Factor
Access a comprehensive collection of quantitative factor data for Korean stocks, suitable for financial analysis and modeling.
Example code
Metadata
| Valid From | Delivery Schedule | Time Zone | Data Frequency |
|---|---|---|---|
Z-score
In finance, the suffix -z typically denotes the z-score of a particular metric. The z-score represents how many standard deviations a data point is from the mean of the dataset. This allows us to understand the relative position of a specific data point within the context of the overall data distribution.
Item List
Valuation Ratios
Book to Market
kr-book_to_market: Book to Market ratio.kr-book_to_market-z: Z-score of Book to Market ratio.
Operating Cash Flow to Price
kr-operating_cashflow_to_price: Operating Cash Flow to Price ratio.kr-operating_cashflow_to_price-z: Z-score of Operating Cash Flow to Price ratio.
Enterprise Multiple
kr-enterprise_multiple: Enterprise Multiple.kr-enterprise_multiple-z: Z-score of Enterprise Multiple.
Price to Book Ratio (PBR)
kr-pbr_4q: Price to Book Ratio (4 quarters).kr-pbr_4q-z: Z-score of Price to Book Ratio (4 quarters).kr-pbr_4q_rel3y: Relative Price to Book Ratio (4 quarters, 3-year).kr-pbr_4q_rel3y-z: Z-score of Relative Price to Book Ratio (4 quarters, 3-year).
Price to Cash Flow Ratio (PCR)
kr-pcr_ocf_4q: Price to Cash Flow Ratio (Operating Cash Flow, 4 quarters).kr-pcr_ocf_4q-z: Z-score of Price to Cash Flow Ratio (Operating Cash Flow, 4 quarters).kr-pcr_ocf_4q_rel3y: Relative Price to Cash Flow Ratio (Operating Cash Flow, 4 quarters, 3-year).kr-pcr_ocf_4q_rel3y-z: Z-score of Relative Price to Cash Flow Ratio (Operating Cash Flow, 4 quarters, 3-year).
Price to Sales Ratio (PSR)
kr-psr_4q: Price to Sales Ratio (4 quarters).kr-psr_4q-z: Z-score of Price to Sales Ratio (4 quarters).kr-psr_4q_rel3y: Relative Price to Sales Ratio (4 quarters, 3-year).kr-psr_4q_rel3y-z: Z-score of Relative Price to Sales Ratio (4 quarters, 3-year).
Price to Earnings Ratio (PER)
kr-per_4q: Price to Earnings Ratio (4 quarters).kr-per_4q-z: Z-score of Price to Earnings Ratio (4 quarters).kr-per_4q_rel3y: Relative Price to Earnings Ratio (4 quarters, 3-year).kr-per_4q_rel3y-z: Z-score of Relative Price to Earnings Ratio (4 quarters, 3-year).
Profitability and Efficiency
Return on Assets (ROA)
kr-change_roa: Change in Return on Assets.kr-change_roa-z: Z-score of Change in Return on Assets.kr-roa_slope: Slope of Return on Assets.kr-roa_slope-z: Z-score of Slope of Return on Assets.
Return on Equity (ROE)
kr-change_roe: Change in Return on Equity.kr-change_roe-z: Z-score of Change in Return on Equity.kr-roe_slope: Slope of Return on Equity.kr-roe_slope-z: Z-score of Slope of Return on Equity.
Gross Profit Margin
kr-change_gmar: Change in Gross Profit Margin.kr-change_gmar-z: Z-score of Change in Gross Profit Margin.kr-gross_profit_margin: Gross Profit Margin.kr-gross_profit_margin-z: Z-score of Gross Profit Margin.
Asset Turnover
kr-change_ato: Change in Asset Turnover.kr-change_ato-z: Z-score of Change in Asset Turnover.kr-asset_turnover: Asset Turnover.kr-asset_turnover-z: Z-score of Asset Turnover.
Cash Flow and Leverage
Operating Cash Flow to Assets
kr-operating_cashflow_to_assets: Operating Cash Flow to Assets ratio.kr-operating_cashflow_to_assets-z: Z-score of Operating Cash Flow to Assets ratio.
Leverage Ratio
kr-leverage_ratio: Leverage Ratio.kr-leverage_ratio-z: Z-score of Leverage Ratio.
Interest Coverage Ratio
kr-interest_coverage_ratio: Interest Coverage Ratio.kr-interest_coverage_ratio-z: Z-score of Interest Coverage Ratio.
Risk and Volatility
Volatility of ROA and ROE
kr-roa_volatility: Volatility of Return on Assets.kr-roa_volatility-z: Z-score of Volatility of Return on Assets.kr-roe_volatility: Volatility of Return on Equity.kr-roe_volatility-z: Z-score of Volatility of Return on Equity.
