============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_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: %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 -0.0095 -0.0083 -0.0057 -0.0034 0.0006 j= 35 -0.0108 -0.0070 -0.0046 -0.0042 0.0029 j= 45 -0.0066 -0.0037 -0.0021 -0.0038 0.0029 j= 65 -0.0012 -0.0028 -0.0025 -0.0024 0.0064 j=130 0.0073 0.0092 0.0112 0.0105 0.0089 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0111 -0.0094 -0.0067 -0.0041 0.0003 j= 35 -0.0125 -0.0081 -0.0057 -0.0048 0.0026 j= 45 -0.0085 -0.0051 -0.0033 -0.0043 0.0027 j= 65 -0.0031 -0.0041 -0.0036 -0.0030 0.0062 j=130 0.0055 0.0079 0.0101 0.0101 0.0088 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 0.0036 0.0054 0.0039 0.0011 -0.0017 j= 35 0.0030 0.0007 0.0005 0.0026 -0.0015 j= 45 0.0018 0.0007 0.0012 0.0044 -0.0021 j= 65 0.0028 0.0045 0.0048 0.0071 -0.0006 j=130 0.0092 0.0087 0.0081 0.0124 0.0190 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0019 0.0039 0.0024 0.0004 -0.0022 j= 35 0.0013 -0.0006 -0.0008 0.0018 -0.0020 j= 45 -0.0002 -0.0009 -0.0002 0.0036 -0.0026 j= 65 0.0005 0.0029 0.0032 0.0061 -0.0012 j=130 0.0069 0.0072 0.0067 0.0117 0.0187 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.8180 -3.8215 -2.9276 -2.4810 -0.3968 j= 35 -4.1169 -3.2129 -2.3549 -2.8783 1.0545 j= 45 -2.6421 -1.8328 -1.3442 -2.6076 0.7598 j= 65 -0.9957 -1.4254 -1.3827 -1.8715 2.5789 j=130 1.0963 1.8141 2.4734 3.0349 2.6866 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0001 0.0001 0.0035 0.0133 0.6916 j= 35 0.0000 0.0014 0.0188 0.0041 0.2921 j= 45 0.0084 0.0672 0.1793 0.0093 0.4476 j= 65 0.3197 0.1544 0.1672 0.0617 0.0102 j=130 0.2734 0.0701 0.0136 0.0025 0.0075 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.7674 -5.5056 -3.8350 -2.5719 1.5058 j= 35 -4.7204 -3.0642 -2.1220 -3.6533 2.7044 j= 45 -2.4947 -1.5804 -1.2773 -4.2717 3.0208 j= 65 -1.0765 -2.2697 -2.3580 -4.1021 3.8104 j=130 -0.4459 0.1508 0.9760 -0.9326 -5.5961 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0000 0.0000 0.0001 0.0105 0.1330 j= 35 0.0000 0.0023 0.0344 0.0003 0.0072 j= 45 0.0130 0.1148 0.2022 0.0000 0.0027 j= 65 0.2823 0.0238 0.0189 0.0001 0.0002 j=130 0.6560 0.8802 0.3298 0.3518 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0568 0.0477 0.0458 0.0353 0.0229 j= 35 0.0587 0.0490 0.0478 0.0341 0.0227 j= 45 0.0631 0.0543 0.0500 0.0337 0.0234 j= 65 0.0629 0.0520 0.0474 0.0330 0.0223 j=130 0.0613 0.0520 0.0474 0.0276 0.0181 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0586 0.0560 0.0546 0.0384 0.0311 j= 35 0.0581 0.0518 0.0502 0.0399 0.0322 j= 45 0.0639 0.0556 0.0528 0.0407 0.0325 j= 65 0.0674 0.0567 0.0566 0.0448 0.0331 j=130 0.0685 0.0547 0.0531 0.0394 0.0265 ============================================ ============================================ 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 +0.0036 +0.0586 +0.0609 0 -0.0095 +0.0568 -0.1671 (Winner-Loser) -0.0131 (t-stat) -3.3644 (p-value) +0.0008 ============================================ ============================================ 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 +0.0054 +0.0560 +0.0967 0 -0.0083 +0.0477 -0.1743 (Winner-Loser) -0.0137 (t-stat) -3.8796 (p-value) +0.0001 ============================================ ============================================ 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 +0.0039 +0.0546 +0.0708 0 -0.0057 +0.0458 -0.1245 (Winner-Loser) -0.0096 (t-stat) -2.7698 (p-value) +0.0057 ============================================ ============================================ 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 +0.0011 +0.0384 +0.0291 0 -0.0034 +0.0353 -0.0977 (Winner-Loser) -0.0046 (t-stat) -1.7554 (p-value) +0.0796 ============================================ ============================================ 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 -0.0017 +0.0311 -0.0549 0 +0.0006 +0.0229 +0.0251 (Winner-Loser) +0.0023 (t-stat) +1.0845 (p-value) +0.2785 ============================================ ============================================ 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 +0.0581 +0.0511 0 -0.0108 +0.0587 -0.1849 (Winner-Loser) -0.0138 (t-stat) -3.4791 (p-value) +0.0005 ============================================ ============================================ 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 +0.0007 +0.0518 +0.0137 0 -0.0070 +0.0490 -0.1421 (Winner-Loser) -0.0077 (t-stat) -2.2108 (p-value) +0.0273 ============================================ ============================================ 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 +0.0005 +0.0502 +0.0093 0 -0.0046 +0.0478 -0.0958 (Winner-Loser) -0.0050 (t-stat) -1.4852 (p-value) +0.1379 ============================================ ============================================ 