// Product / RF

Risk Factor Database

Market, fundamental and macro-economic factors for US and Chinese equities — ready for both fundamental and economic models.

Daily

Update frequency

2000+

US history from

256

China factors

3,500+

China stocks

// China / Coverage

Chinese risk factors

Daily-updated historical data from 2011 onward, covering 256 financial ratios and risk factors for more than 3,500 Shanghai- and Shenzhen-listed companies, including delisted companies.

Reporting and restatements

Financial data is indexed by its financial/reporting period and its publication or restatement date.

Stock suspensions

Most factor values are not calculated during stock suspensions. Calculation windows follow market trading days, including suspension days, rather than only days when the individual stock traded.

Trailing twelve months

Income-statement and cash-flow ratios use trailing-twelve-month (TTM) data to reduce seasonal skew.

Balance-sheet inputs

Balance-sheet ratios use either the latest available value (Latest) or an average value (Mean), depending on the factor.

// Published factors · 240 unique entries

Chinese factor list

Financial ratios and market characteristics

accounts payables turnover days
accounts payables turnover rate
administration expense to total operating revenues
accounts receivable turnover days
accounts receivable turnover rate
natural logarithm of total assets
book leverage
bond payable to total assets
net cash flow from operation activities to operating revenues
net cash to total current liabilities
monthly return range
cash flow per share to price
5-year average cash flow per share to price
total current assets to total assets
current assets turnover rate
current assets to current liabilities
downside beta
downside correlation
ratio of downside standard deviations
total liabilities to total equity
total liabilities to total assets
diluted earnings per share
daily returns variance ratio
earnings before interest and taxes to total operating revenues
5-year earnings growth
earnings per share
total shareholder equity to fixed assets
total shareholder equity to total assets
total shareholder equity turnover rate
earnings per share to price
5-year average earnings per share to price
financial expenses to total operating revenues
growth rate of net cash flow from financing activities
fixed assets to total assets
fixed assets turnover rate
gross income to operating revenues
historical daily Beta
historical daily Sigma
intangible assets to total assets
inventory turnover days
inventory turnover rate
growth rate of net cash flow from investing activities
natural logarithm of market value
natural logarithm of negotiable market value
long term borrowings to total assets
total non-current liabilities to working capital
total non-current liabilities to total assets
market leverage
net assets growth rate
net income growth rate
net income to operating revenues
net cash flow from operation activities to operating net income
total non-current assets to total assets
growth rate of net income
net income to total operating revenues
selling expenses to total operating revenues
operating profit growth rate
operating profit to operating revenues
operating profit to total operating revenues
operating revenue growth rate
growth rate of net cash flow from operation activities
net cash flow from operation activities to total current liabilities
price-to-book ratio
price-to-cash-flow ratio
price-earnings ratio
price-to-sales ratio
current assets minus inventories to current liabilities
return on assets: net income to total assets
5-year return on assets
return on equity
5-year return on equity
relative strength for the last 12 months
relative strength for the last 24 months
cost of goods sold to operating revenues
cash from sales of goods and services to operating revenue
standardized unexpected earnings
business taxes and surcharges to operating revenues
total assets growth rate
total assets turnover rate
total profit to cost of goods sold and all expenses
total profit growth rate
assets to enterprise value
cash provided by operations to enterprise value
cash flow assets ratio minus return on assets
growth rate of gross income ratio
standardized unexpected gross income
change tendency of net profit in the past eight quarters
price level during the past 52 weeks
volatility of daily turnover
skewness of price
daily return to turnover value

Technical indicators and trading activity

backward adjustment factor for restoration of rights
6-day average true range
10-day bias ratio/bias
20-day bias ratio/bias
5-day bias ratio/bias
60-day bias ratio/bias
lower Bollinger Bands
upper Bollinger Bands
6-day price rate of change
20-day price rate of change
bias convergence divergence(bias)
average rate of change
price momentum over the last 5 days
price momentum over the last 10 days
price momentum over the last 20 days
10-day exponential moving average
12-day exponential moving average
120-day exponential moving average
20-day exponential moving average
26-day exponential moving average
5-day exponential moving average
60-day exponential moving average
120-day moving average
20-day moving average
10-day moving average
5-day moving average
60-day moving average
absolute price bias moving average
psychological line index
difference exponential average
volume difference, it is used to calculate VMACD
directional divergence index
mediator in calculating DDI
volume moving average convergence and divergence
regression coefficient of 10-day moving average, in predicting 12-day moving average
regression coefficient of 10-day moving average , in predicting 6-day moving average
median of volatility
trading volume klinger oscillator
difference between 10-day average turnover rate and 120 -day average turnover rate
difference between 20-day average turnover rate and 120 -day average turnover rate
difference between 5-day average turnover rate and 120 -day average turnover rate
10-day turnover rate
120-day turnover rate
20-day turnover rate
240-day turnover rate
5-day turnover rate
60-day turnover rate
volume oscillator, also known as moving average volume factor

