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June 20, 2024

StarMine Monthly Performance Report – May 2024

by Tajinder Dhillon.

Global markets continued to rally during the month of May in every region this report tracks. Like last month, StarMine valuation models performed well in most places. But, unlike the more defensive positioning we observed during the last couple of months, more aggressive strategies seemed to have paid off in most regions during May. In addition to valuation, price momentum, growth and small-cap stocks returned to favor, while quality was not rewarded.

The StarMine Intrinsic Valuation (IV) and Relative Valuation (RV) models performed well in every major region Canada. Other StarMine model performance varied by region. Price Momentum (Price Mo) worked well except in U.S. and Developed Europe. Similar performance was observed for the StarMine Smart Holdings model. The other two U.S.-only “Smart Money” models (Insider Filings and Short Interest) also generated negative decile spreads. The StarMine Analyst Revisions Model (ARM) sorted stocks effectively in Canada, Developed Asia ex-Japan and the overall Emerging Markets region, but not in the U.S., Developed Europe, or Japan. StarMine Earnings Quality (EQ) was out of favor this month, showing both positive top/bottom decile spreads and I.C.s only in the overall Emerging Markets region. Demonstrating a more risk-on or speculative market, the negative decile spreads was generally due to the outperformance of the bottom decile. The StarMine MarketPsych Media Sentiment (MMS) model also struggled during the month, with negative decile spreads and/or I.C. in every major region this report tracks.

With input components showing mixed results during the month, the four-factor Val-Mo model and the Combined Alpha Model (CAM), which combines all StarMine alpha models, also showed varied results across regions, but mostly positive except in Developed Europe. Both CAM and Val-Mo demonstrated positive results in Japan, Developed Asia ex-Japan, and the overall Emerging Markets region.

To download the full report – please click here.

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