============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m7_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(7)', '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 -0.0074 -0.0068 -0.0051 -0.0037 -0.0005 j= 35 -0.0081 -0.0056 -0.0039 -0.0041 0.0014 j= 45 -0.0060 -0.0043 -0.0034 -0.0048 0.0013 j= 65 -0.0022 -0.0035 -0.0034 -0.0026 0.0044 j=130 0.0063 0.0079 0.0101 0.0094 0.0065 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0086 -0.0076 -0.0059 -0.0042 -0.0007 j= 35 -0.0095 -0.0065 -0.0048 -0.0045 0.0012 j= 45 -0.0074 -0.0053 -0.0042 -0.0051 0.0011 j= 65 -0.0036 -0.0044 -0.0041 -0.0029 0.0042 j=130 0.0050 0.0070 0.0093 0.0091 0.0064 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 0.0022 0.0034 0.0024 0.0013 -0.0019 j= 35 0.0021 -0.0001 0.0001 0.0014 -0.0023 j= 45 0.0015 0.0003 0.0007 0.0033 -0.0024 j= 65 0.0026 0.0025 0.0033 0.0044 -0.0015 j=130 0.0001 0.0002 -0.0000 0.0046 0.0142 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0009 0.0022 0.0014 0.0007 -0.0023 j= 35 0.0008 -0.0011 -0.0009 0.0008 -0.0026 j= 45 0.0000 -0.0008 -0.0003 0.0026 -0.0028 j= 65 0.0008 0.0013 0.0021 0.0036 -0.0019 j=130 -0.0019 -0.0010 -0.0012 0.0040 0.0140 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.5086 -3.5609 -2.9744 -3.0070 -1.3546 j= 35 -3.6238 -3.0104 -2.3583 -3.1488 0.0142 j= 45 -2.8328 -2.3210 -2.0536 -3.5727 -0.3615 j= 65 -1.4551 -1.8716 -1.9188 -2.1986 1.3917 j=130 0.9500 1.6162 2.3559 2.7374 1.0544 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0005 0.0004 0.0030 0.0027 0.1760 j= 35 0.0003 0.0027 0.0186 0.0017 0.9887 j= 45 0.0047 0.0205 0.0403 0.0004 0.7179 j= 65 0.1460 0.0616 0.0554 0.0282 0.1645 j=130 0.3425 0.1065 0.0188 0.0064 0.2922 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -4.2495 -5.0243 -3.8288 -3.5989 1.0869 j= 35 -4.2797 -2.8744 -2.1552 -3.6599 2.7587 j= 45 -2.8464 -2.1171 -2.0140 -5.1410 2.7949 j= 65 -1.6772 -2.4499 -2.8090 -3.7169 3.9351 j=130 1.8024 2.7159 3.8560 2.6574 -5.6287 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 0.0004 0.2779 j= 35 0.0000 0.0043 0.0317 0.0003 0.0061 j= 45 0.0046 0.0349 0.0447 0.0000 0.0055 j= 65 0.0943 0.0147 0.0052 0.0002 0.0001 j=130 0.0724 0.0070 0.0001 0.0083 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0489 0.0418 0.0398 0.0296 0.0194 j= 35 0.0513 0.0427 0.0413 0.0289 0.0196 j= 45 0.0525 0.0453 0.0421 0.0280 0.0201 j= 65 0.0526 0.0435 0.0401 0.0277 0.0187 j=130 0.0509 0.0436 0.0406 0.0234 0.0165 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0508 0.0472 0.0450 0.0329 0.0266 j= 35 0.0523 0.0449 0.0436 0.0343 0.0271 j= 45 0.0554 0.0467 0.0441 0.0356 0.0274 j= 65 0.0602 0.0490 0.0485 0.0382 0.0286 j=130 0.0627 0.0503 0.0481 0.0350 0.0215 ============================================ ============================================ 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 +0.0022 +0.0508 +0.0424 0 -0.0074 +0.0489 -0.1515 (Winner-Loser) -0.0096 (t-stat) -2.8521 (p-value) +0.0044 ============================================ ============================================ 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 +0.0034 +0.0472 +0.0713 0 -0.0068 +0.0418 -0.1618 (Winner-Loser) -0.0101 (t-stat) -3.3387 (p-value) +0.0009 ============================================ ============================================ 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 +0.0024 +0.0450 +0.0539 0 -0.0051 +0.0398 -0.1276 (Winner-Loser) -0.0075 (t-stat) -2.5791 (p-value) +0.0101 ============================================ ============================================ 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 +0.0329 +0.0390 0 -0.0037 +0.0296 -0.1262 (Winner-Loser) -0.0050 (t-stat) -2.2742 (p-value) +0.0232 ============================================ ============================================ 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 +0.0266 -0.0719 0 -0.0005 +0.0194 -0.0280 (Winner-Loser) +0.0014 (t-stat) +0.7620 (p-value) +0.4463 ============================================ ============================================ 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 +0.0021 +0.0523 +0.0411 0 -0.0081 +0.0513 -0.1588 (Winner-Loser) -0.0103 (t-stat) -2.9216 (p-value) +0.0036 ============================================ ============================================ 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 -0.0001 +0.0449 -0.0016 0 -0.0056 +0.0427 -0.1316 (Winner-Loser) -0.0055 (t-stat) -1.8401 (p-value) +0.0661 ============================================ ============================================ 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 +0.0001 +0.0436 +0.0023 0 -0.0039 +0.0413 -0.0954 (Winner-Loser) -0.0040 (t-stat) -1.3719 (p-value) +0.1705 ============================================ ============================================ 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 +0.0014 +0.0343 +0.0404 0 -0.0041 +0.0289 -0.1404 (Winner-Loser) -0.0054 (t-stat) -2.4044 (p-value) +0.0164 ============================================ ============================================ 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 -0.0023 +0.0271 -0.0833 0 +0.0014 +0.0196 +0.0728 (Winner-Loser) +0.0037 (t-stat) +1.9919 (p-value) +0.0468 ============================================ ============================================ 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 +0.0015 +0.0554 +0.0279 0 -0.0060 +0.0525 -0.1144 (Winner-Loser) -0.0076 (t-stat) -2.0322 (p-value) +0.0424 ============================================ ============================================ 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 +0.0003 +0.0467 +0.0059 0 -0.0043 +0.0453 -0.0951 (Winner-Loser) -0.0046 (t-stat) -1.4298 (p-value) +0.1532 ============================================ ============================================ 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 +0.0007 +0.0441 +0.0153 0 -0.0034 +0.0421 -0.0799 (Winner-Loser) -0.0040 (t-stat) -1.3343 (p-value) +0.1825 ============================================ ============================================ 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 +0.0033 +0.0356 +0.0919 0 -0.0048 +0.0280 -0.1700 (Winner-Loser) -0.0080 (t-stat) -3.4659 (p-value) +0.0006 ============================================ ============================================ 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 -0.0024 +0.0274 -0.0890 0 +0.0013 +0.0201 +0.0669 (Winner-Loser) +0.0038 (t-stat) +1.9822 (p-value) +0.0479 ============================================ ============================================ 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 +0.0026 +0.0602 +0.0431 0 -0.0022 +0.0526 -0.0427 (Winner-Loser) -0.0048 (t-stat) -1.2144 (p-value) +0.2250 ============================================ ============================================ 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 +0.0025 +0.0490 +0.0504 0 -0.0035 +0.0435 -0.0794 (Winner-Loser) -0.0059 (t-stat) -1.7901 (p-value) +0.0738 ============================================ ============================================ 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 +0.0033 +0.0485 +0.0673 0 -0.0034 +0.0401 -0.0837 (Winner-Loser) -0.0066 (t-stat) -2.0664 (p-value) +0.0391 ============================================ ============================================ 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 +0.0044 +0.0382 +0.1142 0 -0.0026 +0.0277 -0.0921 (Winner-Loser) -0.0069 (t-stat) -2.7873 (p-value) +0.0055 ============================================ ============================================ 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 -0.0015 +0.0286 -0.0516 0 +0.0044 +0.0187 +0.2355 (Winner-Loser) +0.0059 (t-stat) +2.9654 (p-value) +0.0031 ============================================ ============================================ 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 +0.0001 +0.0627 +0.0014 0 +0.0063 +0.0509 +0.1234 (Winner-Loser) +0.0062 (t-stat) +1.4073 (p-value) +0.1598 ============================================ ============================================ 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 +0.0002 +0.0503 +0.0048 0 +0.0079 +0.0436 +0.1819 (Winner-Loser) +0.0077 (t-stat) +2.0885 (p-value) +0.0371 ============================================ ============================================ 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 -0.0000 +0.0481 -0.0003 0 +0.0101 +0.0406 +0.2479 (Winner-Loser) +0.0101 (t-stat) +2.8679 (p-value) +0.0043 ============================================ ============================================ 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 +0.0046 +0.0350 +0.1304 0 +0.0094 +0.0234 +0.4000 (Winner-Loser) +0.0048 (t-stat) +1.9660 (p-value) +0.0498 ============================================ ============================================ 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 +0.0142 +0.0215 +0.6601 0 +0.0065 +0.0165 +0.3942 (Winner-Loser) -0.0077 (t-stat) -4.3314 (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 0.1429 FMCC 3.92 0.1429 FNMA 4.00 0.1429 LUKOY 55.15 0.1429 SCGLY 9.84 0.1429 KMTUY 22.86 0.1429 PCRFY 11.20 0.1429 WOSYY 6.12 Sell Qty Ticker Price on 2016-12-15 0.1429 RHHBY 28.09 0.1429 IMBBY 44.48 0.1429 FRFHF 452.00 0.1429 KKPNY 2.85 0.1429 WMMVY 18.52 0.1429 HEINY 36.57 0.1429 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:130, k:41 Buy Qty Ticker Price on 2016-12-15 0.1429 FMCC 3.92 0.1429 FNMA 4.00 0.1429 LUKOY 55.15 0.1429 SCGLY 9.84 0.1429 KMTUY 22.86 0.1429 PCRFY 11.20 0.1429 WOSYY 6.12 Sell Qty Ticker Price on 2016-12-15 0.1429 RHHBY 28.09 0.1429 IMBBY 44.48 0.1429 FRFHF 452.00 0.1429 KKPNY 2.85 0.1429 WMMVY 18.52 0.1429 HEINY 36.57 0.1429 VEOEY 16.28 Holding period is 41 d