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--- |
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icon: percent |
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description: >- |
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More than 80+ financial ratios calculated from financial statement and market |
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data. |
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--- |
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# Financial Ratios |
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> **Data Notice**: This dataset provides academic research access with a 6-month data lag. |
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> For real-time data access, please visit [sov.ai](https://sov.ai) to subscribe. |
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> For market insights and additional subscription options, check out our newsletter at [blog.sov.ai](https://blog.sov.ai). |
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```python |
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from datasets import load_dataset |
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df_ratios = load_dataset("sovai/financial_ratios", split="train").to_pandas().set_index(["ticker","date"]) |
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``` |
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{% hint style="warning" %} |
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This dataset is replaceable with your preferred standardized ratio dataset, currently it is built from public filings with the values 95% confirmed against five commercial datasets. |
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Data arrives late Friday night 11 pm - 12 am after market close US-EST time. |
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`Tutorials` are the best documentation — [<mark style="color:blue;">`Financial Ratio Analyis Tutorial`</mark>](https://colab.research.google.com/github/sovai-research/sovai-public/blob/main/notebooks/datasets/Financial%20Ratios.ipynb) |
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<table data-column-title-hidden data-view="cards"><thead><tr><th>Category</th><th>Details</th></tr></thead><tbody><tr><td><strong>Input Datasets</strong></td><td>SEC Filings, EDGAR API, Exchange Data.</td></tr><tr><td><strong>Models Used</strong></td><td>Transformations, Simple Maths</td></tr><tr><td><strong>Model Outputs</strong></td><td>Standardized Ratios</td></tr></tbody></table> |
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## Description |
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Diversified selection of ratios for factor development or bottom-up equity selection strategies. The Financial Ratios dataset offers over 80 standardized financial ratios calculated from financial statements and market data, updated weekly after market close. |
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This comprehensive set of ratios, covering categories such as liquidity, profitability, efficiency, solvency, cash flow, and valuation, provides investors with crucial metrics for in-depth financial analysis, factor development, and bottom-up equity selection strategies. |
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## Data Access |
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#### Latest Data |
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```python |
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import sovai as sov |
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df_ratios = sov.data("ratios/normal") |
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``` |
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#### All Data |
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```python |
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import sovai as sov |
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df_ratios = sov.data("ratios/normal", full_history=True) |
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``` |
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<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/financial_ratios_1 (2).png" alt=""><figcaption></figcaption></figure> |
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#### Retrieve a Subsection |
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Filter by `ticker` or `date` to select ratios: |
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```python |
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import sovai as sov |
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df_ratios = sov.data("ratios/normal", start_date="2008-03-30", tickers=["AMZN","MMM"]) |
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``` |
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#### Relative data |
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You can also obtain data in percentiles across time with `ratios/relative`. |
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```python |
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import sovai as sov |
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df_percentile = sov.data("ratios/relative", start_date="2018-01-01", tickers=["TSLA", "META"]) |
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``` |
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## Plots |
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### Benchmark Analysis |
