starmine.sim: StarMine Rankings, 1995, and supplementary data.

Description Usage Format Source Examples

Description

StarMine rankings of some stocks in 1995, with the minimal set of supplementary data required for running a simulation.

Usage

1

Format

A data frame with 53328 observations on the following 14 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.

name

Full company name.

country

Country of the exchange on which the company is listed.

sector

Sector to which the stock belongs.

cap.usd

Market capitalisation of the company in USD.

size

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

smi

StarMine Indicator (smi) score for each security and date if a score was issued.

fwd.ret.1m

1 month forward return.

fwd.ret.6m

6 month forward return.

price.usd

Adjusted price, in USD, of the security at the end of the period specified by date.

prior.close.usd

Adjusted price, in USD, of the security at the end of the period prior to the period specified by date.

volume

Adjusted volume of the security on the last day of the period specified by date.

ret.1m

Total return for the period (month) specified by date.

Source

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

Examples

1
2

Example output

Loading required package: lattice
Loading required package: portfolio
Loading required package: grid
Loading required package: nlme
      id       date             name country sector   cap.usd       size smi
1 000163 1995-03-31 Asw Holdings Plc     GBR  Manuf 249120584 -0.8828349 100
2 000163 1995-06-30 Asw Holdings Plc     GBR  Manuf 307608549 -0.6553916  82
3 000163 1995-07-31 Asw Holdings Plc     GBR  Manuf 314511806 -0.6549420  44
4 000163 1995-08-31 Asw Holdings Plc     GBR  Manuf 268371705 -0.7441347  51
5 000163 1995-09-30 Asw Holdings Plc     GBR  Manuf 282294137 -0.7046905  45
6 000163 1995-10-31 Asw Holdings Plc     GBR  Manuf 215712225 -0.9361660  40
   fwd.ret.1m  fwd.ret.6m price.usd prior.close.usd  volume      ret.1m
1  0.05050505  0.08080808  3.225024        3.129532 1189310  0.07537951
2  0.01716738 -0.62446352  3.706797        3.701438 1228895 -0.02916667
3 -0.11864407 -0.62711864  3.776236        3.796503  113123  0.01287554
4  0.02884615 -0.62980769  3.222128        3.227169    2142 -0.11864407
5 -0.21962617 -0.66405340  3.386978        3.338020   69070  0.02392344
6 -0.34146341 -0.43197213  2.587756        2.633757   28244 -0.23364486

portfolioSim documentation built on May 1, 2019, 9:23 p.m.