Alpha Library  /  Point-in-time Fundamentals  /  fund_book_to_market

fund_book_to_market

Book-to-market - equity over market cap (FF HML characteristic)

Themes & universe

valueequity_usequity_cnequity_hk1d

Formula

\mathrm{zscore}_{x}\left(\frac{\mathrm{total\_equity}}{\mathrm{close}\times\mathrm{shares\_diluted}}\right)

Definition

id

fund_book_to_market

zoo

fundamental

module_path

src.factors.zoo.fundamental.book_to_market

decay_horizon

252

min_warmup_bars

1

requires_sector

False

columns_required

close, fund:total_equity, fund:shares_diluted

Notes

Valuation proxy: close times weighted-average diluted shares is not reported market capitalization; adjusted closes can change the level. Fama-French (1993) HML-style book-to-market proxy built from PIT-safe total equity and shares diluted aligned to the daily close panel; the academic_hml factor in the academic zoo is only a price proxy. High B/M (cheap relative to book value) scores high. market_cap = close x shares_diluted is computed here in the factor file by design: _fundamental_schema.py lines 210-212 deliberately keep price-dependent value factors such as book_to_market out of DERIVED_FIELDS because they need the aligned price panel. Zero or non-finite market cap becomes NaN via safe_div before cross-sectional z-scoring; missing statements remain NaN and are excluded from that date's cross-section.

Run it

pip install vibe-trading-ai
vibe-trading alpha show fund_book_to_market
vibe-trading alpha bench --zoo fundamental --universe csi300 --period 2020-2025