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```python |
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import sovai as sov |
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sov.plot("ratios", chart_type="benchmark") |
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``` |
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<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/financial_ratios_2 (2).png" alt=""><figcaption></figcaption></figure> |
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### Dynamic Ratios |
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```python |
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import sovai as sov |
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sov.plot("ratios", chart_type="relative") |
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``` |
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<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/financial_ratios_3 (2).png" alt=""><figcaption></figcaption></figure> |
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## Data Dictionary |
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<table><thead><tr><th width="321">Name</th><th width="282">Description</th><th>Category</th></tr></thead><tbody><tr><td>current_ratio</td><td>Current assets divided by current liabilities</td><td>Liquidity</td></tr><tr><td>quick_ratio</td><td>(Current assets minus inventory) divided by current liabilities</td><td>Liquidity</td></tr><tr><td>cash_ratio</td><td>Cash divided by current liabilities</td><td>Liquidity</td></tr><tr><td>operating_cash_flow_ratio</td><td>Operating cash flow divided by current liabilities</td><td>Cash Flow</td></tr><tr><td>net_working_capital_ratio</td><td>(Current assets minus current liabilities) divided by total assets</td><td>Liquidity</td></tr><tr><td>acid_test_ratio</td><td>(Current assets minus inventory) divided by short-term debt</td><td>Liquidity</td></tr><tr><td>excess_cash_margin_ratio</td><td>(Operating cash flow minus operating income) divided by revenue</td><td>Profitability</td></tr><tr><td>earnings_per_share</td><td>Net income divided by weighted average shares outstanding</td><td>Profitability</td></tr><tr><td>gross_profit_margin</td><td>Gross profit divided by revenue</td><td>Profitability</td></tr><tr><td>operating_profit_margin</td><td>Operating income divided by revenue</td><td>Profitability</td></tr><tr><td>ebitda_margin</td><td>EBITDA divided by revenue</td><td>Profitability</td></tr><tr><td>net_profit_margin</td><td>Net income divided by revenue</td><td>Profitability</td></tr><tr><td>return_on_assets</td><td>Net income divided by total assets</td><td>Profitability</td></tr><tr><td>return_on_equity</td><td>Net income divided by equity</td><td>Profitability</td></tr><tr><td>return_on_net_assets</td><td>Net income divided by (net property, plant, equipment + working capital)</td><td>Profitability</td></tr><tr><td>roce_sub_cash</td><td>Operating income divided by (assets minus cash and certain liabilities)</td><td>Profitability</td></tr><tr><td>roce_with_cash</td><td>Operating income divided by (assets minus certain liabilities)</td><td>Profitability</td></tr><tr><td>fcf_roce_with_cash</td><td>Free cash flow divided by (assets minus certain liabilities)</td><td>Profitability</td></tr><tr><td>fcf_roce_sub_cash</td><td>Free cash flow divided by (assets minus cash and certain liabilities)</td><td>Profitability</td></tr><tr><td>income_dividend_payout_ratio</td><td>Dividends divided by net income</td><td>Profitability</td></tr><tr><td>return_on_invested_capital</td><td>EBIT divided by invested capital</td><td>Profitability</td></tr><tr><td>asset_turnover</td><td>Revenue divided by total assets</td><td>Efficiency</td></tr><tr><td>inventory_turnover</td><td>Cost of revenue divided by inventory</td><td>Efficiency</td></tr><tr><td>days_sales_outstanding</td><td>(Receivables divided by revenue) multiplied by 365</td><td>Efficiency</td></tr><tr><td>days_inventory_outstanding</td><td>(Inventory divided by cost of revenue) multiplied by 365</td><td>Efficiency</td></tr><tr><td>days_payable_outstanding</td><td>(Payables divided by cost of revenue) multiplied by 365</td><td>Efficiency</td></tr><tr><td>cash_conversion_cycle</td><td>Sum of days sales and inventory outstanding minus days payable outstanding</td><td>Efficiency</td></tr><tr><td>total_asset_efficiency</td><td>(Revenue divided by net property, plant, equipment) plus (revenue divided by current assets)</td><td>Efficiency</td></tr><tr><td>working_capital_turnover_ratio</td><td>Revenue divided by (current assets minus current liabilities)</td><td>Efficiency</td></tr><tr><td>gross_operating_cycle</td><td>Sum of days inventory and sales outstanding</td><td>Efficiency</td></tr><tr><td>sg_and_gross_profit_ratio</td><td>SG&A divided by gross profit</td><td>Profitability</td></tr><tr><td>depreciation_revenue_ratio</td><td>Depreciation divided by revenue</td><td>Efficiency</td></tr><tr><td>depreciation_cfo_ratio</td><td>Depreciation divided by cash flow from operations</td><td>Efficiency</td></tr><tr><td>debt_ratio</td><td>Total debt divided by total assets</td><td>Solvency</td></tr><tr><td>equity_multiplier</td><td>Total assets divided by equity</td><td>Solvency</td></tr><tr><td>interest_coverage_ratio</td><td>EBIT divided by interest expense</td><td>Solvency</td></tr><tr><td>debt_to_capital</td><td>Debt divided