Overview
FinModeling is an equity valuation framework. It can retrieve and parse XBRL-based filings from SEC Edgar. As of March 2013, it can successfully parse the last 2-5 years of quarterly and annual filings from 52% of the Nasdaq 100 companies. (The remainder fail due to a long-tail distribution of filing formatting peculiarities for which I haven't yet written special-case code to handle.)
Please take a moment to give me your feedback on the gem so that I can make it even better.
Features
- Pulls annual (10-k) and quarterly (10-q) financial reports from SEC Edgar
- Uses Naive Bayes Classifiers to classify financial statement items
- trained on medium-to-large NASDAQ tech companies
- Reformulates GAAP statements to better highlight enterprise value
- Generates forecasts based on analysis of historical performance
- Calculates cost of capital using either CAPM or Fama/French cost of equity, and WACC
- Performs residual operating income-based valuation.
Example 1: Valuing Oracle's Common Equity, Based on 4 Quarters of History and 2 Quarters of Forecasts
$ ./examples/show_reports.rb --num-forecasts 2 --do-valuation orcl 2012-02-01
Forecasting 2 periods
Doing valuation
company name: ORACLE CORP
2012-02-29 2012-05-31 2012-08-31 2012-11-30 2013-02-28E 2013-05-28E
NOA ($MM) 29,250.0 32,172.0 29,172.0 31,703.0 31,072.0 33,307.0
NFA ($MM) 14,016.0 11,915.0 14,564.0 11,707.0 14,672.0 15,375.0
Minority Interest 393.0 399.0 407.0 427.0 0.0 0.0
($MM)
CSE ($MM) 42,873.0 43,688.0 43,329.0 42,983.0 45,743.0 48,682.0
Composition Ratio 2.0869 2.7001 2.0030 2.7080 2.1177 2.1663
NOA Growth 0.4590 -0.3218 0.3961 -0.0783 0.3296
CSE Growth 0.0775 -0.0322 -0.0316 0.2871 0.2909
2012-02-29 2012-05-31 2012-08-31 2012-11-30 2013-02-28E 2013-05-28E
Revenue ($MM) 9,039.0 10,916.0 8,181.0 9,094.0 9,748.0 10,450.0
Core OI ($MM) 2,674.0 3,636.0 2,076.0 2,712.0 2,870.0 3,076.0
OI ($MM) 2,608.0 3,590.0 2,149.0 2,705.0
FI ($MM) -110.0 -138.0 -115.0 -124.0 -110.0 -137.0
NI ($MM) 2,498.0 3,452.0 2,034.0 2,581.0 2,760.0 2,939.0
Gross Margin 0.6008 0.6238 0.5941 0.6077
Sales PM 0.2958 0.3330 0.2537 0.2981 0.2943 0.2943
Operating PM 0.2885 0.3288 0.2626 0.2974
FI / Sales -0.0121 -0.0126 -0.0140 -0.0136 -0.0112 -0.0131
NI / Sales 0.2763 0.3162 0.2486 0.2838 0.2831 0.2812
Sales / NOA 1.4806 1.0199 1.2642 1.2610 1.3949
FI / NFA -0.0390 -0.0387 -0.0345 -0.0383 -0.0388
Revenue Growth 1.1139 -0.6815 0.5286 0.3254 0.3296
Core OI Growth 2.3835 -0.8918 1.9216 0.2582 0.3296
OI Growth 2.5532 -0.8693 1.5169
ReOI ($MM) 2,879.0 1,367.0 2,004.0 2,116.0 2,346.0
Unknown... 2012-05-31 2012-08-31 2012-11-30
C ($MM) 4,057.0 5,431.0 677.0
I ($MM) -10,966.0 -7,304.0 -11,021.0
d ($MM) 9,358.0 4,662.0 13,363.0
F ($MM) -2,449.0 -2,789.0 -3,019.0
FCF ($MM) -6,909.0 -1,873.0 -10,344.0
NI / C 0.8508 0.3745 3.8124
Cost of Capital
2013-03-10
Market Value of 169,100.0
Equity ($MM)
Market Value of 23,663.0
Debt ($MM)
Cost of Equity (%) 7.30
Cost of Debt (%) 3.20
Weighted Avg Cost 6.79
of Capital (%)
ReOI Valuation
2012-11-30 2013-02-28 2013-05-28E
ReOI ($MM) 2,352.0 2,574.0
PV(ReOI) ($MM) 2,356.0
CV ($MM) 37,886.0
PV(CV) ($MM) 37,954.0
Book Value of 42,983.0
Common Equity
($MM)
Enterprise Value 83,293.0
($MM)
NFA ($MM) 11,707.0
Value of Common 95,000.0
Equity ($MM)
