============================================ ============= Rouwenhorst REPORT =========== ============================================ Name: 20150104_20161215_OTC_plR_m9_d Pipeline: ['computeSecurityReturns()', 'computeRouwenhorstSecurityRankings()', 'setXsMemberCount(9)', '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 -0.0055 -0.0052 -0.0041 -0.0037 -0.0013 j= 35 -0.0076 -0.0060 -0.0046 -0.0048 0.0001 j= 45 -0.0048 -0.0039 -0.0036 -0.0049 0.0005 j= 65 -0.0032 -0.0040 -0.0038 -0.0028 0.0029 j=130 0.0041 0.0070 0.0088 0.0084 0.0047 3 Winner Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0066 -0.0059 -0.0048 -0.0040 -0.0015 j= 35 -0.0086 -0.0068 -0.0053 -0.0051 -0.0001 j= 45 -0.0059 -0.0047 -0.0043 -0.0052 0.0004 j= 65 -0.0043 -0.0047 -0.0045 -0.0031 0.0028 j=130 0.0031 0.0063 0.0082 0.0082 0.0046 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 0.0003 0.0017 0.0015 0.0011 -0.0021 j= 35 0.0012 -0.0001 -0.0001 0.0004 -0.0028 j= 45 0.0004 -0.0002 0.0000 0.0021 -0.0028 j= 65 0.0029 0.0022 0.0022 0.0028 -0.0018 j=130 -0.0035 -0.0027 -0.0022 0.0018 0.0106 6 Loser Geometric Average of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -0.0009 0.0008 0.0007 0.0007 -0.0024 j= 35 0.0000 -0.0010 -0.0009 -0.0001 -0.0031 j= 45 -0.0009 -0.0011 -0.0008 0.0015 -0.0031 j= 65 0.0014 0.0012 0.0013 0.0022 -0.0021 j=130 -0.0053 -0.0039 -0.0033 0.0012 0.0104 7 T-Test of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.9683 -3.0647 -2.7390 -3.2089 -2.1531 j= 35 -3.7019 -3.4003 -2.8459 -3.8728 -1.1195 j= 45 -2.6538 -2.3342 -2.3185 -3.9269 -1.0679 j= 65 -1.8909 -2.2165 -2.2467 -2.5333 0.2723 j=130 0.3418 1.4166 2.0626 2.3101 -0.3106 8 P-Value of Winner/Index Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0031 0.0022 0.0063 0.0014 0.0317 j= 35 0.0002 0.0007 0.0045 0.0001 0.2633 j= 45 0.0081 0.0198 0.0207 0.0001 0.2860 j= 65 0.0590 0.0269 0.0249 0.0115 0.7855 j=130 0.7326 0.1571 0.0395 0.0212 0.7562 9 T-Test of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 -2.7881 -4.0057 -3.3902 -4.0605 0.7464 j= 35 -4.2689 -3.7181 -2.9084 -4.1281 2.5879 j= 45 -2.4483 -2.0875 -2.2027 -5.3163 2.9026 j= 65 -2.5323 -3.1431 -3.2616 -3.6078 3.7370 j=130 2.6181 4.0713 4.9451 3.9821 -4.9358 a P-Value of Winner/Loser connected sample k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0055 0.0001 0.0008 0.0001 0.4560 j= 35 0.0000 0.0002 0.0038 0.0000 0.0101 j= 45 0.0148 0.0375 0.0282 0.0000 0.0040 j= 65 0.0117 0.0018 0.0012 0.0004 0.0002 j=130 0.0092 0.0001 0.0000 0.0001 0.0000 b Winner Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0458 0.0388 0.0362 0.0265 0.0174 j= 35 0.0459 0.0386 0.0372 0.0257 0.0177 j= 45 0.0465 0.0404 0.0377 0.0250 0.0180 j= 65 0.0469 0.0393 0.0362 0.0248 0.0165 j=130 0.0458 0.0384 0.0360 0.0215 0.0154 c Loser Standard Deviation of Returns k= 25 k= 35 k= 41 k= 65 k=130 j= 25 0.0479 0.0428 0.0408 0.0302 0.0232 j= 35 0.0485 0.0411 0.0393 0.0307 0.0241 j= 45 0.0511 0.0425 0.0400 0.0321 0.0247 j= 65 0.0549 0.0453 0.0434 0.0342 0.0255 j=130 0.0596 0.0485 0.0462 0.0338 0.0200 ============================================ ============================================ 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 +0.0003 +0.0479 +0.0059 0 -0.0055 +0.0458 -0.1207 (Winner-Loser) -0.0058 (t-stat) -1.8424 (p-value) +0.0658 ============================================ ============================================ 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 +0.0017 +0.0428 +0.0405 0 -0.0052 +0.0388 -0.1340 (Winner-Loser) -0.0069 (t-stat) -2.4933 (p-value) +0.0128 ============================================ ============================================ 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 +0.0015 +0.0408 +0.0371 0 -0.0041 +0.0362 -0.1145 (Winner-Loser) -0.0057 (t-stat) -2.1400 (p-value) +0.0326 ============================================ ============================================ 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 +0.0302 +0.0376 0 -0.0037 +0.0265 -0.1382 (Winner-Loser) -0.0048 (t-stat) -2.3950 (p-value) +0.0168 ============================================ ============================================ 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 -0.0021 +0.0232 -0.0925 0 -0.0013 +0.0174 -0.0768 (Winner-Loser) +0.0008 (t-stat) +0.5147 (p-value) +0.6069 ============================================ ============================================ 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 +0.0012 +0.0485 +0.0245 0 -0.0076 +0.0459 -0.1654 (Winner-Loser) -0.0088 (t-stat) -2.7323 (p-value) +0.0064 ============================================ ============================================ 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 +0.0411 -0.0027 0 -0.0060 +0.0386 -0.1565 (Winner-Loser) -0.0059 (t-stat) -2.1616 (p-value) +0.0309 ============================================ ============================================ 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 +0.0393 -0.0032 0 -0.0046 +0.0372 -0.1246 (Winner-Loser) -0.0045 (t-stat) -1.6997 (p-value) +0.0896 ============================================ ============================================ 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 +0.0004 +0.0307 +0.0123 0 -0.0048 +0.0257 -0.1859 (Winner-Loser) -0.0052 (t-stat) -2.5479 (p-value) +0.0110 ============================================ ============================================ 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 -0.0028 +0.0241 -0.1181 0 +0.0001 +0.0177 +0.0050 (Winner-Loser) +0.0029 (t-stat) +1.7734 (p-value) +0.0766 ============================================ ============================================ 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 +0.0004 +0.0511 +0.0078 0 -0.0048 +0.0465 -0.1038 (Winner-Loser) -0.0052 (t-stat) -1.5535 (p-value) +0.1207 ============================================ ============================================ 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 +0.0425 -0.0048 0 -0.0039 +0.0404 -0.0959 (Winner-Loser) -0.0037 (t-stat) -1.2709 (p-value) +0.2041 ============================================ ============================================ 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 +0.0000 +0.0400 +0.0002 0 -0.0036 +0.0377 -0.0954 (Winner-Loser) -0.0036 (t-stat) -1.3214 (p-value) +0.1868 ============================================ ============================================ 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 +0.0021 +0.0321 +0.0639 0 -0.0049 +0.0250 -0.1945 (Winner-Loser) -0.0069 (t-stat) -3.3226 (p-value) +0.0009 ============================================ ============================================ 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 -0.0028 +0.0247 -0.1136 0 +0.0005 +0.0180 +0.0291 (Winner-Loser) +0.0033 (t-stat) +1.9412 (p-value) +0.0527 ============================================ ============================================ 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 +0.0029 +0.0549 +0.0524 0 -0.0032 +0.0469 -0.0679 (Winner-Loser) -0.0061 (t-stat) -1.6830 (p-value) +0.0928 ============================================ ============================================ 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 +0.0022 +0.0453 +0.0488 0 -0.0040 +0.0393 -0.1015 (Winner-Loser) -0.0062 (t-stat) -2.0460 (p-value) +0.0411 ============================================ ============================================ 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 +0.0022 +0.0434 +0.0516 0 -0.0038 +0.0362 -0.1049 (Winner-Loser) -0.0060 (t-stat) -2.0990 (p-value) +0.0361 ============================================ ============================================ 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 +0.0028 +0.0342 +0.0804 0 -0.0028 +0.0248 -0.1138 (Winner-Loser) -0.0056 (t-stat) -2.5090 (p-value) +0.0123 ============================================ ============================================ 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 -0.0018 +0.0255 -0.0701 0 +0.0029 +0.0165 +0.1784 (Winner-Loser) +0.0047 (t-stat) +2.6824 (p-value) +0.0075 ============================================ ============================================ 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 -0.0035 +0.0596 -0.0588 0 +0.0041 +0.0458 +0.0896 (Winner-Loser) +0.0076 (t-stat) +1.8572 (p-value) +0.0637 ============================================ ============================================ 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 -0.0027 +0.0485 -0.0565 0 +0.0070 +0.0384 +0.1826 (Winner-Loser) +0.0098 (t-stat) +2.8533 (p-value) +0.0045 ============================================ ============================================ 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 -0.0022 +0.0462 -0.0481 0 +0.0088 +0.0360 +0.2450 (Winner-Loser) +0.0111 (t-stat) +3.3793 (p-value) +0.0008 ============================================ ============================================ 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 +0.0018 +0.0338 +0.0531 0 +0.0084 +0.0215 +0.3921 (Winner-Loser) +0.0066 (t-stat) +2.8584 (p-value) +0.0044 ============================================ ============================================ 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 +0.0106 +0.0200 +0.5283 0 +0.0047 +0.0154 +0.3033 (Winner-Loser) -0.0059 (t-stat) -3.5512 (p-value) +0.0004 ============================================ ============================================ ==== Buy/Sell Suggestions for Timeframe: === ========== 1 4 2015 12 15 2016 ============== ============== bestWinnerOnly ==================== j:130, k:130 Buy Qty Ticker Price on 2016-12-15 0.1111 FMCC 3.92 0.1111 FNMA 4.00 0.1111 LUKOY 55.15 0.1111 SCGLY 9.84 0.1111 KMTUY 22.86 0.1111 PCRFY 11.20 0.1111 WOSYY 6.12 0.1111 TSCDY 7.59 0.1111 IFNNY 17.04 Sell Qty Ticker Price on 2016-12-15 0.1111 TLSYY 18.13 0.1111 ADRNY 20.26 0.1111 RHHBY 28.09 0.1111 IMBBY 44.48 0.1111 FRFHF 452.00 0.1111 KKPNY 2.85 0.1111 WMMVY 18.52 0.1111 HEINY 36.57 0.1111 VEOEY 16.28 Holding period is 130 d ============== bestWinnerLoser =================== j:130, k:41 Buy Qty Ticker Price on 2016-12-15 0.1111 FMCC 3.92 0.1111 FNMA 4.00 0.1111 LUKOY 55.15 0.1111 SCGLY 9.84 0.1111 KMTUY 22.86 0.1111 PCRFY 11.20 0.1111 WOSYY 6.12 0.1111 TSCDY 7.59 0.1111 IFNNY 17.04 Sell Qty Ticker Price on 2016-12-15 0.1111 TLSYY 18.13 0.1111 ADRNY 20.26 0.1111 RHHBY 28.09 0.1111 IMBBY 44.48 0.1111 FRFHF 452.00 0.1111 KKPNY 2.85 0.1111 WMMVY 18.52 0.1111 HEINY 36.57 0.1111 VEOEY 16.28 Holding period is 41 d