K Score – China A Share Stocks

Discover stock winners and avoid losers.

Use Cases

Ranked by an ensemble alpha model, K Score is an equity rating using fundamental information, pricing and trading volumes, technical signals, and alternative data, to deliver an actionable 1 to 9 score using machine learning technologies.

}

New Investment Ideas

Save time and discover new ideas that weren’t on your radar before.

Signals for Quant Models

Overlay K Scores with your privately developed models as alpha signal.

*

Long and Short Portfolios

A higher K Score indicates a higher probability of outperformance in the future.

Servicing Buyside Firms, Hedge Funds, Asset Managers, Portfolio Managers, and Equity Research Teams.

The China A-share stock market has two exchanges – Shanghai stock exchange (SSE) and Shenzhen stock exchange (SZSE). The SSE is the world’s 5th largest stock market by market capitalization at US$5.5 trillion as of April 2018. The combined market capitalization of the listed companies on the SZSE is US$2.285 trillion. It is the 8th largest stock exchange in the world, and the 4th largest in Asia.

The most important Indices in China A-share are CSI 300, CSI 500 and CSI 800.

  • CSI 300 Index, similar to the S&P 500 in the US, consists of the 300 largest and most liquid A-share stocks.
  • CSI 500 Index, similar to the Russell 2000 in the US, consists of the largest remaining 500 A-Share stocks after excluding the CSI 300 Index. CSI 500 Index reflects the overall performance of small-mid cap A-shares.
  • CSI 800 Index, similar to the Russell 3000, consists of all the constituents of the CSI 300 Index and CSI 500 Index.

*K Score coverage excludes companies in the financial services and pharmaceutical industries because the financial report of many companies is too dissimilar from the rest of the market.

DateCodeConstituent NameK Score
2018/7/312277FRIENDSHIP & APOLLO9
2018/7/31600436PIENTZEHUANG9
2018/7/31600765AVIC HEAVY…8
2018/7/31600026COSCO SHIPPING2
2018/7/31600435NORTH NAVIGATION1
2018/7/31600340CHINA FORTUNE1
2018/7/31300136SUNWAY COMMUNI…1

To test the performance of the K Score, we constructed two portfolios – Top Picks and Bottom Picks. The Top Picks portfolio comprises of all the China stocks on the CSI 300 that are assigned with a K Score of 9, while the Bottom Picks portfolio have stocks in K Score of 1.

Figure 1. Cumulative Return of Top Picks and Bottom Picks Portfolios (2012-06-04 to 2019-04-02)

Table 2. Return Statistics

StatisticsAlphaVolatilityBetaCAGRSharpe
Top Picks4.46%25.15%0.918.65%0.45
CSI 3000.00%25.10%1.004.65%0.30
Bottom Picks-5.63%29.87%1.11-1.47%0.10
SectorsCoverage
Communication Services37
Consumer Staples42
Consumer Discretionary87
Energy23
Health Care67
SectorsCoverage
 Information Technology114
Materials112
Real Estate47
Industrials167
Utilities30

  • Coverage: China A-share (CSI 300, CSI 500 and CSI 800 component stocks)
  • History: from 2012-06-04 (available for back testing)
  • Data Update Frequency: daily on trading days
  • Data Availability: daily (after market closes)
  • Delivery Mechanism: FTP, CVS, and API

Pricing

Annual subscription based on company’s asset under management (AUM) or revenue.

Contact Us

Contact us today to learn more about Kavout's products or services.