quantlab.factor.predefined.fundamental_alpha

Twenty-three literature-backed fundamental, institutional and insider factors in one KunQuant graph.

Every output is a characteristic from the accounting, 13F or Form 4 data rather than from prices alone, signed so that a higher value predicts a higher return in its source paper:

ROA is netinc / assetsavg; dE is the change of a quarter’s value from the same quarter a year before, which on the trailing-twelve-month (ART) panel is the TTM value less the TTM value one report earlier. The F-score adds one point each for ROA > 0, CFO > 0, a rising ROA, CFO > net income, a falling debtnc / assetsavg, a rising current ratio, no net common issuance (ncfcommon <= 0), a rising gross margin and a rising asset turnover, each “rising” measured against four reports before.

The panel is the merge of Sharadar SEP (adjClose), DAILY (marketcap, ev), SF1 ART (every accounting item, reportperiod), SF3A holdings (holders, value_held, quarter_end) and SF2 insiders, each already point in time (quantlab.dataset.sharadar). A value “k reports ago” is the last value shown for the report k distinct fiscal periods before the one shown now (report_lags); it is NaN when that report is missing or the periods are not k quarters apart, so a skipped filing never passes for a year-ago one. Holdings lag by quarter_end in the same way. Insider flows are 0 on a bar with a price (adjClose) and no filing, NaN on a bar without a price and before the first bar any symbol has a filing (SF2 starts in 2008), so a delisted stock is not a zero flow.

The factor is batch only. Inputs are exported as float32.

References

Sloan (1996); Ball, Gerakos, Linnainmaa and Nikolaev (2016); Hou, Xue and Zhang (2015); Loughran and Wellman (2011); Lakonishok, Shleifer and Vishny (1994); Boudoukh, Michaely, Richardson and Roberts (2007); Daniel and Titman (2006); Chan, Lakonishok and Sougiannis (2001); Balakrishnan, Bartov and Faurel (2010); Piotroski (2000); Foster, Olsen and Shevlin (1984); Jegadeesh and Livnat (2006); Chen, Hong and Stein (2002); Gompers and Metrick (2001); Sias, Starks and Titman (2006); Lakonishok and Lee (2001); Seyhun (1986); Fama and French (2015); Lyandres, Sun and Zhang (2008); Jeng, Metrick and Zeckhauser (2003).

Classes

FundamentalAlpha	Compute the twenty-three fundamental, 13F and insider characteristics in KunQuant.
FundamentalAlphaParameters	Windows of FundamentalAlpha, read from FactorConfig.kwargs.

Functions

fill_flows	Make event or trade flows 0 where NaN on a priced bar, in place.
report_lags	Return each column's value k reports ago, keyed by its period end.
value_on_dates	Return, per cell, values of its symbol on the last bar on or before the cell's date.