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  


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