Know your factors

Compare factor exposures across BIST and S&P 500 stocks and portfolios

About this tool — BIST & S&P 500

What it does

This web application compares factor exposures of Borsa İstanbul (BIST) and S&P 500 stocks and portfolios. Financial data is fetched offline from Yahoo Finance and KAP (for BIST), then served read-only by this app.

How to use

Use the market toggle (BIST or S&P 500) in the header to switch universes.

Stock Comparison: enter tickers separated by commas, choose Rank Percentile, Z-Score, or Raw Value, then click Compare. Factor cards show sector, universe, and (on BIST) BIST 100 means. On the radar chart, toggle which gray benchmark lines to display.

Portfolio: add stocks with weights (normalized automatically), choose a comparison mode, then click Analyze Portfolio. Your portfolio is compared to benchmarks — universe and BIST 100 for BIST, S&P 500 for US. Active values are portfolio minus the benchmark.

Comparison modes

Rank Percentile: where the stock ranks within the universe on a 0–100 scale. 100 means the most desirable value after factor direction is applied.

Z-Score: cross-sectional standard score within the market universe. Each factor's direction is applied (e.g. lower P/E scores higher; lower 1M momentum scores higher). Zero is the universe mean; positive means above average on that factor.

Raw Value: the actual factor value (P/E, ROE %, etc.). Radar charts are hidden in this mode because factors use different units.

Benchmarks

Sector mean: equal-weighted average of all stocks in the same sector within the loaded universe. Shown on every stock comparison card.

Universe mean: equal-weighted average across the full loaded market universe (all BIST names, or all S&P 500 names). On BIST this is labeled bist-all / bist-tum. Shown on stock comparison and used as a portfolio benchmark on BIST.

BIST 100 mean: equal-weighted average of XU100 constituents that are present in the loaded BIST universe. Shown on BIST stock comparison only (not on S&P 500).

Portfolio active: the difference between your portfolio exposure and a benchmark (portfolio minus universe or index). Positive active means the portfolio is above that benchmark on the factor. Stock Compare no longer shows active diffs; it shows the benchmark means directly.

Factors computed

CategoryFactorsData source
ValueP/E, P/B, EV/EBITDAFinancials + Yahoo market cap
QualityROE, ROA, Gross Margin, Operating MarginFinancial statements
LeverageDebt/Equity, Net Debt/EBITDAFinancial statements
SizeLog Market CapYahoo market cap
ProfitabilityNet Margin, FCF YieldFinancial statements
Momentum12M Return, 1M ReturnYahoo prices
RiskAnnualized Volatility (63-day)Yahoo prices
LiquidityLog Avg Daily VolumeYahoo prices

Factor reference

Raw values are shown below. Z-scores and percentiles flip each factor's direction so a positive score always means more desirable within the universe.

Value

P/E (F/K)

Meaning
Price-to-earnings ratio; how much investors pay per unit of earnings.
Calculation
Market cap ÷ net income
Desirable direction
Lower is better

P/B (PD/DD)

Meaning
Price-to-book ratio; market value relative to shareholders' equity.
Calculation
Market cap ÷ shareholders' equity
Desirable direction
Lower is better

EV/EBITDA (FD/FAVÖK)

Meaning
Enterprise value to EBITDA; valuation adjusted for debt and cash vs operating profit.
Calculation
(Market cap + debt − cash) ÷ EBITDA
Desirable direction
Lower is better
Quality

ROE (%)

Meaning
Return on equity; profit generated per unit of shareholder capital.
Calculation
Net income ÷ equity × 100
Desirable direction
Higher is better

ROA (%)

Meaning
Return on assets; how efficiently total assets generate profit.
Calculation
Net income ÷ total assets × 100
Desirable direction
Higher is better

Gross Margin (%)

Meaning
Gross profit as a share of revenue after cost of goods.
Calculation
Gross profit ÷ revenue × 100
Desirable direction
Higher is better

Operating Margin (%)

Meaning
Operating profit as a share of revenue.
Calculation
Operating income ÷ revenue × 100
Desirable direction
Higher is better
Leverage

Debt / Equity

Meaning
Financial leverage; total debt relative to equity.
Calculation
Total debt ÷ equity
Desirable direction
Lower is better

Net Debt / EBITDA

Meaning
Net debt burden relative to operating earnings.
Calculation
(Debt − cash) ÷ EBITDA
Desirable direction
Lower is better
Size

Log Market Cap

Meaning
Company size proxy using market capitalization.
Calculation
ln(market cap)
Desirable direction
Higher is better
Profitability

Net Margin (%)

Meaning
Net profit as a share of revenue.
Calculation
Net income ÷ revenue × 100
Desirable direction
Higher is better

FCF Yield (%)

Meaning
Free cash flow relative to market value.
Calculation
(Operating CF − capex) ÷ market cap × 100
Desirable direction
Higher is better
Momentum

12M Momentum (%)

Meaning
Medium-term price trend over roughly one year.
Calculation
12-month price return % (~252 trading days)
Desirable direction
Higher is better

1M Momentum (%)

Meaning
Short-term price trend over roughly one month. Treated as a reversal signal: lower (weaker) recent return is scored as more desirable.
Calculation
1-month price return % (~21 trading days)
Desirable direction
Lower is better
Risk

Volatility (Ann. %)

Meaning
Price risk; variability of recent daily returns.
Calculation
Annualized std dev of daily returns (63-day window)
Desirable direction
Lower is better
Liquidity

Log Avg Daily Volume

Meaning
Trading activity; ease of buying or selling without moving price.
Calculation
ln(average daily volume × price)
Desirable direction
Higher is better

Disclaimer

This tool does not provide investment advice. Factor z-scores and percentiles are statistical measures relative to the selected universe.

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