starmine {backtest}R Documentation

StarMine Rankings, 1995

Description

StarMine rankings of some stocks in 1995, with corresponding returns and other data.

Usage

data(starmine)

Format

A data frame containing 57767 observations on the following 13 variables.

date
Date on which the observation was recorded. The dates have a monthly frequency. Dates range from 1995-01-31 to 1995-11-30.
id
Unique identifiers for each stock.
country
Country of the exchange on which the company is listed.
sector
Sector to which the stock belongs
name
Full name of the company
cap.usd
Market capitalisation of the company in US dollars
size
Market capitalisation normalized to N(0,1).
smi
contains the StarMine Indicator (SMI) score for each security and date if a score was issued.
ret.0.1.m
1 month forward return.
ret.0.5.d
5 day forward return.
ret.15.45.d
Return from day 15 through day 45.
ret.0.6.m
6 month forward return.
ret.1.12.m
Cumulative return from month 1 through month 12.

Details

starmine contains selected attributes such as sector, market capitalisation, country, and various measures of return for a universe of approximately 6,000 stocks. The data is on a monthly frequency from January 31, 1995 to November 30, 1995.

Columns containing total returns, such as ret.0.1.m and ret.15.45.d, have names of the form ret.n.m.u, where n is the start instant, m is the end instant, and u specifies the instants' calendar units. The instants n and m are relative to the end of the period expressed by the observation date. For example, the one month forward return ret.0.1.m for date 1995-11-30 should be read "the total return from 0 months from 1995-11-30 to 1 month from 1995-11-30", that is, the return for the month of December, 1995. Similarly, ret.15.45.d for date 1995-11-30 contains the 30-calendar-day return from the close of business on 1995-12-15 to close of business on 1996-01-14.

Note

We would like to thank StarMine Corporation for allowing us to use their data.

Author(s)

Documentation contributed by Daniel Gerlanc.

Source

http://www.starmine.com

Examples

data(starmine)

head(starmine)

[Package backtest version 0.1-0 Index]