0279 ============================================ ============================================ 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 +0.0026 +0.0596 +0.0438 0 -0.0026 +0.0681 -0.0385 (Winner-Loser) -0.0052 (t-stat) -1.1787 (p-value) +0.2388 ============================================ ============================================ 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 +0.0048 +0.0480 +0.1007 0 -0.0036 +0.0481 -0.0742 (Winner-Loser) -0.0084 (t-stat) -2.4485 (p-value) +0.0146 ============================================ ============================================ 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 +0.0016 +0.0412 +0.0386 0 +0.0063 +0.0296 +0.2133 (Winner-Loser) +0.0047 (t-stat) +1.6854 (p-value) +0.0924 ============================================ ============================================ 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 +0.0011 +0.0742 +0.0150 0 -0.0073 +0.0899 -0.0811 (Winner-Loser) -0.0084 (t-stat) -1.4800 (p-value) +0.1392 ============================================ ============================================ 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 +0.0005 +0.0668 +0.0073 0 -0.0025 +0.0758 -0.0331 (Winner-Loser) -0.0030 (t-stat) -0.6014 (p-value) +0.5477 ============================================ ============================================ 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 +0.0643 +0.0014 0 +0.0008 +0.0687 +0.0121 (Winner-Loser) +0.0007 (t-stat) +0.1589 (p-value) +0.8738 ============================================ ============================================ 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 +0.0047 +0.0506 +0.0925 0 -0.0015 +0.0473 -0.0321 (Winner-Loser) -0.0062 (t-stat) -1.7493 (p-value) +0.0806 ============================================ ============================================ 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 -0.0018 +0.0408 -0.0447 0 +0.0071 +0.0296 +0.2397 (Winner-Loser) +0.0089 (t-stat) +3.1482 (p-value) +0.0017 ============================================ ============================================ 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 +0.0043 +0.0845 +0.0508 0 +0.0009 +0.0867 +0.0108 (Winner-Loser) -0.0034 (t-stat) -0.5555 (p-value) +0.5787 ============================================ ============================================ 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 +0.0748 +0.0905 0 -0.0014 +0.0723 -0.0189 (Winner-Loser) -0.0081 (t-stat) -1.5497 (p-value) +0.1216 ============================================ ============================================ 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 +0.0066 +0.0735 +0.0904 0 -0.0006 +0.0650 -0.0093 (Winner-Loser) -0.0072 (t-stat) -1.4508 (p-value) +0.1472 ============================================ ============================================ 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 +0.0084 +0.0549 +0.1529 0 -0.0014 +0.0452 -0.0310 (Winner-Loser) -0.0098 (t-stat) -2.6203 (p-value) +0.0090 ============================================ ============================================ 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 +0.0001 +0.0398 +0.0026 0 +0.0094 +0.0296 +0.3179 (Winner-Loser) +0.0093 (t-stat) +3.2340 (p-value) +0.0013 ============================================ ============================================ 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 +0.0156 +0.0809 +0.1925 0 +0.0095 +0.0876 +0.1086 (Winner-Loser) -0.0061 (t-stat) -0.9320 (p-value) +0.3517 ============================================ ============================================ 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 +0.0658 +0.2425 0 +0.0132 +0.0742 +0.1782 (Winner-Loser) -0.0027 (t-stat) -0.5015 (p-value) +0.6162 ============================================ ============================================ 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 +0.0160 +0.0642 +0.2494 0 +0.0152 +0.0653 +0.2326 (Winner-Loser) -0.0008 (t-stat) -0.1614 (p-value) +0.8718 ============================================ ============================================ 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 +0.0200 +0.0452 +0.4417 0 +0.0125 +0.0404 +0.3095 (Winner-Loser) -0.0075 (t-stat) -2.1259 (p-value) +0.0339 ============================================ ============================================ 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 +0.0276 +0.0347 +0.7963 0 +0.0121 +0.0234 +0.5179 (Winner-Loser) -0.0155 (t-stat) -5.6587 (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 0.3333 FMCC 3.92 0.3333 FNMA 4.00 0.3333 LUKOY 55.15 Sell Qty Ticker Price on 2016-12-15 0.3333 WMMVY 18.52 0.3333 HEINY 36.57 0.3333 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:25, k:25 Buy Qty Ticker Price on 2016-12-15 0.3333 FMCC 3.92 0.3333 FNMA 4.00 0.3333 SKYAY 48.66 Sell Qty Ticker Price on 2016-12-15 0.3333 FRFHF 452.00 0.3333 NPSNY 14.06 0.3333 TRTC 0.27 Holding period is 25 d