K Score – US 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 all the tradable stock equities on the US stock exchanges, including major securities markets such as NYSE, Nasdaq and Dow Jones Industrial.

On average 3,600 to 3,800 tickers are rated and ranked daily on all the trading days across 9 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.

*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
2018/12/3AMDADV MICRO DEV9
2018/12/3WMTWALMART INC9
2018/12/3TRVTRAVELERS COS8
2018/12/3FBFACEBOOK INC-A5
2018/12/3WDCWESTERN DIGITAL2
2018/12/3NFLXNETFLIX INC1
2018/12/3HPHELMERICH&PAYNE1

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 500 US 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 (2012-01-04 to 2019-04-02)

Table 2. Return Statistics

StatisticsAlphaVolatilityBetaCAGRSharpe
Top Picks4.84%13.64%1.0618.83%1.34
Top 500 by Market Cap0.00%11.36%1.0012.79%1.12
Bottom Picks-3.81%14.75%1.099.34%0.68
SectorsCoverage
Information Technology556
Consumer Discretionary479
Industrials470
Health Care443
Energy263
Materials193
SectorsCoverage
Financials153
Consumer Staples136
Utilities92
Telecommunication Services67
Real Estate2

  • Coverage: United States (all major stock exchanges)
  • History: from 2012-01-04 (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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