Chinese Risk Factors
Chinese risk factor set contains historical data from 2011 to present, including 256 essential financial ratios of Chinese public companies (including delisted companies) in Shanghai and Shenzhen exchanges.
Features
- Update Frequency: Daily.
- Coverage: More than 3500+ public trade stocks.
Financial data is time-indexed by the respective financial/reporting period and published/restatement date.
The most common stock event in the Chinese stock market which will cause missing data is stock suspension. For most of factors, we do not calculate factor values during the suspension period. If one company is suspended during the factor data window, the suspension date will be counted in the statistics days. When calculating factors, the data window is based on market’s trading days rather than stock’s available data even though available data might be less than required data window due to suspension.
Ratios or factors related to income statement and cash flow statement are calculated based on trailing twelve months (TTM) data to avoid seasonal skewness. . Ratios related to balance sheet are calculated by using the latest available number (Latest) or average value (Mean).
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 pasted 52 weeks |
volatility of daily turnover |
skewness of price |
daily return to turnover value |
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 |
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 |
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) |
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 |
