US Risk Factors

We use stock’s fundamental and market data to calculate our factors.

• For fundamental data, we transform quarterly data to daily time-series data.
• Due to the concern of possible delay in collection by our data sources after the data is being published by SEC, we use quarterly report release date plus two trading days as the date of entry (timestamp) in our database.
• For financial reports missing a release date, we use the end of an accounting period (e.g., end of March, June, September, and December) plus extra 90 days as its release date.

To calculate financial ratios/factors, we first clear raw data such as fundamental and market data. Then we handle some abnormal values in factor values such as missing data points, outliners, meaningless ratios (negative P/E). 

We clean the data by:

• Stock event: Stock prices and returns need to adjust for stock splits and stock dividends, but not for price dividends. For stock delist, once stock discontinue trading in market, we will not calculate stock’s delisted return.
• Missing data: For market data, such as stock’s price and volume, we use previous trading day’s market data to replace those missing values. For financial data, there are many small-cap or illiquid stocks that are unable to provide continuous quarterly reports.  For those financial data missing for a short period (a quarter), we use data from the previous quarter in our calculation. For any data that are missing more than one quarter, we will not calculate their factor values.
• Negative(meaningless) ratio/factor: Many financial ratios/factors are meaningless when the denominator is negative, e.g,. P/E ratio when the earning is negative, net income margin when the revenue is negative. We do not calculate these factors when the negative ratio is meaningless.

For most of the financial factors/ratios, we provide trailing twelve-month (TTM) factors to avoid seasonal skewness. And for the growth factors, we provide both quarterly and yearly growth rates.