============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m8_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(8)', '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 -0.0065 -0.0063 -0.0048 -0.0039 -0.0010 j= 35 -0.0077 -0.0056 -0.0041 -0.0044 0.0007 j= 45 -0.0054 -0.0042 -0.0036 -0.0049 0.0008 j= 65 -0.0028 -0.0039 -0.0037 -0.0027 0.0036 j=130 0.0045 0.0072 0.0093 0.0089 0.0058 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0076 -0.0070 -0.0055 -0.0042 -0.0012 j= 35 -0.0088 -0.0064 -0.0048 -0.0047 0.0006 j= 45 -0.0066 -0.0051 -0.0044 -0.0053 0.0006 j= 65 -0.0040 -0.0048 -0.0044 -0.0031 0.0034 j=130 0.0033 0.0064 0.0086 0.0087 0.0057 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 0.0010 0.0024 0.0019 0.0012 -0.0020 j= 35 0.0016 -0.0003 0.0001 0.0011 -0.0027 j= 45 0.0009 -0.0001 0.0003 0.0023 -0.0029 j= 65 0.0021 0.0016 0.0023 0.0029 -0.0019 j=130 -0.0025 -0.0018 -0.0013 0.0029 0.0121 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0001 0.0014 0.0010 0.0007 -0.0023 j= 35 0.0004 -0.0012 -0.0007 0.0006 -0.0030 j= 45 -0.0004 -0.0011 -0.0006 0.0017 -0.0032 j= 65 0.0005 0.0005 0.0012 0.0023 -0.0023 j=130 -0.0043 -0.0030 -0.0024 0.0024 0.0119 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.3170 -3.4904 -2.9861 -3.2386 -1.8211 j= 35 -3.5981 -3.1158 -2.5121 -3.4773 -0.5541 j= 45 -2.7502 -2.3821 -2.2205 -3.8105 -0.7834 j= 65 -1.7038 -2.1199 -2.1243 -2.3892 0.7982 j=130 0.4366 1.4475 2.1848 2.5600 0.5780 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0009 0.0005 0.0029 0.0013 0.0690 j= 35 0.0003 0.0019 0.0122 0.0005 0.5797 j= 45 0.0061 0.0174 0.0267 0.0001 0.4337 j= 65 0.0888 0.0343 0.0340 0.0171 0.4251 j=130 0.6625 0.1482 0.0293 0.0107 0.5635 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -3.5953 -4.8057 -3.8073 -4.0325 0.8052 j= 35 -4.1564 -3.0558 -2.4564 -4.0438 2.7613 j= 45 -2.6875 -2.1404 -2.1616 -5.1262 2.9994 j= 65 -1.9155 -2.5621 -2.8455 -3.3793 3.9884 j=130 2.2042 3.5157 4.4616 3.4492 -4.8463 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0004 0.0000 0.0002 0.0001 0.4213 j= 35 0.0000 0.0024 0.0144 0.0001 0.0061 j= 45 0.0075 0.0329 0.0312 0.0000 0.0029 j= 65 0.0561 0.0108 0.0047 0.0008 0.0001 j=130 0.0282 0.0005 0.0000 0.0006 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0464 0.0394 0.0373 0.0276 0.0182 j= 35 0.0485 0.0402 0.0390 0.0272 0.0187 j= 45 0.0493 0.0429 0.0399 0.0264 0.0192 j= 65 0.0496 0.0414 0.0382 0.0261 0.0174 j=130 0.0485 0.0406 0.0377 0.0224 0.0159 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0487 0.0445 0.0424 0.0313 0.0247 j= 35 0.0507 0.0427 0.0414 0.0322 0.0255 j= 45 0.0527 0.0440 0.0416 0.0334 0.0259 j= 65 0.0571 0.0468 0.0459 0.0359 0.0272 j=130 0.0612 0.0493 0.0471 0.0343 0.0208 ============================================ ============================================ 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 +0.0010 +0.0487 +0.0214 0 -0.0065 +0.0464 -0.1411 (Winner-Loser) -0.0076 (t-stat) -2.3721 (p-value) +0.0179 ============================================ ============================================ 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 +0.0024 +0.0445 +0.0545 0 -0.0063 +0.0394 -0.1590 (Winner-Loser) -0.0087 (t-stat) -3.0395 (p-value) +0.0024 ============================================ ============================================ 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 +0.0019 +0.0424 +0.0456 0 -0.0048 +0.0373 -0.1289 (Winner-Loser) -0.0067 (t-stat) -2.4640 (p-value) +0.0139 ============================================ ============================================ 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 +0.0012 +0.0313 +0.0384 0 -0.0039 +0.0276 -0.1398 (Winner-Loser) -0.0051 (t-stat) -2.4320 (p-value) +0.0152 ============================================ ============================================ 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 -0.0020 +0.0247 -0.0792 0 -0.0010 +0.0182 -0.0561 (Winner-Loser) +0.0009 (t-stat) +0.5578 (p-value) +0.5772 ============================================ ============================================ 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 +0.0016 +0.0507 +0.0325 0 -0.0077 +0.0485 -0.1582 (Winner-Loser) -0.0093 (t-stat) -2.7616 (p-value) +0.0059 ============================================ ============================================ 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 -0.0003 +0.0427 -0.0075 0 -0.0056 +0.0402 -0.1386 (Winner-Loser) -0.0053 (t-stat) -1.8408 (p-value) +0.0660 ============================================ ============================================ 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 +0.0414 +0.0029 0 -0.0041 +0.0390 -0.1044 (Winner-Loser) -0.0042 (t-stat) -1.5035 (p-value) +0.1331 ============================================ ============================================ 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 +0.0011 +0.0322 +0.0345 0 -0.0044 +0.0272 -0.1607 (Winner-Loser) -0.0055 (t-stat) -2.5756 (p-value) +0.0102 ============================================ ============================================ 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 -0.0027 +0.0255 -0.1051 0 +0.0007 +0.0187 +0.0392 (Winner-Loser) +0.0034 (t-stat) +1.9518 (p-value) +0.0514 ============================================ ============================================ 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 +0.0009 +0.0527 +0.0177 0 -0.0054 +0.0493 -0.1095 (Winner-Loser) -0.0063 (t-stat) -1.8028 (p-value) +0.0718 ============================================ ============================================ 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 -0.0001 +0.0440 -0.0027 0 -0.0042 +0.0429 -0.0987 (Winner-Loser) -0.0041 (t-stat) -1.3574 (p-value) +0.1750 ============================================ ============================================ 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 +0.0416 +0.0074 0 -0.0036 +0.0399 -0.0896 (Winner-Loser) -0.0039 (t-stat) -1.3570 (p-value) +0.1752 ============================================ ============================================ 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 +0.0023 +0.0334 +0.0685 0 -0.0049 +0.0264 -0.1858 (Winner-Loser) -0.0072 (t-stat) -3.3000 (p-value) +0.0010 ============================================ ============================================ 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 -0.0029 +0.0259 -0.1105 0 +0.0008 +0.0192 +0.0430 (Winner-Loser) +0.0037 (t-stat) +2.0361 (p-value) +0.0422 ============================================ ============================================ 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 +0.0021 +0.0571 +0.0376 0 -0.0028 +0.0496 -0.0569 (Winner-Loser) -0.0050 (t-stat) -1.3174 (p-value) +0.1881 ============================================ ============================================ 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 +0.0016 +0.0468 +0.0340 0 -0.0039 +0.0414 -0.0949 (Winner-Loser) -0.0055 (t-stat) -1.7503 (p-value) +0.0805 ============================================ ============================================ 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 +0.0023 +0.0459 +0.0498 0 -0.0037 +0.0382 -0.0967 (Winner-Loser) -0.0060 (t-stat) -1.9669 (p-value) +0.0495 ============================================ ============================================ 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 +0.0029 +0.0359 +0.0819 0 -0.0027 +0.0261 -0.1042 (Winner-Loser) -0.0057 (t-stat) -2.4268 (p-value) +0.0155 ============================================ ============================================ 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 -0.0019 +0.0272 -0.0706 0 +0.0036 +0.0174 +0.2062 (Winner-Loser) +0.0055 (t-stat) +2.9418 (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 -0.0025 +0.0612 -0.0402 0 +0.0045 +0.0485 +0.0920 (Winner-Loser) +0.0069 (t-stat) +1.6267 (p-value) +0.1043 ============================================ ============================================ 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 -0.0018 +0.0493 -0.0360 0 +0.0072 +0.0406 +0.1783 (Winner-Loser) +0.0090 (t-stat) +2.5513 (p-value) +0.0110 ============================================ ============================================ 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 -0.0013 +0.0471 -0.0283 0 +0.0093 +0.0377 +0.2469 (Winner-Loser) +0.0106 (t-stat) +3.1590 (p-value) +0.0017 ============================================ ============================================ 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 +0.0029 +0.0343 +0.0860 0 +0.0089 +0.0224 +0.3988 (Winner-Loser) +0.0060 (t-stat) +2.5267 (p-value) +0.0118 ============================================ ============================================ 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 +0.0121 +0.0208 +0.5808 0 +0.0058 +0.0159 +0.3669 (Winner-Loser) -0.0063 (t-stat) -3.6440 (p-value) +0.0003 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:130, k:130 Buy Qty Ticker Price on 2016-12-15 0.1250 FMCC 3.92 0.1250 FNMA 4.00 0.1250 LUKOY 55.15 0.1250 SCGLY 9.84 0.1250 KMTUY 22.86 0.1250 PCRFY 11.20 0.1250 WOSYY 6.12 0.1250 TSCDY 7.59 Sell Qty Ticker Price on 2016-12-15 0.1250 ADRNY 20.26 0.1250 RHHBY 28.09 0.1250 IMBBY 44.48 0.1250 FRFHF 452.00 0.1250 KKPNY 2.85 0.1250 WMMVY 18.52 0.1250 HEINY 36.57 0.1250 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:130, k:41 Buy Qty Ticker Price on 2016-12-15 0.1250 FMCC 3.92 0.1250 FNMA 4.00 0.1250 LUKOY 55.15 0.1250 SCGLY 9.84 0.1250 KMTUY 22.86 0.1250 PCRFY 11.20 0.1250 WOSYY 6.12 0.1250 TSCDY 7.59 Sell Qty Ticker Price on 2016-12-15 0.1250 ADRNY 20.26 0.1250 RHHBY 28.09 0.1250 IMBBY 44.48 0.1250 FRFHF 452.00 0.1250 KKPNY 2.85 0.1250 WMMVY 18.52 0.1250 HEINY 36.57 0.1250 VEOEY 16.28 Holding period is 41 d