Analytics

StarMine Smart Holdings Plus Model

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  1. Overview
  2. Features & benefits
  3. How it works
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An overview of StarMine Smart Holdings Plus Model

The StarMine Smart Holdings Plus model is a global stock selection model that ranks stocks based on the predicted future increase, or decrease, in institutional ownership. The underlying hypothesis of the model is that fund managers tend to buy companies with particular characteristics, where these characteristics are fundamental, technical factors such as price-to-earnings, debt-to-equity ratios, price momentum or ESG related indicators such as Total CO2 Equivalents Emissions to Revenues. At the core of the model is an algorithm that reverse engineers each fund's purchasing profile based on the underlying fundamental factors of the companies a fund is buying. The result is a predictive model that accurately sorts stocks on future increases or decreases in institutional ownership.

Key Facts 

  • Geographical coverage
    Global
  • History
    From 2000
  • Data format
    CSV
    Text
  • Delivery mechanism
    Bulk
    FTP
    SFTP
  • Data frequency
    Daily

Features & Benefits

What you get with StarMine Smart Holdings Plus Model

  • A novel extension to the StarMine family of quantitative finance models, the first to incorporate ESG data. Model combines traditional financial factors with sustainability factors for holistic assessment on company stocks.
  • Uses an innovative behavioral finance algorithm to figure out what matters most to active institutional investors and then accurately predicts which stocks will see an increase or decrease in “smart money” in the near future.
  • Accurately predicts which stocks will see an increase or decrease in institutional ownership.
  • The final component combination provides a low volatility signal that produces attractive risk-adjusted returns with minimal draw-downs and is relatively uncorrelated with common factors.
  • When/if ESG loses popularity with active institutional investors, model should perform like original StarMine Smart Holdings.
  • Multi-Factor and Behavioral Finance Model powered by 13-F Filings and Lipper Holdings.
  • A long/short trading strategy based on Smart Holdings ranking produces high Sharpe ratios and annual returns. Historical backtests show improved performance when ESG matters to the “smart money” during particular time periods in particular regions.

How it works

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

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