{"id":"quant_factors","name":"Quant Factors & Risk","description":"Quantitative factor exposures, risk scores, market structure, beta\/benchmark-relative metrics, index membership, ownership, liquidity, technicals, and regime labels for ~10,000 US-listed companies (by SEC CIK), derived from a daily market-structure model. Style factors (size\/value\/quality\/growth\/momentum\/low-vol\/liquidity), a composite factor score with cross-sectional percentile rank, factor z-scores, percentile-ranked risk scores (tail\/stress\/crash\/trend\/concentration), betas and alphas vs US-500\/Tech\/Nasdaq\/Small-2000 benchmarks, and institutional\/short-interest ownership. period_type states the FUNDAMENTALS BASIS behind the factor block: D = live daily snapshot, Q = completed quarter (single-quarter fundamentals), TTM = trailing twelve months, FY = fiscal year. Q\/TTM\/FY are point-in-time, survivorship-safe history (2013 onward; delisted\/deregistered\/merged names are retained in the panel, so factor research is not survivorship-biased). For a given period all bases share the same as-of date, price and market cap; only the fundamentals-derived factors differ. FY rows key on a bare 4-digit fiscal year (tm=2025) and carry no trimester. Unreliable rows are served with the affected fields null and a per-row \"held\" reason (never a garbage value).","frequency":"daily + quarterly","entity_count":10020,"period_types":["D","Q","TTM","FY"],"classifications":["CSIMarket","SIC","NAICS"],"key_field":"cik","requires_license":true,"data_endpoints":["https:\/\/api.csimarket.com\/api\/v1\/companies\/{identifier}\/quant-factors","https:\/\/api.csimarket.com\/api\/v1\/quant-factors\/screener"],"analytics_endpoints":[{"endpoint":"quant-factors","field_count":91,"meta_url":"https:\/\/api.csimarket.com\/api\/meta\/quant_factors\/quant-factors"}],"field_count":91,"field_categories":[{"category":"Technical","field_count":17},{"category":"Identity","field_count":15},{"category":"Factor","field_count":10},{"category":"Beta","field_count":9},{"category":"FactorZScore","field_count":8},{"category":"Liquidity","field_count":7},{"category":"Risk","field_count":6},{"category":"Membership","field_count":6},{"category":"MarketStructure","field_count":5},{"category":"Ownership","field_count":5},{"category":"Regime","field_count":3}],"fields":[{"name":"cik","type":"integer","unit":null,"description":"SEC Central Index Key (company identifier)","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":false,"dataset":"quant_factors"},{"name":"ticker","type":"string","unit":null,"description":"Primary stock ticker as-of the period (e.g. BRK-A is Berkshire Class A)","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"company_name","type":"string","unit":null,"description":"Company name","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"exchange","type":"string","unit":null,"description":"Listing exchange","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"country","type":"string","unit":null,"description":"ISO-3166 country code","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"currency","type":"string","unit":null,"description":"ISO-4217 trading currency","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"industry","type":"integer","unit":null,"description":"CSIMarket industry id","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"sector","type":"integer","unit":null,"description":"CSIMarket sector id","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"naics","type":"integer","unit":null,"description":"NAICS industry code","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"sic","type":"integer","unit":null,"description":"SIC industry code","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"isic","type":"integer","unit":null,"description":"ISIC industry code","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"as_of","type":"date","unit":null,"description":"As-of trading date for this row (point-in-time; last trading day \u2264 the period end)","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":false,"dataset":"quant_factors"},{"name":"tm","type":"integer","unit":null,"description":"Period key. tm encodes the period and its WIDTH states the basis. QUARTERLY (period_type D, Q, TTM) - tm = YYYYPP with PP \u2208 {00=Q1 (Mar), 25=Q2 (Jun), 50=Q3 (Sep), 75=Q4 (Dec)}, and the row also carries a `trimester` field in calendar form PP \u2208 {01=Q1, 02=Q2, 03=Q3, 04=Q4}; e.g. tm 202600 = trimester 202601 = 2026 Q1, tm 202575 = trimester 202504 = 2025 Q4. ?tm= accepts either form. ANNUAL (period_type FY) - tm is the BARE 4-DIGIT FISCAL YEAR (e.g. ?tm=2025 for FY 2025), matching company_fundamental_ratios; `trimester` is null on FY rows because a fiscal year has no calendar quarter. Q\/TTM range 201300\u2026latest (trimester 201301\u2026), FY range 2013\u2026latest; the live D snapshot carries tm 202625 (trimester 202602).","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":false,"dataset":"quant_factors"},{"name":"trimester","type":"integer","unit":null,"description":"Calendar period key (derived from tm): YYYYPP with PP \u2208 {01=Q1, 02=Q2, 03=Q3, 04=Q4}, the same period as tm in 01-04 form. e.g. tm 202600 \u2192 trimester 202601. NULL on FY rows: a fiscal year has no calendar quarter.","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"period_type","type":"string","unit":null,"description":"Period type = the FUNDAMENTALS BASIS behind the factor block: 'D' = live daily snapshot, 'Q' = completed quarter (single-quarter fundamentals), 'TTM' = trailing twelve months, 'FY' = fiscal year. All four share the same as-of date, price and market cap for a given period; only the fundamentals-derived factors differ.","category":"Identity","period_types":["D","Q","TTM","FY"],"nullable":false,"dataset":"quant_factors"},{"name":"size_factor","type":"decimal","unit":"zscore","description":"Size factor exposure (cross-sectional, larger = bigger)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"value_factor","type":"decimal","unit":"zscore","description":"Value factor exposure (cross-sectional)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"quality_factor","type":"decimal","unit":"zscore","description":"Quality factor exposure (cross-sectional)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"growth_factor","type":"decimal","unit":"zscore","description":"Growth factor exposure (cross-sectional)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_factor","type":"decimal","unit":"zscore","description":"Momentum factor exposure (cross-sectional)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"low_vol_factor","type":"decimal","unit":"zscore","description":"Low-volatility factor exposure (cross-sectional, higher = lower vol)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"liquidity_factor","type":"decimal","unit":"zscore","description":"Liquidity factor exposure (cross-sectional)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"composite_factor_score","type":"decimal","unit":"score","description":"Blended multi-factor composite score (0\u2013100)","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"cross_sectional_rank","type":"integer","unit":"percentile","description":"Cross-sectional PERCENTILE RANK (0\u2013100) of the composite within the period universe, a rank, NOT a probability","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"index_weight_percentile","type":"decimal","unit":"percentile","description":"Percentile rank (0\u2013100) of the name by index weight within the period universe","category":"Factor","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"market_cap_zscore","type":"decimal","unit":"zscore","description":"Market-cap z-score (std-devs from period mean)","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_zscore","type":"decimal","unit":"zscore","description":"12-month momentum z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volatility_zscore","type":"decimal","unit":"zscore","description":"1-year volatility z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"beta_zscore","type":"decimal","unit":"zscore","description":"Market-beta z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"relative_strength_zscore","type":"decimal","unit":"zscore","description":"Relative-strength z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"liquidity_zscore","type":"decimal","unit":"zscore","description":"Liquidity z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"dollar_volume_zscore","type":"decimal","unit":"zscore","description":"Dollar-volume z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volume_zscore","type":"decimal","unit":"zscore","description":"Share-volume z-score","category":"FactorZScore","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"tail_risk_score","type":"decimal","unit":"percentile","description":"Left-tail risk percentile rank (0\u2013100; higher = fatter left tail)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"stress_score","type":"decimal","unit":"percentile","description":"Current-stress percentile rank (drawdown depth \/ vol \/ time-underwater)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"crash_risk_score","type":"decimal","unit":"percentile","description":"Crash-risk percentile rank (fat-tail + deteriorating trend)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"trend_strength_score","type":"decimal","unit":"percentile","description":"Trend-strength percentile rank (bullish-trend strength)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"concentration_impact_score","type":"decimal","unit":"percentile","description":"Concentration-impact percentile rank (overweight ratio cap_weight\/equal_weight)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"market_stress_indicator","type":"decimal","unit":"percentile","description":"Market-level stress indicator (VIX percentile + breadth; identical across names in a period)","category":"Risk","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"market_cap","type":"decimal","unit":"usd","description":"Market capitalization (raw USD)","category":"MarketStructure","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"cap_weight","type":"decimal","unit":"ratio","description":"Cap weight within the company industry (0\u20131, sums to 1 over the with-cap set)","category":"MarketStructure","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"equal_weight","type":"decimal","unit":"ratio","description":"Equal weight within the company industry (1\/N)","category":"MarketStructure","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"market_cap_rank","type":"integer","unit":null,"description":"Market-cap rank within the company industry (1 = largest)","category":"MarketStructure","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"contribution_pct","type":"decimal","unit":"percent","description":"Cap-weighted return contribution share within the industry","category":"MarketStructure","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"beta_usa500","type":"decimal","unit":"ratio","description":"Beta vs the US-500 large-cap benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"beta_usatech100","type":"decimal","unit":"ratio","description":"Beta vs the U.S.A. Tech 100 (Nasdaq-100) benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"beta_usatech","type":"decimal","unit":"ratio","description":"Beta vs the U.S.A. Tech (Nasdaq Composite) benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"beta_usasmallcap","type":"decimal","unit":"ratio","description":"Beta vs the U.S.A. Small-Cap (Russell 2000) benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"correlation_usa500","type":"decimal","unit":"ratio","description":"Correlation vs the US-500 benchmark (\u22121\u20261)","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"relative_strength_usa500","type":"decimal","unit":"ratio","description":"Relative strength vs the US-500 benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"alpha_usa500_1y","type":"decimal","unit":"percent","description":"1-year alpha vs the US-500 benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"alpha_usa500_3y","type":"decimal","unit":"percent","description":"3-year alpha vs the US-500 benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"tracking_error_sector","type":"decimal","unit":"percent","description":"Tracking error vs the sector benchmark","category":"Beta","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usa500_member","type":"boolean","unit":null,"description":"Member of the US-500 index as-of the period","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usatech100_member","type":"boolean","unit":null,"description":"Member of the US-Tech-100 index as-of the period","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usasmallcap_member","type":"boolean","unit":null,"description":"Member