Factor

Access a comprehensive collection of quantitative factor data for US stocks, suitable for financial analysis and modeling.

Example code

from finter.data import ContentFactory

cf = ContentFactory("us_stock", 20200101, 20200201)
df = cf.get_df("ebitda_at")

Item List

Growth - Percentage

• at_gr1 : Asset Growth 1yr

• sale_gr1 : Sales Growth 1yr

• ca_gr1 : Current Asset Growth 1yr

• nca_gr1 : Non-Current Asset Growth 1yr

• lt_gr1 : Total Liabilities Growth 1yr

• cl_gr1 : Current Liabilities Growth 1yr

• ncl_gr1 : Non-Current Liabilities Growth 1yr

• be_gr1 : Book Equity Growth 1yr

• pstk_gr1 : Preferred Stock Growth 1yr

• debt_gr1 : Total Debt Growth 1yr

• cogs_gr1 : Cost of Goods Sold Growth 1yr

• sga_gr1 : Selling, General, and Administrative Expenses Growth 1yr

• opex_gr1 : Operating Expenses Growth 1yr

• 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 (Columns gvkeyiid)

• 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 (Columns gvkeyiid)

• 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 (Columns gvkeyiid)

• 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 (Columns gvkeyiid)

• div_me : Total Dividends scaled by ME

Income Fundamentals to Market Enterprise Value (Columns gvkeyiid)

• 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).

Note

• The paper calculate factor using annual data, but Finterlabs provides factors calculated using quarterly data. Therefore, we do not provide factors for items that do not have quarterly data available.

• For factors calculated using me_company(such as _me, _mev and etc.), their column is provided as gvkeyiid.

• In the paper, me_company was used on a monthly basis, but we provide factors calculated using daily me_company.