K Score - US - Top 500 Stocks by Market Cap

Performance Showcase

To test the performance of the K Score, we constructed a Top Picks portfolio. The Top Picks portfolio comprises the top 500 US stocks by market capitalization that are rated with a K Score of 9.

Cumulative Return of Portfolios (2012-01-03 to 2019-10-01)

Statistics CAGR Alpha Volatility Beta Sharpe
Top Picks 15.99% 5.03% 13.02% 1.03 1.21
Top 500 US Stocks by Market Cap 11.92% 0.00% 11.04% 1.00 1.08

Overview

This US K Score was trained for the universe of the top 500 stocks by market capitalization, which is different from the US model that covers a broad set of stocks (roughly 3,800). The value of this predictive equity rating score ranges from 1-to-9. A higher K Score (7-9) assigned to a stock indicates a higher probability of outperformance, whereas a lower K Score (1-3) indicates a lower probability of outperformance. The top 500 stocks cover all the major industry sectors.

Please visit K Score's US full coverage to learn more.

Data Highlights

  1. For quantitative users, overlay K Score as a signal in investment models.
  2. Generate new equity long/short ideas that weren't on your radar before, or validate research as a screening parameter.
  3. Mitigate risk in portfolio construction by avoiding stocks with low K scores (1-3).