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US Risk Factors

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

We provide a daily-updated and well-maintained factor database which covers most of active and delisted US stocks going as far back as 2000.

  • Update Frequency: Daily.
  • Stock Coverage: listed stocks in major US exchanges and OTC market.
    • Common stocks
    • preferred stocks
    • Foreign issuers (ADRs & Canadian)

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.

beta (1 year weekly return) -- Fama French model's factor

beta (3 year weekly return) -- Fama French model's factor

market cap -- Fama French model's factor

1-year return -- Carhart model's factor

b/m ratio -- Fama French model's factor

capital expense to sales ratio

capital expense to total assets ratio

investment growth ratio

assets growth ratio

inventory growth ratio

quick ratio

current ratio

inventories changes to assets ratio

inventories to current assets ratio

changes in PPE and inventories to assets ratio

net operating assets to assets ratio

changes in net operating assets to assets ratio

changes in long-term net operating assets to assets ratio

operating accruals to assets ratio

total accruals to assets ratio

percent operating accruals

percent total accruals

net income margin

gross income margin

pretax margin

gross profits to assets ratio

gross profits to lagged assets ratio

EBITDA(operating profit before depreciation) margin

EBIT(operating profit after depreciation) margin

cash flow margin

cash flow to assets ratio

cash flow to lagged assets ratio

return on assets

return on equity

return on net operating assets

operating profits to equity ratio

operating profits to lagged equity ratio

operating profits to assets ratio

operating profits to lagged assets ratio

cash-based operating profits for assets to assets ratio

cash-based operating profits for assets to lagged assets ratio

cash-based operating profits for equity to assets ratio

cash-based operating profits for equity to lagged assets ratio

operating leverage / operating costs to assets ratio