Beta Measures
kr-beta_756d: Beta (756 days).kr-beta_756d-z: Z-score of Beta (756 days).kr-beta_1260d: Beta (1260 days).kr-beta_1260d-z: Z-score of Beta (1260 days).kr-beta_down_756d: Downside Beta (756 days).kr-beta_down_756d-z: Z-score of Downside Beta (756 days).kr-beta_down_1260d: Downside Beta (1260 days).kr-beta_down_1260d-z: Z-score of Downside Beta (1260 days).kr-beta_fp_756d: Fundamental Beta (756 days).kr-beta_fp_756d-z: Z-score of Fundamental Beta (756 days).kr-beta_fp_1260d: Fundamental Beta (1260 days).kr-beta_fp_1260d-z: Z-score of Fundamental Beta (1260 days).
Dividends
Payout Ratio
kr-payout_ratio_4q: Payout Ratio (4 quarters).kr-payout_ratio_4q-z: Z-score of Payout Ratio (4 quarters).kr-payout_ratio_3y: Payout Ratio (3 years).kr-payout_ratio_3y-z: Z-score of Payout Ratio (3 years).
Dividend Yield
kr-dividend_yield_3y: Dividend Yield (3 years).kr-dividend_yield_3y-z: Z-score of Dividend Yield (3 years).kr-dividend_yield_slopes: Slopes of Dividend Yield.kr-dividend_yield_slopes-z: Z-score of Slopes of Dividend Yield.kr-dividend_yield_slopes_with_std: Slopes of Dividend Yield with Standard Deviation.kr-dividend_yield_slopes_with_std-z: Z-score of Slopes of Dividend Yield with Standard Deviation.
Solvency and Credit Models
Kaplan Zingales Index
kr-kaplan_zingales: Kaplan Zingales Index.kr-kaplan_zingales-z: Z-score of Kaplan Zingales Index.
Ohlson O-Score
kr-ohlson: Ohlson O-Score.kr-ohlson-z: Z-score of Ohlson O-Score.
Altman Z-Score
kr-altman_z: Altman Z-Score.kr-altman_z-z: Z-score of Altman Z-Score.
Market Sentiment
Short Interest and Volume
kr-slb_volume_diff_20d: SLB Volume Difference (20 days).kr-slb_volume_diff_20d-z: Z-score of SLB Volume Difference (20 days).kr-short_intensity_5d: Short Intensity (5 days).kr-short_intensity_5d-z: Z-score of Short Intensity (5 days).kr-short_intensity_10d: Short Intensity (10 days).kr-short_intensity_10d-z: Z-score of Short Intensity (10 days).kr-short_intensity_20d: Short Intensity (20 days).kr-short_intensity_20d-z: Z-score of Short Intensity (20 days).kr-short_intensity_60d: Short Intensity (60 days).kr-short_intensity_60d-z: Z-score of Short Intensity (60 days).
Momentum and Relative Strength
Returns
kr-r21d: 21-day simple return.kr-r21d-z: Z-score of the 21-day return.kr-r63d: 63-day simple return.kr-r63d-z: Z-score of the 63-day return.kr-r126d: 126-day simple return.kr-r126d-z: Z-score of the 126-day return.kr-r252d: 252-day simple return.kr-r252d-z: Z-score of the 252-day return.
Relative Returns
kr-sector_rr21d: 21-day sector relative return.kr-sector_rr21d-z: Z-score of the 21-day sector relative return.kr-sector_rr63d: 63-day sector relative return.kr-sector_rr63d-z: Z-score of the 63-day sector relative return.kr-sector_rr126d: 126-day sector relative return.kr-sector_rr126d-z: Z-score of the 126-day sector relative return.kr-sector_rr252d: 252-day sector relative return.kr-sector_rr252d-z: Z-score of the 252-day sector relative return.
Amihud Illiquidity Measure
kr-ami_21d: 21-day Amihud illiquidity measure.kr-ami_21d-z: Z-score of the 21-day Amihud illiquidity measure.kr-ami_63d: 63-day Amihud illiquidity measure.kr-ami_63d-z: Z-score of the 63-day Amihud illiquidity measure.kr-ami_126d: 126-day Amihud illiquidity measure.kr-ami_126d-z: Z-score of the 126-day Amihud illiquidity measure.kr-ami_252d: 252-day Amihud illiquidity measure.kr-ami_252d-z: Z-score of the 252-day Amihud illiquidity measure.
Trading Volume and Turnover
Turnover
kr-turn_21d: 21-day average turnover.kr-turn_21d-z: Z-score of the 21-day turnover.kr-turn_63d: 63-day average turnover.kr-turn_63d-z: Z-score of the 63-day turnover.kr-turn_126d: 126-day average turnover.kr-turn_126d-z: Z-score of the 126-day turnover.kr-turn_252d: 252-day average turnover.kr-turn_252d-z: Z-score of the 252-day turnover.
