K Score – Germany 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.

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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 HDAX index and MSCI Small Cap index in the German stock market.

On average 179 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.

DateSymbolSectorK Score
2018-01-31BASProcess Industries3
2018-01-31SAXCommercial Services3
2018-01-31SIEProducer Manufacturing3
2018-01-31RRTLConsumer Services4
2018-01-31ALVFinance9
2018-01-31ADSConsumer Non-Durables2
2018-01-31AIRElectronic 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 HDAX 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 2019-04-02)

Table 2. Return Statistics

StatisticsAlphaVolatilityBetaCAGRSharpe
Top Picks9.27%14.82%0.7617.60%1.17
DAX 300.00%16.00%1.009.82%0.67
Bottom Picks5.19%16.35%0.7913.00%0.83
SectorsCoverage
Finance33
Producer Manufacturing29
Process Industries12
Electronic Technology11
Health Technology9
Retail Trade9
Technology Services8
Consumer Non-Durables5
Distribution Services5
SectorsCoverage
Consumer Services5
Non-Energy Minerals5
Utilities5
Consumer Durables4
Commercial Services4
Transportation4
Industrial Services4
Health Services3
Communications2

  • Coverage: Germany (HDAX and MSCI Small Cap 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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