fundamental_factor

Summary

The dataset contains various financial metrics related to U.S. stocks, focusing on growth rates, ratios, and performance indicators over different time frames, such as 1-year and 3-year periods. Key metrics include growth rates for sales, net income, operating assets, and liabilities, as well as ratios like EBITDA to market capitalization, return on equity, and cash to total assets, providing insights into the financial health and performance trends of U.S. stocks.

Example code

from finter.data import ContentFactory
cf = ContentFactory("us_stock", 20200101, 20200201)
df = cf.get_df("us-stock_pit-ncol_gr3a")

Metadata

valid from
delivery schedule
time zone
data frequency

30 5 * * 2-6

1d

Item List

• at_gr3 : Asset Growth 3yr

• sale_gr3 : Sales Growth 3yr

• ca_gr3 : Current Asset Growth 3yr

• nca_gr3 : Non-Current Asset Growth 3yr

• lt_gr3 : Total Liabilities Growth 3yr

• cl_gr3 : Current Liabilities Growth 3yr

• ncl_gr3 : Non-Current Liabilities Growth 3yr

• be_gr3 : Book Equity Growth 3yr

• pstk_gr3 : Preferred Stock Growth 3yr

• debt_gr3 : Total Debt Growth 3yr

• cogs_gr3 : Cost of Goods Sold Growth 3yr

• sga_gr3 : Selling, General, and Administrative Expenses Growth 3yr

• opex_gr3 : Operating Expenses Growth 3yr

Growth - Changed Scaled by Total Assets

• gp_gr1a : Gross Profit Change 1yr (Scaled by Total Assets)

• ocf_gr1a : Operating Cash Flow Change 1yr (Scaled by Total Assets)

• cash_gr1a : Cash and Short-Term Investments Change 1yr (Scaled by Total Assets)

• inv_gr1a : Inventory Change 1yr (Scaled by Total Assets)

• rec_gr1a : Receivables Change 1yr (Scaled by Total Assets)

