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Chinese Risk Factors

  • Overview
  • Time-Indexing
  • Data Handling
  • List of 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