Trading Volume
kr-volume_126d: 126-day total trading volume.kr-volume_126d-z: Z-score of the 126-day trading volume.kr-tvol_21d: 21-day trading volume.kr-tvol_21d-z: Z-score of the 21-day trading volume.kr-tvol_63d: 63-day trading volume.kr-tvol_63d-z: Z-score of the 63-day trading volume.kr-tvol_126d: 126-day trading volume.kr-tvol_126d-z: Z-score of the 126-day trading volume.kr-tvol_252d: 252-day trading volume.kr-tvol_252d-z: Z-score of the 252-day trading volume.
Other Factors
EV/EBITDA
kr-ev_ebitda_4q: Enterprise value to EBITDA for the last 4 quarters.kr-ev_ebitda_4q-z: Z-score of the enterprise value to EBITDA for the last 4 quarters.kr-ev_ebitda_4q_rel3y: Enterprise value to EBITDA relative to the past 3 years.kr-ev_ebitda_4q_rel3y-z: Z-score of the enterprise value to EBITDA relative to the past 3 years.kr-ev_ebitda_12mf: Enterprise value to EBITDA for the last 12 months forward.kr-ev_ebitda_12mf-z: Z-score of the enterprise value to EBITDA for the last 12 months forward.kr-ev_ebitda_12mf_rel3y: Enterprise value to EBITDA relative to the past 3 years based on forward estimates.kr-ev_ebitda_12mf_rel3y-z: Z-score of the enterprise value to EBITDA based on forward estimates relative to the past 3 years.
Gross Profit to Assets
kr-gross_profit_to_assets: Ratio of gross profit to total assets.kr-gross_profit_to_assets-z: Z-score of the gross profit to assets ratio.
Net Operating Asset Turnover
kr-net_operating_asset_turnover: Ratio of sales generated per unit of operating assets.kr-net_operating_asset_turnover-z: Z-score of the net operating asset turnover.
Low Accrual
kr-low_accrual: Measure of the low accruals in financial reporting.kr-low_accrual-z: Z-score of the low accrual measure.
Return on Equity (ROE)
kr-return_on_equity_4q: Return on equity calculated over the last 4 quarters.kr-return_on_equity_4q-z: Z-score of the return on equity over the last 4 quarters.
Return on Asset (ROA)
kr-return_on_asset_4q: Return on assets calculated over the last 4 quarters.kr-return_on_asset_4q-z: Z-score of the return on assets over the last 4 quarters.
Operating Profit Margin after Depreciation
kr-operating_profit_margin_after_DP: Operating profit margin after accounting for depreciation.kr-operating_profit_margin_after_DP-z: Z-score of the operating profit margin after depreciation.
Net Profit Margin before Extraordinary Items
kr-net_profit_margin_before_XI: Net profit margin before extraordinary items are considered.kr-net_profit_margin_before_XI-z: Z-score of the net profit margin before extraordinary items.
Net Income Volatility
kr-net_income_volatility: Volatility in net income over a specified period.kr-net_income_volatility-z: Z-score of the net income volatility.
Capital Expenditure to Depreciation
kr-capex_to_depreciation: Ratio of capital expenditures to depreciation.kr-capex_to_depreciation-z: Z-score of the capex to depreciation ratio.
Capital Expenditure to Assets
kr-capex_to_assets: Ratio of capital expenditures to total assets.kr-capex_to_assets-z: Z-score of the capex to assets ratio.
Net Debt to Assets
kr-net_debt_to_assets: Ratio of net debt to total assets.kr-net_debt_to_assets-z: Z-score of the net debt to assets ratio.
Change in Net Operating Assets
kr-change_net_operating_assets: Change in net operating assets over a specified period.kr-change_net_operating_assets-z: Z-score of the change in net operating assets.
Change in Working Capital
kr-change_working_capital: Change in working capital over a specified period.kr-change_working_capital-z: Z-score of the change in working capital.
Advertising to Sales
kr-advertise_to_sales: Ratio of advertising expenses to sales.kr-advertise_to_sales-z: Z-score of the advertising to sales ratio.
Property, Plant, and Equipment to Asset
kr-ppe_to_asset: Ratio of property, plant, and equipment to total assets.kr-ppe_to_asset-z: Z-score of the PPE to asset ratio.
Research and Development to Sales
kr-rnd_to_sales: Ratio of research and development expenses to sales.kr-rnd_to_sales-z: Z-score of the research and development to sales ratio.kr-rnd_to_sales_std: Standard deviation of the research and development to sales ratio over a specified period.kr-rnd_to_sales_std-z: Z-score of the standard deviation of the research and development to sales ratio.
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