of the U.S.A. Small-Cap (Russell 2000) index as-of the period","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usa500_weight","type":"decimal","unit":"ratio","description":"Weight in the US-500 index (0\u20131) as-of the period","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usatech100_weight","type":"decimal","unit":"ratio","description":"Weight in the US-Tech-100 index (0\u20131)","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"usasmallcap_weight","type":"decimal","unit":"ratio","description":"Weight in the U.S.A. Small-Cap (Russell 2000) index (0\u20131)","category":"Membership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"institutional_ownership_pct","type":"decimal","unit":"percent","description":"Institutional ownership % of shares as-of the quarter-end (lags ~45+ days; null where the ownership basis is held\/unresolved)","category":"Ownership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"insider_ownership_pct","type":"decimal","unit":"percent","description":"Insider ownership % of shares (as-of period; lagged)","category":"Ownership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"short_interest_pct_float","type":"decimal","unit":"percent","description":"Short interest as % of float (latest settlement; lagged)","category":"Ownership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"days_to_cover","type":"decimal","unit":"ratio","description":"Short interest \/ 20-day ADV (days-to-cover; 999.99 = censored ceiling)","category":"Ownership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"free_float_pct","type":"decimal","unit":"percent","description":"Free float as % of shares outstanding","category":"Ownership","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"turnover_rate","type":"decimal","unit":"ratio","description":"Daily share turnover (volume \/ shares outstanding)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"dollar_volume","type":"decimal","unit":"usd","description":"Dollar trading volume (raw USD)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"dollar_volume_rank","type":"integer","unit":null,"description":"Dollar-volume rank within the industry (1 = highest)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"amihud_illiquidity","type":"decimal","unit":"ratio","description":"Amihud illiquidity (|return| \/ dollar volume; higher = less liquid)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"adv_50","type":"decimal","unit":"usd","description":"50-day average daily dollar volume (raw USD)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"liquidity_tier","type":"string","unit":null,"description":"Liquidity tier bucket","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"liquidity_score","type":"decimal","unit":"score","description":"Composite liquidity score (0\u2013100)","category":"Liquidity","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"close_price","type":"decimal","unit":"usd","description":"Split-adjusted close price as-of the period (raw USD)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"quarterly_return","type":"decimal","unit":"percent","description":"Trailing quarter return","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_1m","type":"decimal","unit":"percent","description":"1-month price momentum","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_3m","type":"decimal","unit":"percent","description":"3-month price momentum","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_6m","type":"decimal","unit":"percent","description":"6-month price momentum","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_12m","type":"decimal","unit":"percent","description":"12-month price momentum","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volatility_30d","type":"decimal","unit":"ratio","description":"Annualized 30-day realized volatility (decimal, e.g. 0.32 = 32%)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volatility_90d","type":"decimal","unit":"ratio","description":"Annualized 90-day realized volatility (decimal)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volatility_1y","type":"decimal","unit":"ratio","description":"Annualized 1-year realized volatility (decimal)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"downside_volatility","type":"decimal","unit":"ratio","description":"Annualized downside (semi-)volatility (decimal)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"rsi_14","type":"decimal","unit":"ratio","description":"14-period Relative Strength Index (0\u2013100)","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"distance_from_50dma","type":"decimal","unit":"percent","description":"Distance of price from its 50-day moving average","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"distance_from_200dma","type":"decimal","unit":"percent","description":"Distance of price from its 200-day moving average","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"max_drawdown_1y","type":"decimal","unit":"percent","description":"Maximum 1-year peak-to-trough drawdown","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"sharpe_ratio_1y","type":"decimal","unit":"ratio","description":"1-year Sharpe ratio","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"sortino_ratio_1y","type":"decimal","unit":"ratio","description":"1-year Sortino ratio","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"information_ratio","type":"decimal","unit":"ratio","description":"Information ratio vs benchmark","category":"Technical","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"risk_regime","type":"string","unit":null,"description":"Risk regime label (categorical)","category":"Regime","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"volatility_regime","type":"string","unit":null,"description":"Volatility regime label (categorical)","category":"Regime","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"},{"name":"momentum_regime","type":"string","unit":null,"description":"Momentum regime label (categorical)","category":"Regime","period_types":["D","Q","TTM","FY"],"nullable":true,"dataset":"quant_factors"}],"links":{"schema":"https:\/\/api.csimarket.com\/api\/schema\/quant_factors","meta":"https:\/\/api.csimarket.com\/api\/meta\/quant_factors","datasets":"https:\/\/api.csimarket.com\/api\/datasets","discovery":"https:\/\/api.csimarket.com\/api\/discovery","coverage":"https:\/\/api.csimarket.com\/api\/coverage"}}