starmine {backtest}

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 53328 observations on the following 23 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 identifier for each stock.

symbol

Company symbol.

name

Full company name.

country

Country of the exchange on which the company is listed. This factor has levels AUS, CHE, DEU, DNK, ESP, FIN, FRA, GBR, HKG, ITA, JPN, NLD, NOR, NZL, SWE and USA

sector

Sector specification. This factor has levels Durbl, Enrgy, HiTec, Hlth, Manuf, Money, NoDur, Other, Shops, Telcm and Utils

sec

An alternative sector specification. This factor has levels CND, CNS, COM, ENE, FIN, HTH, IND, MAT, TEC and UTL.

ind

Industry specification. This factor has levels AERDF, AIRLN, AUTOP, AUTOS, BANKS, BEVGS, BIOTC, BUILD, CHEMS, CNENG, CNFIN, CNMAT, COMEQ, COMPT, COMSS, CONGL, CPMKT, DICNS, DISTR, DVFIN, DVTEL, ELEQI, ELEQT, ELUTL, ENEQS, FDPRD, FDRET, GSUTL, HEPSV, HEQSP, HETEC, HOTEL, HSDUR, HSPRD, INSUR, INTSS, IPPET, ITCAT, ITCON, LEISR, LFSCI, LOGIS, MACHN, MEDIA, METAL, MGFIN, MLRET, MLUTL, OFFIC, OILGS, PACKG, PAPER, PHARM, PRPRD, REALE, REDEV, REITS, RRAIL, SEMIP, SEMIS, SHIPS, SMOKE, SOFTW, SPRET, TEXAP, TRADE, TRINF, WIREL and WTUTL

size

cap.usd normalized to N(0,1).

smi

StarMine Indicator (smi) score

liq

Liquidity of the company.

ret.0.1.m

One-month forward return of the company.

ret.0.6.m

Six-month forward return of the company.

ret.1.0.m

One-month prior return of the company.

ret.6.0.m

Six-month prior return of the company.

ret.12.0.m

Twelve-month prior return of the company.

mn.dollar.volume.20.d

Mean dollar volume of the past 20 days.

md.dollar.volume.120.d

Median dollar volume of the past 120 days.

cap.usd

Market capitalisation of the company in USD.

cap

Market capitalisation of the company in local currency.

sales

Annual gross sales of the company.

net.income

Annual net income of the company.

common.equity

Annual common equity of the company.

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.

Note

We would like to thank StarMine Corporation for allowing us to include this data in the backtest package.

Source

StarMine Corporation. For more information, see http://www.starmine.com.

Examples

data(starmine)
head(starmine)