K Score – UK 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 the largest 350 stocks in the United Kingdom by market cap.

On average 343 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
2018-01-31CPGConsumer Services7
2018-01-31GLENNon-Energy Minerals3
2018-01-31BATSConsumer Non-Durables7
2018-01-31HSBAFinance5
2018-01-31NGUtilities9
2018-01-31ALDMiscellaneous9
2018-01-31MCROTechnology Services7

To test the performance of the K Score, we constructed two portfolios – Top Picks and Bottom Picks. The Top Picks portfolio is chosen from the largest 100 UK stocks by market cap, and 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 Picks9.30%13.27%0.9613.58%1.03
Top 100 by Market Cap0.00%11.06%1.004.01%0.41
Bottom Picks3.70%19.14%1.197.57%0.48
SectorsCoverage
Finance75
Miscellaneous39
Consumer Services19
Commercial Services16
Consumer Non-Durables15
Retail Trade15
Process Industries14
Non-Energy Minerals12
Consumer Durables12
Technology Services11
SectorsCoverage
Producer Manufacturing10
Transportation9
Electronic Technology9
Utilities9
Distribution Services8
Energy Minerals6
Industrial Services5
Health Technology5
Communications4
Health Services1

  • Coverage: United Kingdom (Top 350 Marketcap 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, CSV, and API

Pricing

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

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