============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m4_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(4)', '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 -0.0118 -0.0098 -0.0068 -0.0038 0.0012 j= 35 -0.0119 -0.0071 -0.0042 -0.0041 0.0042 j= 45 -0.0068 -0.0035 -0.0010 -0.0031 0.0046 j= 65 -0.0011 -0.0031 -0.0024 -0.0026 0.0072 j=130 0.0082 0.0108 0.0129 0.0114 0.0105 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0138 -0.0112 -0.0080 -0.0046 0.0009 j= 35 -0.0142 -0.0087 -0.0057 -0.0049 0.0039 j= 45 -0.0094 -0.0053 -0.0026 -0.0038 0.0043 j= 65 -0.0036 -0.0048 -0.0038 -0.0033 0.0069 j=130 0.0059 0.0091 0.0115 0.0109 0.0103 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 0.0058 0.0076 0.0055 0.0019 -0.0006 j= 35 0.0049 0.0013 0.0013 0.0040 -0.0002 j= 45 0.0022 0.0006 0.0009 0.0050 -0.0016 j= 65 0.0039 0.0057 0.0058 0.0076 -0.0013 j=130 0.0129 0.0123 0.0117 0.0174 0.0234 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0039 0.0058 0.0038 0.0011 -0.0012 j= 35 0.0028 -0.0004 -0.0002 0.0032 -0.0008 j= 45 -0.0002 -0.0014 -0.0008 0.0041 -0.0023 j= 65 0.0011 0.0038 0.0039 0.0064 -0.0019 j=130 0.0101 0.0104 0.0099 0.0165 0.0230 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.1518 -4.0419 -3.0628 -2.3669 0.0366 j= 35 -3.9559 -2.8883 -1.9568 -2.4998 1.8198 j= 45 -2.4204 -1.5814 -0.8786 -2.0070 1.7524 j= 65 -0.8652 -1.3900 -1.2482 -1.8137 2.8825 j=130 1.1934 2.0417 2.7444 3.1125 3.5746 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 0.0001 0.0023 0.0182 0.9708 j= 35 0.0001 0.0040 0.0507 0.0126 0.0693 j= 45 0.0157 0.1142 0.3799 0.0451 0.0802 j= 65 0.3872 0.1649 0.2123 0.0701 0.0041 j=130 0.2331 0.0416 0.0062 0.0019 0.0004 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -5.5395 -6.0739 -4.2271 -2.7094 0.9975 j= 35 -4.8267 -2.7522 -1.9352 -3.7647 2.3863 j= 45 -2.2806 -1.2004 -0.6464 -3.6359 3.2582 j= 65 -1.1081 -2.3378 -2.3071 -3.9815 4.2954 j=130 -0.9188 -0.3369 0.3056 -2.3276 -6.1204 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 0.0070 0.3192 j= 35 0.0000 0.0062 0.0536 0.0002 0.0176 j= 45 0.0231 0.2307 0.5184 0.0003 0.0012 j= 65 0.2685 0.0199 0.0216 0.0001 0.0000 j=130 0.3589 0.7364 0.7601 0.0206 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0640 0.0529 0.0512 0.0405 0.0261 j= 35 0.0682 0.0572 0.0554 0.0395 0.0251 j= 45 0.0729 0.0617 0.0567 0.0391 0.0257 j= 65 0.0717 0.0592 0.0529 0.0369 0.0249 j=130 0.0701 0.0603 0.0539 0.0323 0.0197 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0621 0.0608 0.0598 0.0419 0.0347 j= 35 0.0645 0.0579 0.0548 0.0422 0.0354 j= 45 0.0685 0.0623 0.0594 0.0451 0.0366 j= 65 0.0760 0.0633 0.0629 0.0483 0.0349 j=130 0.0754 0.0613 0.0596 0.0443 0.0298 ============================================ ============================================ 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 +0.0058 +0.0621 +0.0934 0 -0.0118 +0.0640 -0.1841 (Winner-Loser) -0.0176 (t-stat) -4.1453 (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 +0.0076 +0.0608 +0.1255 0 -0.0098 +0.0529 -0.1849 (Winner-Loser) -0.0174 (t-stat) -4.4910 (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 +0.0055 +0.0598 +0.0926 0 -0.0068 +0.0512 -0.1319 (Winner-Loser) -0.0123 (t-stat) -3.2230 (p-value) +0.0013 ============================================ ============================================ 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 +0.0019 +0.0419 +0.0461 0 -0.0038 +0.0405 -0.0934 (Winner-Loser) -0.0057 (t-stat) -1.9661 (p-value) +0.0496 ============================================ ============================================ 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 -0.0006 +0.0347 -0.0166 0 +0.0012 +0.0261 +0.0457 (Winner-Loser) +0.0018 (t-stat) +0.7484 (p-value) +0.4545 ============================================ ============================================ 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 +0.0049 +0.0645 +0.0754 0 -0.0119 +0.0682 -0.1748 (Winner-Loser) -0.0168 (t-stat) -3.7164 (p-value) +0.0002 ============================================ ============================================ 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 +0.0013 +0.0579 +0.0222 0 -0.0071 +0.0572 -0.1238 (Winner-Loser) -0.0084 (t-stat) -2.1121 (p-value) +0.0350 ============================================ ============================================ 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 +0.0013 +0.0548 +0.0236 0 -0.0042 +0.0554 -0.0752 (Winner-Loser) -0.0055 (t-stat) -1.4292 (p-value) +0.1533 ============================================ ============================================ 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 +0.0040 +0.0422 +0.0956 0 -0.0041 +0.0395 -0.1045 (Winner-Loser) -0.0082 (t-stat) -2.7965 (p-value) +0.0053 ============================================ ============================================ 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 -0.0002 +0.0354 -0.0044 0 +0.0042 +0.0251 +0.1673 (Winner-Loser) +0.0044 (t-stat) +1.8168 (p-value) +0.0697 ============================================ ============================================ 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 +0.0022 +0.0685 +0.0316 0 -0.0068 +0.0729 -0.0939 (Winner-Loser) -0.0090 (t-stat) -1.8502 (p-value) +0.0646 ============================================ ============================================ 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 +0.0006 +0.0623 +0.0092 0 -0.0035 +0.0617 -0.0563 (Winner-Loser) -0.0040 (t-stat) -0.9367 (p-value) +0.3492 ============================================ ============================================ 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 +0.0009 +0.0594 +0.0156 0 -0.0010 +0.0567 -0.0181 (Winner-Loser) -0.0020 (t-stat) -0.4790 (p-value) +0.6321 ============================================ ============================================ 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 +0.0050 +0.0451 +0.1118 0 -0.0031 +0.0391 -0.0790 (Winner-Loser) -0.0081 (t-stat) -2.6619 (p-value) +0.0079 ============================================ ============================================ 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 -0.0016 +0.0366 -0.0443 0 +0.0046 +0.0257 +0.1791 (Winner-Loser) +0.0062 (t-stat) +2.4762 (p-value) +0.0135 ============================================ ============================================ 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 +0.0039 +0.0760 +0.0510 0 -0.0011 +0.0717 -0.0153 (Winner-Loser) -0.0050 (t-stat) -0.9535 (p-value) +0.3406 ============================================ ============================================ 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 +0.0057 +0.0633 +0.0908 0 -0.0031 +0.0592 -0.0528 (Winner-Loser) -0.0089 (t-stat) -2.0277 (p-value) +0.0429 ============================================ ============================================ 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 +0.0058 +0.0629 +0.0925 0 -0.0024 +0.0529 -0.0455 (Winner-Loser) -0.0082 (t-stat) -1.9655 (p-value) +0.0497 ============================================ ============================================ 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 +0.0076 +0.0483 +0.1571 0 -0.0026 +0.0369 -0.0714 (Winner-Loser) -0.0102 (t-stat) -3.2002 (p-value) +0.0014 ============================================ ============================================ 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 -0.0013 +0.0349 -0.0385 0 +0.0072 +0.0249 +0.2902 (Winner-Loser) +0.0086 (t-stat) +3.4442 (p-value) +0.0006 ============================================ ============================================ 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 +0.0129 +0.0754 +0.1716 0 +0.0082 +0.0701 +0.1167 (Winner-Loser) -0.0048 (t-stat) -0.8485 (p-value) +0.3965 ============================================ ============================================ 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 +0.0123 +0.0613 +0.2004 0 +0.0108 +0.0603 +0.1793 (Winner-Loser) -0.0015 (t-stat) -0.3100 (p-value) +0.7567 ============================================ ============================================ 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 +0.0117 +0.0596 +0.1956 0 +0.0129 +0.0539 +0.2389 (Winner-Loser) +0.0012 (t-stat) +0.2717 (p-value) +0.7860 ============================================ ============================================ 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 +0.0174 +0.0443 +0.3938 0 +0.0114 +0.0323 +0.3513 (Winner-Loser) -0.0061 (t-stat) -1.9119 (p-value) +0.0564 ============================================ ============================================ 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 +0.0234 +0.0298 +0.7857 0 +0.0105 +0.0197 +0.5321 (Winner-Loser) -0.0129 (t-stat) -5.4997 (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 0.2500 FMCC 3.92 0.2500 FNMA 4.00 0.2500 LUKOY 55.15 0.2500 SCGLY 9.84 Sell Qty Ticker Price on 2016-12-15 0.2500 KKPNY 2.85 0.2500 WMMVY 18.52 0.2500 HEINY 36.57 0.2500 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:25, k:25 Buy Qty Ticker Price on 2016-12-15 0.2500 FMCC 3.92 0.2500 FNMA 4.00 0.2500 SKYAY 48.66 0.2500 PCRFY 11.20 Sell Qty Ticker Price on 2016-12-15 0.2500 VEOEY 16.28 0.2500 FRFHF 452.00 0.2500 NPSNY 14.06 0.2500 TRTC 0.27 Holding period is 25 d