by (debt plus equity)</td><td>Solvency</td></tr><tr><td>debt_service_coverage</td><td>(Operating income minus CapEx) divided by interest expense</td><td>Solvency</td></tr><tr><td>liabilities_equity_ratio</td><td>Total liabilities divided by equity</td><td>Solvency</td></tr><tr><td>debt_ebitda_ratio</td><td>Total debt divided by EBITDA</td><td>Solvency</td></tr><tr><td>debt_ebitda_minus_capex_ratio</td><td>Total debt divided by (EBITDA minus CapEx)</td><td>Solvency</td></tr><tr><td>debt_equity_ratio</td><td>Total debt divided by equity</td><td>Solvency</td></tr><tr><td>ebitda_interest_coverage</td><td>EBITDA divided by interest expense</td><td>Solvency</td></tr><tr><td>ebitda_minus_capex_interest_coverage</td><td>(EBITDA minus CapEx) divided by interest expense</td><td>Solvency</td></tr><tr><td>interest_to_cfo_plus_interest_coverage</td><td>Interest expense divided by (cash flow from operations plus interest expense)</td><td>Liquidity</td></tr><tr><td>debt_to_total_capital</td><td>Total debt divided by invested capital</td><td>Solvency</td></tr><tr><td>debt_cfo_ratio</td><td>Total debt divided by cash flow from operations</td><td>Solvency</td></tr><tr><td>ltdebt_cfo_ratio</td><td>Long-term debt divided by cash flow from operations</td><td>Solvency</td></tr><tr><td>ltdebt_earnings_ratio</td><td>Long-term debt divided by net income</td><td>Solvency</td></tr><tr><td>cash_flow_to_debt_ratio</td><td>Cash flow from operations divided by total debt</td><td>Cash Flow</td></tr><tr><td>cash_flow_coverage_ratio</td><td>Cash flow from operations divided by interest expense</td><td>Cash Flow</td></tr><tr><td>operating_cash_flow_to_sales</td><td>Cash flow from operations divided by revenue</td><td>Cash Flow</td></tr><tr><td>free_cash_flow_conversion_ratio</td><td>Free cash flow divided by EBITDA</td><td>Cash Flow</td></tr><tr><td>rough_dividend_payout_ratio</td><td>Dividends divided by (net income plus depreciation)</td><td>Dividend</td></tr><tr><td>dividends_cfo_ratio</td><td>Dividends divided by cash flow from operations</td><td>Dividend</td></tr><tr><td>preferred_cfo_ratio</td><td>Preferred dividends divided by cash flow from operations</td><td>Dividend</td></tr><tr><td>cash_flow_reinvestment_ratio</td><td>(CapEx plus change in working capital) divided by cash flow from operations</td><td>Cash Flow</td></tr><tr><td>free_cashflow_ps</td><td>Free cash flow divided by weighted average shares outstanding</td><td>Cash Flow</td></tr><tr><td>price_to_earnings</td><td>Market capitalization divided by net income</td><td>Valuation</td></tr><tr><td>price_to_book</td><td>Share price divided by book value per share</td><td>Valuation</td></tr><tr><td>price_to_sales</td><td>Market capitalization divided by revenue</td><td>Valuation</td></tr><tr><td>dividend_yield</td><td>Dividends per share divided by share price</td><td>Dividend</td></tr><tr><td>market_to_book_ratio</td><td>Market capitalization divided by equity</td><td>Valuation</td></tr><tr><td>ev_opinc_ratio</td><td>Enterprise value divided by operating income</td><td>Valuation</td></tr><tr><td>rough_ffo</td><td>Net income plus depreciation</td><td>Cash Flow</td></tr><tr><td>dividend_payout_ratio_pref</td><td>Preferred dividends divided by net income</td><td>Dividend</td></tr><tr><td>dividend_payout_ratio</td><td>Dividends per share divided by earnings per share</td><td>Dividend</td></tr><tr><td>retention_ratio</td><td>1 minus the dividend payout ratio</td><td>Dividend</td></tr><tr><td>greenblatt_earnings_yield</td><td>EBIT divided by enterprise value</td><td>Valuation</td></tr><tr><td>enterprise_value_to_revenue</td><td>Enterprise value divided by revenue</td><td>Valuation</td></tr><tr><td>enterprise_value_to_ebitda</td><td>Enterprise value divided by EBITDA</td><td>Valuation</td></tr><tr><td>enterprise_value_to_ebit</td><td>Enterprise value divided by EBIT</td><td>Valuation</td></tr><tr><td>enterprise_value_to_invested_capital</td><td>Enterprise value divided by invested capital</td><td>Valuation</td></tr><tr><td>enterprise_value_to_free_cash_flow</td><td>Enterprise value divided by free cash flow</td><td>Valuation</td></tr><tr><td>cash_productivity_ratio</td><td>(Market capitalization plus non-current debt minus assets) divided by short-term cash</td><td>Efficiency</td></tr><tr><td>debt_to_market_ratio</td><td>Total debt divided by market capitalization</td><td>Solvency</td></tr><tr><td>net_debt_to_price_ratio</td><td>(Total debt minus short-term cash) divided by market capitalization</td><td>Solvency</td></tr><tr><td>cash_flow_to_price_ratio</td><td>(Operating cash flow minus CapEx) divided by market capitalization</td><td>Cash Flow</td></tr><tr><td>rd_to_market_ratio</td><td>R&D expenses divided by market capitalization</td><td>Innovation</td></tr><tr><td>book_to_market_enterprise_value_ratio</td><td>Book equity value divided by modified enterprise value</td><td>Valuation</td></tr><tr><td>equity_payout_yield</td><td>(Total dividends plus preferred dividends) divided by market capitalization</td><td>Dividend</td></tr><tr><td>equity_net_payout_yield</td><td>(Total dividends minus (net income minus preferred dividends)) divided by market capitalization</td><td>Dividend</td></tr><tr><td>ebitda_to_mev_ratio</td><td>EBITDA divided by modified enterprise value</td><td>Valuation</td></tr></tbody></table> |
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*** |
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