• ppeg_gr1a : Property, Plant, and Equipment Gross Change 1yr

• intan_gr1a : Intangible Assets Change 1yr

• debtst_gr1a : Short-Term Debt Change 1yr

• ap_gr1a : Accounts Payable Change 1yr

• txp_gr1a : Income Tax Payable Change 1yr

• debtlt_gr1a : Long-Term Debt Change 1yr

• txditc_gr1a : Deferred Taxes and Investment Credit Change 1yr

• coa_gr1a : Current Operating Assets Change 1yr

• col_gr1a : Current Operating Liabilities Change 1yr

• cowc_gr1a : Current Operating Working Capital Change 1yr

• ncoa_gr1a : Non-Current Operating Assets Change 1yr

• ncol_gr1a : Non-Current Operating Liabilities Change 1yr

• nncoa_gr1a : Net Non-Current Operating Assets Change 1yr

• oa_gr1a : Operating Assets Change 1yr

• ol_gr1a : Operating Liabilities Change 1yr

• noa_gr1a : Net Operating Assets Change 1yr

• fna_gr1a : Financial Assets Change 1yr

• fnl_gr1a : Financial Liabilities Change 1yr

• nfna_gr1a : Net Financial Assets Change 1yr

• ebitda_gr1a : Operating Profit before Depreciation Change 1yr

• ebit_gr1a : Operating Profit after Depreciation Change 1yr

• ope_gr1a : Operating Earnings to Equity Change 1yr

• ni_gr1a : Net Income Change 1yr

• dp_gr1a : Depreciation and Amortization Change 1yr

• nwc_gr1a : Net Working Capital Change 1yr

• nix_gr1a : Net Income Including Extraordinary Items Change 1yr

• tax_gr1a : Effective Tax Rate Change 1yr

• div_gr1a : Dividend Payout Ratio Change 1yr

• gp_gr3a : Gross Profit Change 3yr

• ocf_gr3a : Operating Cash Flow Change 3yr

• cash_gr3a : Cash and Short-Term Investments Change 3yr

• inv_gr3a : Inventory Change 3yr

• rec_gr3a : Receivables Change 3yr

• ppeg_gr3a : Property, Plant, and Equipment Gross Change 3yr

• lti_gr3a : Investment and Advances Change 3yr

• intan_gr3a : Intangible Assets Change 3yr

• debst_gr3a : Short-Term Debt Change 3yr

• ap_gr3a : Accounts Payable Change 3yr

• txp_gr3a : Income Tax Payable Change 3yr

• debtlt_gr3a : Long-Term Debt Change 3yr

• txditc_gr3a : Deferred Taxes and Investment Credit Change 3yr

• coa_gr3a : Current Operating Assets Change 3yr

• col_gr3a : Current Operating Liabilities Change 3yr

• cowc_gr3a : Current Operating Working Capital Change 3yr

• ncoa_gr3a : Non-Current Operating Assets Change 3yr

• nncoa_gr3a : Net Non-Current Operating Assets Change 3yr

• oa_gr3a : Operating Assets Change 3yr

• ol_gr3a : Operating Liabilities Change 3yr

• noa_gr3a : Net Operating Assets Change 3yr

• fna_gr3a : Financial Assets Change 3yr

• fnl_gr3a : Financial Liabilities Change 3yr

• nfna_gr3a : Net Financial Assets Change 3yr

• ebitda_gr3a : Operating Profit before Depreciation Change 3yr

• ebit_gr3a : Operating Profit after Depreciation Change 3yr

• ope_gr3a : Operating Earnings to Equity Change 3yr

• ni_gr3a : Net Income Change 3yr

• dp_gr3a : Depreciation and Amortization Change 3yr

• nwc_gr3a : Net Working Capital Change 3yr

• inv_gr3a : Inventory Change 3yr

• ncol_gr3a : Non-Current Operating Liabilities Change 3yr

• nix_gr3a : Net Income Including Extraordinary Items Change 3yr

• tax_gr3a : Effective Tax Rate Change 3yr

• div_gr3a : Dividend Payout Ratio Change 3yr

Investment

• rd_at : R&D scaled by Assets

Non-Recurring Items

• spi_at : Special Items scaled by Assets

• xido_at : Extraordinary Items and Discontinued Operations scaled by Assets

• nri_at : Non-Recurring Items scaled by Assets

Profit Margins

• gp_sale : Gross Profit Margin

• ebitda_sale : Operating Profit Margin before Depreciation

• ebit_sale : Operating Profit Margin after Depreciation

• pi_sale : Pretax Profit Margin

• nix_sale : Net Profit Margin

• ocf_sale : Operating Cash Flow Margin

Return on Assets

• gp_at : Gross Profit scaled by Assets

• ebitda_at : Operating Profit before Depreciation scaled by Assets

• ebit_at : Operating Profit after Depreciation scaled by Assets

• fi_at : Firm Income scaled by Assets

• cop_at : Cash Based Operating Profitability scaled by Assets

Return on Book Equity

• ope_be : Operating Profit to Equity scaled by BE

• ni_be : Net Income scaled by BE

• nix_be : Net Income Including Extraordinary Items scaled by BE

• ocf_be : Operating Cash Flow scaled by BE

Return on Invested Capital

• gp_bev : Gross Profit scaled by BEV

• ebitda_bev : Operating Profit before Depreciation scaled by BEV

• ebit_bev : Operating Profit after Depreciation scaled by BEV

• fi_bev : Firm Income scaled by BEV

• cop_bev : Cash Based Operating Profitability scaled by BEV

Return on Physical Capital

• gp_ppen : Gross Profit scaled by PPEN

• ebitda_ppen : Operating Profit before Depreciation scaled by PPEN

Equity Payout

• div_at : Total Dividends scaled by Assets

Accurals

• oaccruals_at : Operating Accruals

• oaccruals_ni : Percent Operating Accruals

• taccruals_at : Total Accruals

• taccruals_ni : Percent Total Accruals

• noa_at : Net Operating Asset to Total Assets

Capitalization/Leverage Ratios

• be_bev : Common Equity scaled by BEV

• debt_bev : Total Debt scaled by BEV

• cash_bev : Cash and Short-Term Investments scaled by BEV

• pstk_bev : Preferred Stock scaled by BEV

• debtlt_bev : Long-Term Debt scaled by BEV

• debtst_bev : Short-Term Debt scaled by BEV

Capitalization/Leverage Ratios (Columns gvkeyiid)