Valuation and risk measures

net non-operating income and expenditure (TTM)/total profit (TTM)
net non-operating income and expenditure/total profit
period costs rate
diluted ROE
ROE(Avg.)
ROE(Weighted Avg.)
ROE (after cutting dilution, Weighted Avg.)
ROIC
ROAEBIT
ROAEBITTTM(TTM)
operating income/total profit
operating income/total profit (latest)
investment income from associates and joint ventures/total profit
investment income from associates and joint ventures/total profit (latest)
net profit after deducting non-recurring gains and losses/net profit
PE/ net profit attributable to parent company 3-year compound growth rate
PE/ net profit attributable to parent company 5-year compound growth rate
(PE – industry-average PE)/standard deviation of industry PE
(PB -PB industry average)/ standard deviation of industry of PB
(PS – PS industry average)/ standard deviation of industry PS
(PCF – PCF industry average)/ standard deviation of industry PCF
PE/ average PE over the past six months
PEHist250
Static PE
forward PE
total owners’ equity attributable to parent
net profit attributable to parent company
20-day earnings variance
60-day earnings variance
120-day earnings variance
20-day kurtosis on individual stock returns
60-day kurtosis on individual stock returns
120-day kurtosis on individual stock returns
20-day Jensen’s Alpha
60-day Jensen’s Alpha
120-day Jensen’s Alpha
20-day Beta
60-day Beta
120-day Beta
20-day sharpe ratio
60-day sharpe ratio
120-day sharpe ratio
20-day treynor ratio
60-day treynor ratio
120-day treynor ratio
20-day information ratio
60-day information ratio
120-day information ratio
20-day return variance
60-day return variance
120-day return variance
20-day loss variance
60-day loss variance
120-day loss variance
20-day gain and loss variance ratio
60-day gain and loss variance ratio
120-day gain and loss variance ratio
actual volatility (realized volatility)

Financial statement and cash-flow fields

total fixed assets
interest-free current liabilities
non-interest-bearing non-current liabilities
interest-bearing current liabilities
interest-bearing debt
net debt
net tangible assets
operating capital
net working capital
total invested capital
retained earnings
net income from operating activities
net change in value
net interest expense
EBIT
EBITDA
EBIAT
non-recurring gains and losses
net profit attributable to owners’ equity
free cash flow for the firm
free cash flow to equity
depreciation and amortization
total revenue, TTM
total operating cost, TTM
total operating revenue, TTM
cost of goods sold, TTM
gross profit, TTM
selling expenses, TTM
administrative expense, TTM
financial expense, TTM
asset impairment loss, TTM
net operating profit, TTM
net increase and decrease of fair value change, TTM
operating profit, TTM
non-operating income and expenses
total profit, TTM
net income, TTM
net profit attributable to parent company, TTM
cash received from the sale of goods or rendering of services, TTM
net cash flow from operating activities, TTM
net cash flows from investing activities, TTM
net cash flow from financing activities, TTM
gross profit

// China / Data subscriptions

Chinese equity and market data

Stock reference data

Security lists, trading calendars and historical names
Shanghai–Hong Kong and Shenzhen–Hong Kong Stock Connect eligibility
Listed-company profiles, management, compensation and incentives
New IPOs

Prices and trading activity

Daily, weekly and monthly prices; adjusted prices and adjustment factors
Suspension information and price limits
Daily factors (more than 1,000 in the broader equity-data catalog)
Money flow, including both Stock Connect channels

Intraday Level 2

Ticks and transactions
Orders and order queues

Financial disclosures

Cash-flow, profit and balance-sheet factors
Earnings forecasts and preliminary earnings
Dividends and auditing

Indices and funds

Index profiles, daily/weekly prices, constituents, weights and industry data
Fund lists, issuing companies, managers and shares
Fund NAV, dividends, portfolios, daily prices and intraday ticks

Futures, options and bonds

Futures reference data, calendars, daily/tick prices and settlements
Futures holding brokers and warehouses
Options reference data and daily/tick prices
Convertible-bond profiles, issuance and prices

Macro and alternative data

Shibor and Shibor quotes; LPR, Libor and Hibor
Wenzhou and Guangzhou local rates; GDP
Chinese news feeds and CCTV news
Global GIS data at various resolutions

// Coverage

US universe

Active and delisted stocks on major US exchanges and OTC: common stocks, preferred stocks and foreign issuers (ADRs & Canadian).

// US methodology

Point-in-time and clean

Time-indexing

Quarterly fundamentals become daily series, stamped at report release date + 2 trading days. Missing release dates use period end + 90 days.

Corporate events

Prices and returns adjust for splits and stock dividends, not cash dividends. No returns after delisting.

Missing data

Market data carries forward from the previous day. A single missing quarter uses the prior quarter; longer gaps are not computed.

Meaningless ratios

Ratios with negative denominators (e.g. P/E on losses) are left blank. Most ratios are TTM; growth factors come quarterly and yearly.

// Factors · 44

US factor list

01beta (1y weekly return) — Fama-French

02beta (3y weekly return) — Fama-French

03market cap — Fama-French

041-year return — Carhart

05book-to-market — Fama-French

06capex to sales

07capex to total assets

08investment growth

09assets growth

10inventory growth

11quick ratio

12current ratio

13inventory changes to assets

14inventories to current assets

15changes in PPE & inventories to assets

16net operating assets to assets

17changes in NOA to assets

18changes in long-term NOA to assets

19operating accruals to assets

20total accruals to assets

21percent operating accruals

22percent total accruals

23net income margin

24gross income margin

25pretax margin

26gross profits to assets

27gross profits to lagged assets

28EBITDA margin

29EBIT margin

30cash flow margin

31cash flow to assets

32cash flow to lagged assets

33return on assets

34return on equity

35return on net operating assets

36operating profits to equity

37operating profits to lagged equity

38operating profits to assets

39operating profits to lagged assets

40cash-based op. profits (assets) to assets

41cash-based op. profits (assets) to lagged assets

42cash-based op. profits (equity) to assets

43cash-based op. profits (equity) to lagged assets

44operating leverage