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--- |
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language: |
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- en |
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license: other |
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extra_gated_prompt: "To get access to this dataset, you must subscribe to Papers With Backtest. To subscribe, go to https://paperswithbacktest.com/ > Login > Choose Your Plan > Subscribe." |
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dataset_info: |
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features: |
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- name: symbol |
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dtype: string |
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- name: datetime |
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dtype: string |
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- name: profitability |
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dtype: float64 |
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- name: value |
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dtype: float64 |
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- name: solvency |
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dtype: float64 |
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- name: cash_flow |
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dtype: float64 |
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- name: illiquidity |
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dtype: float64 |
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- name: momentum_long_term |
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dtype: float64 |
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- name: momentum_medium_term |
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dtype: float64 |
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- name: short_term_reversal |
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dtype: float64 |
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- name: price_volatility |
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dtype: float64 |
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- name: dividend_yield |
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dtype: float64 |
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- name: earnings_consistency |
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dtype: float64 |
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- name: small_size |
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dtype: float64 |
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- name: low_growth |
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dtype: float64 |
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- name: low_equity_issuance |
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dtype: float64 |
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- name: bounce_dip |
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dtype: float64 |
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- name: accrual_growth |
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dtype: float64 |
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- name: low_depreciation_growth |
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dtype: float64 |
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- name: current_liquidity |
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dtype: float64 |
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- name: low_rnd |
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dtype: float64 |
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- name: momentum |
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dtype: float64 |
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- name: market_risk |
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dtype: float64 |
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- name: business_risk |
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dtype: float64 |
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- name: political_risk |
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dtype: float64 |
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- name: inflation_fluctuation |
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dtype: float64 |
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- name: inflation_persistence |
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dtype: float64 |
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- name: returns |
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dtype: float64 |
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- name: rsquared |
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dtype: float64 |
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- name: rsquared_adj |
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dtype: float64 |
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- name: fvalue |
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dtype: float64 |
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- name: aic |
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dtype: float64 |
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- name: bic |
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dtype: float64 |
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- name: mse_resid |
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dtype: float64 |
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- name: mse_total |
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dtype: float64 |
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--- |
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# SOV-Quarterly-FactorSignals |
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**Quarterly factor signals** for ~6,400+ global/US-listed equities, provided by **SOV.AI** and aggregated to **end-of-quarter** snapshots (last available observation within each quarter per ticker). |
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- **Source**: `sov.data("factors/comprehensive")` |
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- **Coverage**: 1998-01-09 to most recent |
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- **Cadence**: Underlying data updates **weekly** after US market close; this dataset publishes quarter-end snapshots |
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- **Models**: OLS-based factor estimation |
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- **Outputs**: |
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- Accounting & alternative factors (e.g., profitability, value, solvency, illiquidity, momentum variants, risk metrics) |
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- Returns series (as provided) |
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- Model diagnostics (R-squared, AIC/BIC, etc.) |
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- Any **additional** columns returns (e.g., coefficients, standard errors, t-stats) are preserved beyond the documented schema |
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## Data Source |
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Data provided by SOV.AI. |
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