starmine {backtest} | R Documentation |
StarMine rankings of some stocks in 1995, with corresponding returns and other data.
data(starmine)
A data frame containing 57767 observations on the following 13 variables.
date
id
country
sector
name
cap.usd
size
smi
ret.0.1.m
ret.0.5.d
ret.15.45.d
ret.0.6.m
ret.1.12.m
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
.
We would like to thank StarMine Corporation for allowing us to use their data.
Documentation contributed by Daniel Gerlanc.
data(starmine) head(starmine)