K Score – STOXX

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.

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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.

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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.

K Score covers component stocks on the STOXX 600 index in the European stock market.

On average 590 tickers are rated and ranked daily on all the trading days across all major industry sectors. Investors can look at the historic trends of a company, and evaluate the strength of a company relative to their sector.

Firms, regardless of size, that are constrained with time and resources, can discover investment ideas that cover large, medium and small caps efficiently.

DateSymbolConstituent NameK Score
2019-06-17HM.BH&M Hennes & Mauritz AB Class B9
2019-06-17TELIATelia Company AB9
2019-06-17NESNNestle S.A.8
2019-06-17ESSITY.BEssity AB Class B5
2019-06-17ORSTEDOrsted2
2019-06-17EQNREquinor ASA2
2019-06-17NDA.SEElectronic Technology4

To test the performance of the K Score, we constructed two portfolios – Top Picks and Bottom Picks. The Top Picks portfolio comprises of component stocks on the STOXX 600 index 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 (2013-01-03 to 2019-05-06)

Table 2. Return Statistics

StatisticsCAGRAlphaVolatilityBetaSharpe
Top Picks11.27%6.13%14.04%0.920.83
STOXX 6005.34%0.00%13.00%1.000.46
Bottom Picks5.63%0.86%15.88%0.970.42
SectorsCoverage
Finance136
Technology Services21
Non-Energy Minerals22
Process Industries32
Utilities30
Consumer Non-Durables43
Producer Manufacturing51
Consumer Services24
Industrial Services18
Retail Trade25
SectorsCoverage
Commercial Services25
Transportation21
Electronic Technology26
Energy Minerals15
Health Services6
Health Technology43
Distribution Services9
Consumer Durables23
Communications20

  • Coverage: Europe (STOXX 600 component stocks)
  • History: from 2013-01-03 (available for back testing)
  • Data Update Frequency: daily on trading days
  • Data Availability: daily (within 5 hours after the market closes)
  • Delivery Mechanism: FTP, CVS, and API

Pricing

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

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