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 +0.0026 +0.0399 +0.0659 0 -0.0042 +0.0341 -0.1247 (Winner-Loser) -0.0069 (t-stat) -2.5939 (p-value) +0.0097 ============================================ ============================================ 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 -0.0015 +0.0322 -0.0461 0 +0.0029 +0.0227 +0.1278 (Winner-Loser) +0.0044 (t-stat) +2.0128 (p-value) +0.0445 ============================================ ============================================ 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 +0.0018 +0.0639 +0.0288 0 -0.0066 +0.0631 -0.1045 (Winner-Loser) -0.0084 (t-stat) -1.9290 (p-value) +0.0541 ============================================ ============================================ 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 +0.0007 +0.0556 +0.0122 0 -0.0037 +0.0543 -0.0684 (Winner-Loser) -0.0044 (t-stat) -1.1472 (p-value) +0.2516 ============================================ ============================================ 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 +0.0012 +0.0528 +0.0226 0 -0.0021 +0.0500 -0.0414 (Winner-Loser) -0.0033 (t-stat) -0.9050 (p-value) +0.3657 ============================================ ============================================ 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 +0.0044 +0.0407 +0.1076 0 -0.0038 +0.0337 -0.1118 (Winner-Loser) -0.0081 (t-stat) -3.0132 (p-value) +0.0027 ============================================ ============================================ 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 -0.0021 +0.0325 -0.0631 0 +0.0029 +0.0234 +0.1254 (Winner-Loser) +0.0050 (t-stat) +2.2169 (p-value) +0.0270 ============================================ ============================================ 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 +0.0028 +0.0674 +0.0411 0 -0.0012 +0.0629 -0.0195 (Winner-Loser) -0.0040 (t-stat) -0.8699 (p-value) +0.3846 ============================================ ============================================ 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 +0.0045 +0.0567 +0.0788 0 -0.0028 +0.0520 -0.0536 (Winner-Loser) -0.0072 (t-stat) -1.8669 (p-value) +0.0623 ============================================ ============================================ 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 +0.0048 +0.0566 +0.0850 0 -0.0025 +0.0474 -0.0522 (Winner-Loser) -0.0073 (t-stat) -1.9379 (p-value) +0.0530 ============================================ ============================================ 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 +0.0071 +0.0448 +0.1594 0 -0.0024 +0.0330 -0.0734 (Winner-Loser) -0.0096 (t-stat) -3.2694 (p-value) +0.0011 ============================================ ============================================ 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 -0.0006 +0.0331 -0.0191 0 +0.0064 +0.0223 +0.2863 (Winner-Loser) +0.0070 (t-stat) +3.0341 (p-value) +0.0025 ============================================ ============================================ 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 +0.0092 +0.0685 +0.1346 0 +0.0073 +0.0613 +0.1192 (Winner-Loser) -0.0019 (t-stat) -0.3844 (p-value) +0.7008 ============================================ ============================================ 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 +0.0087 +0.0547 +0.1588 0 +0.0092 +0.0520 +0.1774 (Winner-Loser) +0.0005 (t-stat) +0.1287 (p-value) +0.8977 ============================================ ============================================ 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 +0.0081 +0.0531 +0.1519 0 +0.0112 +0.0474 +0.2357 (Winner-Loser) +0.0031 (t-stat) +0.7844 (p-value) +0.4331 ============================================ ============================================ 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 +0.0124 +0.0394 +0.3163 0 +0.0105 +0.0276 +0.3795 (Winner-Loser) -0.0020 (t-stat) -0.7055 (p-value) +0.4808 ============================================ ============================================ 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 +0.0190 +0.0265 +0.7162 0 +0.0089 +0.0181 +0.4921 (Winner-Loser) -0.0101 (t-stat) -4.7858 (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 0.2000 FMCC 3.92 0.2000 FNMA 4.00 0.2000 LUKOY 55.15 0.2000 SCGLY 9.84 0.2000 KMTUY 22.86 Sell Qty Ticker Price on 2016-12-15 0.2000 FRFHF 452.00 0.2000 KKPNY 2.85 0.2000 WMMVY 18.52 0.2000 HEINY 36.57 0.2000 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:35, k:25 Buy Qty Ticker Price on 2016-12-15 0.2000 FMCC 3.92 0.2000 FNMA 4.00 0.2000 SCGLY 9.84 0.2000 SKYAY 48.66 0.2000 WOSYY 6.12 Sell Qty Ticker Price on 2016-12-15 0.2000 WMMVY 18.52 0.2000 FRFHF 452.00 0.2000 NPSNY 14.06 0.2000 VEOEY 16.28 0.2000 TRTC 0.27 Holding period is 25 d