• debt_mev : Total Debt scaled by MEV

• pstk_mev : Preferred Stock scaled by MEV

• debtlt_mev : Long-Term Debt scaled by MEV

• debtst_mev : Short-Term Debt scaled by MEV

Financial Soundness Ratios

• int_debt : Interest scaled by Total Debt

• int_debtlt : Interest scaled by Long-Term Debt

• ebitda_debt : Operating Profit before Depreciation scaled by Total Debt

• profit_cl : Profit before D&A scaled by Current Liabilities

• ocf_cl : Operating Cash Flow scaled by Current Liabilities

• ocf_debt : Operating Cash Flow scaled by Total Debt

• cash_lt : Cash Balance scaled by Total Liabilities

• inv_act : Inventory scaled by Current Assets

• rec_act : Receivables scaled by Current Assets

• debtst_debt : Short-Term Debt scaled by Total Debt

• cl_lt : Current Liabilities scaled by Total Liabilities

• debtlt_debt : Long-Term Debt scaled by Total Debt

• opex_at : Operating Leverage

• lt_ppen : Total Liabilities scaled by Total Tangible Assets

• debtlt_be : Long-Term Debt to Book Equity

• nwc_at : Working Capital scaled by Assets

Solvency Ratios

• debt_at : Debt-to-Assets

• ebit_int : Interest Coverage Ratio

Liquidity Ratios

• inv_days : Days Inventory Outstanding

• rec_days : Days Sales Outstanding

• ap_days : Days Accounts Payable Outstanding

• cash_conversion : Cash Conversion Cycle

• cash_cl : Cash Ratio

• caliq_cl : Quick Ratio

• ca_cl : Current Ratio

Activity/Efficiency Ratios

• inv_turnover : Inventory Turnover

• at_turnover : Asset Turnover

• rec_turnover : Receivables Turnover

• ap_turnover : Account Payables Turnover

Miscellaneous

• sale_bev : Sales scaled by BEV

• rd_sale : R&D scaled by Sales

• sale_be : Sales scaled by Total Stockholders’ Equity

• div_ni : Dividend Payout Ratio

• sale_nwc : Sales scaled by Working Capital

• tax_pi : Effective Tax Rate

Balance Sheet Fundamental to Market Equity

• be_me : Book Equity scaled by Market Equity

• at_me : Total Assets scaled by Market Equity

• cash_me : Cash and Short-Term Investments scaled by Market Equity

Income Fundamentals to Market Equity

• gp_me : Gross Profit scaled by ME

• ebitda_me : Operating Profit before Depreciation scaled by ME

• ebit_me : Operating Profit after Depreciation scaled by ME

• ope_me : Operating Earnings to Equity scaled by ME

• ni_me : Net Income scaled by ME

• sale_me : Sales scaled by ME

• ocf_me : Operating Cash Flow scaled by ME

• nix_me : Net Income Including Extraordinary Items scaled by ME

• cop_me : Cash Based Operating Profitability scaled by ME

• rd_me : R&D scaled by ME

Balance Sheet Fundamentals to Market Enterprise Value

• be_mev : Book Equity scaled by MEV

• at_mev : Total Assets scaled by MEV

• cash_mev : Cash and Short-Term Investments scaled by MEV

• bev_mev : Book Enterprise Value scaled by MEV

• ppen_mev : Property, Plant, and Equipment Net scaled by MEV

Equity Payout/Issuance to Market Equity

• div_me : Total Dividends scaled by ME

Income Fundamentals to Market Enterprise Value

• gp_mev : Gross Profit scaled by MEV

• ebitda_mev : Operating Profit before Depreciation scaled by MEV

