============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m6_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(6)', '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 -0.0084 -0.0074 -0.0054 -0.0038 -0.0002 j= 35 -0.0088 -0.0056 -0.0038 -0.0035 0.0024 j= 45 -0.0064 -0.0042 -0.0029 -0.0042 0.0021 j= 65 -0.0020 -0.0034 -0.0033 -0.0026 0.0050 j=130 0.0068 0.0084 0.0104 0.0101 0.0078 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0097 -0.0084 -0.0063 -0.0044 -0.0004 j= 35 -0.0103 -0.0067 -0.0048 -0.0040 0.0022 j= 45 -0.0080 -0.0054 -0.0040 -0.0047 0.0019 j= 65 -0.0036 -0.0045 -0.0042 -0.0031 0.0048 j=130 0.0054 0.0074 0.0095 0.0099 0.0077 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 0.0034 0.0045 0.0032 0.0013 -0.0019 j= 35 0.0027 0.0000 -0.0002 0.0019 -0.0022 j= 45 0.0008 -0.0002 0.0003 0.0036 -0.0026 j= 65 0.0022 0.0033 0.0041 0.0057 -0.0012 j=130 0.0027 0.0029 0.0027 0.0071 0.0157 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0019 0.0032 0.0020 0.0007 -0.0023 j= 35 0.0012 -0.0012 -0.0013 0.0012 -0.0026 j= 45 -0.0009 -0.0014 -0.0008 0.0029 -0.0031 j= 65 0.0003 0.0019 0.0027 0.0049 -0.0017 j=130 0.0006 0.0016 0.0015 0.0064 0.0154 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.6826 -3.6864 -2.9782 -2.8977 -0.9868 j= 35 -3.6404 -2.8746 -2.1945 -2.6838 0.7329 j= 45 -2.7878 -2.1438 -1.7718 -3.0782 0.2340 j= 65 -1.2896 -1.7395 -1.8143 -2.1019 1.7834 j=130 1.0647 1.7162 2.3940 3.0974 2.0135 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0002 0.0002 0.0030 0.0039 0.3241 j= 35 0.0003 0.0041 0.0285 0.0074 0.4639 j= 45 0.0054 0.0323 0.0768 0.0022 0.8150 j= 65 0.1976 0.0823 0.0700 0.0359 0.0750 j=130 0.2874 0.0866 0.0170 0.0020 0.0446 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.8035 -5.3428 -3.9365 -3.2777 1.2622 j= 35 -4.2858 -2.5603 -1.7160 -3.1769 3.1303 j= 45 -2.4513 -1.6508 -1.4138 -4.5110 3.2524 j= 65 -1.2856 -2.3910 -2.7430 -4.0060 3.8064 j=130 1.1131 1.8070 2.7320 1.5949 -5.0299 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 0.0011 0.2077 j= 35 0.0000 0.0108 0.0869 0.0016 0.0019 j= 45 0.0146 0.0995 0.1582 0.0000 0.0013 j= 65 0.1993 0.0173 0.0064 0.0001 0.0002 j=130 0.2665 0.0717 0.0066 0.1118 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0522 0.0440 0.0423 0.0320 0.0209 j= 35 0.0551 0.0458 0.0443 0.0311 0.0210 j= 45 0.0572 0.0493 0.0456 0.0304 0.0216 j= 65 0.0572 0.0471 0.0430 0.0303 0.0203 j=130 0.0540 0.0464 0.0427 0.0246 0.0169 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0538 0.0508 0.0487 0.0351 0.0284 j= 35 0.0549 0.0480 0.0466 0.0370 0.0294 j= 45 0.0585 0.0497 0.0474 0.0373 0.0292 j= 65 0.0629 0.0527 0.0523 0.0410 0.0306 j=130 0.0649 0.0514 0.0496 0.0365 0.0235 ============================================ ============================================ 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 +0.0034 +0.0538 +0.0624 0 -0.0084 +0.0522 -0.1606 (Winner-Loser) -0.0117 (t-stat) -3.2916 (p-value) +0.0010 ============================================ ============================================ 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 +0.0045 +0.0508 +0.0880 0 -0.0074 +0.0440 -0.1681 (Winner-Loser) -0.0119 (t-stat) -3.6702 (p-value) +0.0003 ============================================ ============================================ 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 +0.0032 +0.0487 +0.0658 0 -0.0054 +0.0423 -0.1275 (Winner-Loser) -0.0086 (t-stat) -2.7516 (p-value) +0.0061 ============================================ ============================================ 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 +0.0013 +0.0351 +0.0363 0 -0.0038 +0.0320 -0.1203 (Winner-Loser) -0.0051 (t-stat) -2.1626 (p-value) +0.0309 ============================================ ============================================ 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 -0.0019 +0.0284 -0.0662 0 -0.0002 +0.0209 -0.0075 (Winner-Loser) +0.0017 (t-stat) +0.8970 (p-value) +0.3700 ============================================ ============================================ 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 +0.0027 +0.0549 +0.0486 0 -0.0088 +0.0551 -0.1589 (Winner-Loser) -0.0114 (t-stat) -3.0526 (p-value) +0.0023 ============================================ ============================================ 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 +0.0000 +0.0480 +0.0002 0 -0.0056 +0.0458 -0.1233 (Winner-Loser) -0.0057 (t-stat) -1.7497 (p-value) +0.0805 ============================================ ============================================ 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 -0.0002 +0.0466 -0.0040 0 -0.0038 +0.0443 -0.0864 (Winner-Loser) -0.0036 (t-stat) -1.1544 (p-value) +0.2487 ============================================ ============================================ 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 +0.0019 +0.0370 +0.0505 0 -0.0035 +0.0311 -0.1131 (Winner-Loser) -0.0054 (t-stat) -2.2063 (p-value) +0.0277 ============================================ ============================================ 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 -0.0022 +0.0294 -0.0742 0 +0.0024 +0.0210 +0.1138 (Winner-Loser) +0.0046 (t-stat) +2.2865 (p-value) +0.0225 ============================================ ============================================ 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 +0.0008 +0.0585 +0.0142 0 -0.0064 +0.0572 -0.1121 (Winner-Loser) -0.0072 (t-stat) -1.8177 (p-value) +0.0695 ============================================ ============================================ 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 -0.0002 +0.0497 -0.0042 0 -0.0042 +0.0493 -0.0851 (Winner-Loser) -0.0040 (t-stat) -1.1561 (p-value) +0.2480 ============================================ ============================================ 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 +0.0003 +0.0474 +0.0059 0 -0.0029 +0.0456 -0.0643 (Winner-Loser) -0.0032 (t-stat) -0.9852 (p-value) +0.3248 ============================================ ============================================ 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 +0.0036 +0.0373 +0.0954 0 -0.0042 +0.0304 -0.1393 (Winner-Loser) -0.0078 (t-stat) -3.1659 (p-value) +0.0016 ============================================ ============================================ 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 -0.0026 +0.0292 -0.0905 0 +0.0021 +0.0216 +0.0990 (Winner-Loser) +0.0048 (t-stat) +2.3437 (p-value) +0.0194 ============================================ ============================================ 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 +0.0022 +0.0629 +0.0355 0 -0.0020 +0.0572 -0.0345 (Winner-Loser) -0.0042 (t-stat) -0.9922 (p-value) +0.3214 ============================================ ============================================ 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 +0.0033 +0.0527 +0.0620 0 -0.0034 +0.0471 -0.0715 (Winner-Loser) -0.0066 (t-stat) -1.8590 (p-value) +0.0634 ============================================ ============================================ 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 +0.0041 +0.0523 +0.0775 0 -0.0033 +0.0430 -0.0773 (Winner-Loser) -0.0074 (t-stat) -2.1398 (p-value) +0.0327 ============================================ ============================================ 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 +0.0057 +0.0410 +0.1397 0 -0.0026 +0.0303 -0.0866 (Winner-Loser) -0.0083 (t-stat) -3.1160 (p-value) +0.0019 ============================================ ============================================ 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 -0.0012 +0.0306 -0.0399 0 +0.0050 +0.0203 +0.2490 (Winner-Loser) +0.0063 (t-stat) +2.9424 (p-value) +0.0034 ============================================ ============================================ 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 +0.0027 +0.0649 +0.0410 0 +0.0068 +0.0540 +0.1265 (Winner-Loser) +0.0042 (t-stat) +0.9059 (p-value) +0.3653 ============================================ ============================================ 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 +0.0029 +0.0514 +0.0561 0 +0.0084 +0.0464 +0.1822 (Winner-Loser) +0.0056 (t-stat) +1.4534 (p-value) +0.1466 ============================================ ============================================ 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 +0.0027 +0.0496 +0.0541 0 +0.0104 +0.0427 +0.2434 (Winner-Loser) +0.0077 (t-stat) +2.1118 (p-value) +0.0351 ============================================ ============================================ 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 +0.0071 +0.0365 +0.1939 0 +0.0101 +0.0246 +0.4131 (Winner-Loser) +0.0031 (t-stat) +1.2018 (p-value) +0.2299 ============================================ ============================================ 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 +0.0157 +0.0235 +0.6669 0 +0.0078 +0.0169 +0.4627 (Winner-Loser) -0.0078 (t-stat) -4.1266 (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 0.1667 FMCC 3.92 0.1667 FNMA 4.00 0.1667 LUKOY 55.15 0.1667 SCGLY 9.84 0.1667 KMTUY 22.86 0.1667 PCRFY 11.20 Sell Qty Ticker Price on 2016-12-15 0.1667 IMBBY 44.48 0.1667 FRFHF 452.00 0.1667 KKPNY 2.85 0.1667 WMMVY 18.52 0.1667 HEINY 36.57 0.1667 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:25, k:25 Buy Qty Ticker Price on 2016-12-15 0.1667 FMCC 3.92 0.1667 FNMA 4.00 0.1667 SKYAY 48.66 0.1667 PCRFY 11.20 0.1667 SCGLY 9.84 0.1667 LUKOY 55.15 Sell Qty Ticker Price on 2016-12-15 0.1667 KKPNY 2.85 0.1667 RYCEY 8.48 0.1667 VEOEY 16.28 0.1667 FRFHF 452.00 0.1667 NPSNY 14.06 0.1667 TRTC 0.27 Holding period is 25 d