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Quantopian's Fundamental Factor Library

Our goal is to help you build the best strategies possible. In an effort to help, we've produced a curated library of fundamental factors developed and published by our lead data scientist, Max Margenot. As new factors are developed, they will be added here by someone on our team.

How To Use

We suggest working, researching, and experimenting with these factors within your existing strategies or building entirely new strategies with them to help your edge in the daily contest.

For any questions and further areas of research, comment down below.

Fundamental Factor Library

  • Free Cash Flow to Enterprise Value - Free cash flow (FCF) is a measure of how much cash a company has on hand after all expenses are extracted. High FCF indicates that larger amounts of cash are available to the company for reinvestment. By dividing by a company’s enterprise value (EV), we can compute a ratio that shows how cash is generated per unit of the value of a company. In this implementation, we can test the idea that companies with a relatively higher ratio of FCF/EV are likely to outperform companies with relatively lower levels of FCF/EV.

  • Debt to Total Assets - 
The ratio of a company’s debt to its total assets is a measure of the amount of leverage taken on by a company. Higher values (above 1) indicate that a company has more liabilities than assets (aka you owe more than you own), while lower values (below 1) indicate that a company has more equity than debt. In this template, we’ve taken advantage of this measure to test the idea that companies with relatively lower levels of Debt to Total Assets are likely to outperform companies with relatively higher levels of Debt to Total Assets

  • Capital Expenditure Volatility - Cash flow volatility is a fairly well studied metric that is often considered a proxy for uncertainty at a firm level. In this template algorithm we've extended that idea to see if firms with relatively more volatile capital expenditures (e.g. spending on things like new buildings, plants, equipment, etc) are also more unpredictable and, by extension, riskier and more likely to underperform firms with lower relative capex volatility.

  • Sales Size - This is a valuation metric. We expect companies that generate more revenue per dollar of market cap to generate outsized returns compared to a company of comparable size that generates less revenue. Our factor is calculated as the sale of revenue from goods and services over the last twelve months divided by market cap. We would naturally expect larger companies to generate more raw sales revenue than smaller companies, so we try to remove that from the equation and get at pure value.

Feedback or Questions?

If you want something featured here or have general improvements on how we can improve this page, post in the comments below

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

1 response

all the links of the factor library are broken as of now....