starmine.sim: StarMine Rankings, 1995, and supplementary data.
In portfolioSim: Framework for simulating equity portfolio strategies

Description Usage Format Source Examples

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

1	data(starmine.sim)

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.

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

1 2	data(starmine.sim) head(starmine.sim)

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