• ebit_mev : Operating Profit after Depreciation scaled by MEV

• sale_mev : Sales scaled by MEV

• ocf_mev : Operating Cash Flow scaled by MEV

• cop_mev : Cash Based Operating Profitability scaled by MEV

New Variables not in HXZ

• niq_saleq_std : Net Income to Sales Quarterly Volatility

• ni_at : Net Income scaled by Assets

• ocf_at : Operating Cash Flow scaled by Assets

• ocf_at_chg1 : Operating Cash Flow to Assets 1 yr Change

• roeq_be_std : Quarterly ROE Volatility

• roe_be_std : ROE Volatility

• gpoa_ch5 : Gross Product to Assets 5 yr Change

• roe_ch5 : ROE 5 yr Change

• roa_ch5 : ROA 5 yr Change

• cfoa_ch5 : Operating Cash Flow to Assets 5 yr Change

• gmar_ch5 : Gross Product to Sales 5 yr Change

New Variables from HXZ

• cash_at : Cash and Short Term Investments scaled by Assets

• ni_inc8q : Number of Consecutive Earnings Increases

• ppeinv_gr1a : Change in Property, Plant and Equipment Less Inventories scaled by lagged Assets

• lnoa_gr1a : Change in Long-Term NOA scaled by average Assets

• sti_gr1a : Change in Short-Term Investments scaled by Assets

• niq_be : Quarterly Income scaled by BE

• niq_be_chg1 : Change in Quarterly Income scaled by BE

• niq_at : Quarterly Income scaled by AT

• niq_at_chg1 : Change in Quarterly Income scaled by AT

• saleq_gr1 : Quarterly Sales Growth

• rd5_at : R&D Capital-to-Assets

• dsale_dinv : Change Sales minus Change Inventory

• dsale_drec : Change Sales minus Change Receivables

• dgp_dsale : Change Gross Profit minus Change Sales

• dsale_dsga : Change Sales minus Change SG&A

• saleq_su : Earnings Surprise

• niq_su : Revenue Surprise

• inv_gr1 : Inventory Change 1 yr

• be_gr1a : Book Equity Change 1 yr scaled by Assets

• op_at : Ball Operating Profit to Assets

• pi_nix : Earnings before Tax and Extraordinary Items to Net Income Including Extraordinary Items

• op_atl1 : Ball Operating Profit scaled by lagged Assets

• ope_bel1 : Operating Profit scaled by lagged Book Equity

• gp_atl1 : Gross Profit scaled by lagged Assets

• cop_atl1 : Cash Based Operating Profitability scaled by lagged Assets

• at_be : Book Leverage

• ocfq_saleq_std : Operating Cash Flow to Sales Quarterly Volatility

• aliq_at : Liquidity scaled by lagged Assets

• tangibility : Tangibility

• o_score : Ohlson O-Score

• earnings_variability : Earnings Variability

• ni_ar1 : 1 yr lagged Net Income to Assets

• ni_ivol : Net Income Idiosyncratic Volatility

New Variables from HXZ (Columns gvkeyiid)

• debt_me : Total Debt scaled by ME

• netdebt_me : Net Debt scaled by ME

• aliq_mat : Liquidity scaled by lagged Market Assets

• eq_dur : Equity Duration

• z_score : Altman Z-Score

• kz_index : Kaplan-Zingales Index

Reference and Formula

Jensen, Theis Ingerslev, Bryan Kelly, and Lasse Heje Pedersen. "Is there a replication crisis in finance?." The Journal of Finance 78.5 (2023): 2465-2518.

Jensen, Theis Ingerslev, Bryan Kelly, and Lasse Heje Pedersen. "Global Factor Data Documentation." (2021).

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