K Score – China A Share Stocks
Discover stock winners and avoid losers.
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.
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Signals for Quant Models
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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.
|Date||Code||Constituent Name||K Score|
|2018/7/31||2277||FRIENDSHIP & APOLLO||9|
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
- 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
Annual subscription based on company’s asset under management (AUM) or revenue.