Using Thomson Reuters StarMine Signals for Country Selection
StarMine Research Note
The StarMine® quantitative alpha models provide robust stock selection factors. In this research note, we examine the performance of StarMine signals when aggregating market capitalization-weighted average StarMine signals on country indices and exchange-traded funds (ETFs).
Based on monthly data from 2007 to 2016, most aggregated StarMine signals demonstrate strong predictive power and consistent ability to sort country proxies and outperform their benchmark on quintile spread. Moreover, a linear combination of multiple StarMine signals achieves long-short quintile spread returns of 13.7% annually over a 10-year period.
Authors: Brenda Zhang, CFA and Hugh Genin, Ph.D
Please complete the form below to access this report:
By submitting your details, you are acknowledging that you have read and understood our Privacy Statement.By submitting your details, you are agreeing to receive occasional communications about Thomson Reuters resources, events, products, or services. You also acknowledge that you have read and understood our Privacy Statement.
Financial and Risk
Trusted solutions that deliver critical news, information and analytics to the global financial community – enabling transactions and connecting communities of trading, investing, financial and corporate professionals.