# Factor Access a comprehensive collection of quantitative factor data for US stocks, suitable for financial analysis and modeling. ## Example code ```python 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.](https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.13249) [Jensen, Theis Ingerslev, Bryan Kelly, and Lasse Heje Pedersen. "Global Factor Data Documentation." (2021).](https://jkpfactors.s3.amazonaws.com/documents/Documentation.pdf) {% hint style="warning" %} 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*. {% endhint %}