Financial
StarMine Quantitative Models
Find insights and generate alpha. StarMine Quantitative Models are stock selection factors grounded in sound economic intuition and developed using best-of-breed modeling techniques. The models are robust across regions, sectors and market environments and have helped investment professionals achieve higher returns across a spectrum of investment styles.
With StarMine Quantitative Models, you can:
- Generate superior returns using robust stock selection factors on a standalone basis, or as inputs into a multi-factor model
- Add alpha, clarity and insight to equity analysis
- Access in the way you prefer: via MarketQA , data feed (FTP), or StarMine Professional
- Backtest factors as well as component variables using at least 10 years of global history
Why choose StarMine Quantitative Models?
- Performance: StarMine has a rich history of building innovative and profitable stock selection factors.
- Strict Research Methodology: StarMine models are grounded in fundamental economic intuition, backed by rigorous research and thorough testing.
- Clear-Box Approach: StarMine provides users with stock selection factors as well as underlying inputs allowing for flexible, customizable implementation.
- Built using I/B/E/S Estimates and Reuters Fundamentals: Best-of-breed data that plays an integral role in key decision-making across the financial industry.
- Value Momentum: StarMine Valuation-Momentum Model (Val-Mo) takes advantage of the valuable and complementary information in value and momentum signals. StarMine Val-Mo condenses into one powerful signal all the unique and proprietary information contained in StarMine’s valuation and momentum models.
- Analyst Revisions: StarMine Analyst Revisions Model (ARM) is an analyst revision-based stock ranking system that incorporates more accurate earnings estimates through StarMine’s proprietary SmartEstimate earnings prediction service. It includes estimates on multiple fiscal periods, uses other financial measures in addition to earnings, and considers changes in analyst recommendations.
- SmartGrowth & Intrinsic Valuation: SmartGrowth Earnings Projections intelligently adjust for analyst bias to derive a more accurate set of growth forecasts. StarMine Intrinsic Valuation Model (IV) leverages SmartGrowth Earnings Projections into a refined estimate of intrinsic value.
- Relative Valuation: StarMine Relative Valuation Model (RV) is a robust stock ranking model that profitably sorts companies by intelligently combining information from six powerful valuation ratios into a single comprehensive measure of relative valuationtion.
- Price Momentum: StarMine Price Momentum Model (Price Mo) is a powerful stock ranking model that provides a comprehensive measure of price momentum by incorporating multiple dimensions of price momentum, from the negative autocorrelation in short-term returns to the positive autocorrelation in intermediate to long-term returns, as well as price momentum at the industry level.
- Earnings Quality: StarMine Earnings Quality Model (EQ) ranks companies globally on the basis of the reliability and persistence of earnings.
- SmartEstimates®: Earnings surprises and consensus revisions are well known drivers of stock price movements. StarMine has proven the ability to predict earnings surprises and estimate revisions by creating a SmartEstimate that is more accurate than the consensus.
- Structural Credit Risk Model: The StarMine Structural Credit Risk Model (SCR) is the first release of StarMine’s ongoing work in credit risk modeling. This model utilizes Black-Scholes-Merton option pricing theory to assess the equity market’s view of the credit riskiness of a company by examining the equity volatility in combination with its debt structure. This is an improved Merton distance-to-default model, which significantly outperforms standard competing models.
- Short Interest Model: The StarMine Short Interest (SI) model is a US stock ranking model that ranks stocks based on the hypothesis that stocks with high (low) number of shares shorted will under (out) perform. It improves upon a basic short interest model by accounting for well-known arbitrage strategies and incorporating institutional ownership as a supply factor. We also provide a Short Squeeze Indicator (SSI) to help investors address the risk of being forced to cover their short positions.
- Smart Holdings Model: The StarMine Smart Holdings model predicts which stocks will gain (lose) favor with institutional investors in the near future by determining which factors are in play with institutional investors and which stocks are becoming more (less) desirable in the current environment. The heart of the model is an innovative algorithm that reverse engineers the set of fundamental factors (and the relative importance of each factor) being used by investment managers at any given point in time based on their holdings data and then screens stocks against these investing profiles.
- MarketQA: Leverage these alpha-generating models alongside the normalized pricing, forecast and fundamental data of MarketQA
- Datafeed: StarMine models are available via FTP datafeed
- StarMine Professional: Access via StarMine Professional for quantitative screening to produce a universe of stocks for further investigation
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