# Shares (MM) 4,735.0
Value / Share ($) 20.06
Example 2: More Detailed Analysis of Apple's Financials Since 2012-02-01
$ ./examples/show_reports.rb --balance-detail --income-detail --show-regressions aapl 2012-02-01
Balance sheet detail is enabled
Net income detail is enabled
Showing regressions
company name: APPLE INC
2012-03-31 2012-06-30 2012-09-29 2012-12-29
A ($MM) 150,934.0 162,896.0 176,064.0 196,088.0
L ($MM) 48,436.0 51,150.0 57,854.0 68,742.0
NOA ($MM) -9,931.0 -7,784.0 -5,624.0 -12,661.0
OA ($MM) 38,505.0 43,366.0 52,230.0 56,081.0
OL ($MM) 48,436.0 51,150.0 57,854.0 68,742.0
NFA ($MM) 112,429.0 119,530.0 123,834.0 140,007.0
FA ($MM) 112,429.0 119,530.0 123,834.0 140,007.0
FL ($MM) 0.0 0.0 0.0 0.0
Minority Interest 0.0 0.0 0.0 0.0
($MM)
CSE ($MM) 102,498.0 111,746.0 118,210.0 127,346.0
Composition Ratio -0.0883 -0.0651 -0.0454 -0.0904
NOA Δ ($MM) 2,147.0 2,160.0 -7,037.0
CSE Δ ($MM) 9,248.0 6,464.0 9,136.0
NOA Growth -0.6235 -0.7284 24.9157
CSE Growth 0.4140 0.2530 0.3479
NOA growth: a:-4.9150, b:12.7696, r:0.8642, var:145.5436
2012-03-31 2012-06-30 2012-09-29 2012-12-29
Revenue ($MM) 39,186.0 35,023.0 35,966.0 54,512.0
COGS ($MM) -20,622.0 -20,029.0 -21,565.0 -33,452.0
GM ($MM) 18,564.0 14,994.0 14,401.0 21,060.0
OE ($MM) -3,180.0 -3,421.0 -3,457.0 -3,850.0
OISBT ($MM) 15,384.0 11,573.0 10,944.0 17,210.0
Core OI ($MM) 11,526.0 8,637.0 8,256.0 12,778.0
OI ($MM) 11,526.0 8,637.0 8,256.0 12,778.0
FI ($MM) 96.0 187.0 -33.0 300.0
NI ($MM) 11,622.0 8,824.0 8,223.0 13,078.0
Gross Margin 0.4737 0.4281 0.4004 0.3863
Sales PM 0.2941 0.2466 0.2295 0.2344
Operating PM 0.2941 0.2466 0.2295 0.2344
FI / Sales 0.0024 0.0053 -0.0009 0.0055
NI / Sales 0.2965 0.2519 0.2286 0.2399
Sales / NOA -14.3024 -18.5327 -39.3094
FI / NFA 0.0067 -0.0011 0.0098
Revenue Growth -0.3626 0.1124 4.3013
Core OI Growth -0.6856 -0.1653 4.7648
OI Growth -0.6856 -0.1653 4.7648
ReOI ($MM) 8,876.0 8,443.0 12,913.0
operating pm: a:0.2806, b:-0.0196, r:-0.8581, var:0.0006
sales / noa: a:-11.5447, b:-12.5035, r:-0.9341, var:119.4351
revenue growth: a:-0.9816, b:2.3320, r:0.9085, var:4.3917
fi / nfa: a:0.0036, b:0.0015, r:0.2729, var:2.1244e-05
Unknown... 2012-06-30 2012-09-29 2012-12-29
C ($MM) 10,189.0 9,136.0 23,426.0
I ($MM) -2,971.0 -3,493.0 -2,791.0
d ($MM) -7,163.0 -6,109.0 -18,631.0
F ($MM) -55.0 466.0 -2,004.0
FCF ($MM) 7,218.0 5,643.0 20,635.0
NI / C 0.8660 0.9000 0.5582
Example 3: Raw Numbers From Nike's Last 10-Q, Including Disclosures
$ ./examples/show_report.rb --show-disclosures NKE 10-q 0
Showing disclosures
company name: NIKE INC
url: http://www.sec.gov/Archives/edgar/data/320187/000119312513008172/0001193125-13-008172-index.htm
Balance Sheet (2012-11-30)
Assets (us-gaap_Assets_1)
[fa] Cash And Cash Equivalents At Carrying Value 2,291,000,000.0
[fa] Available For Sale Securities Current 1,234,000,000.0
[oa] Accounts Receivable Net Current 3,188,000,000.0
[oa] Inventory Finished Goods Net Of Reserves 3,318,000,000.0
[fa] Deferred Tax Assets Net Current 327,000,000.0
[oa] Prepaid Expense And Other Assets Current 733,000,000.0
[oa] Assets Of Disposal Group Including Discontinued 344,000,000.0
Operation Current
[oa] Property Plant And Equipment Gross 5,310,000,000.0
[oa] Accumulated Depreciation Depletion And Amortization -3,052,000,000.0
Property Plant And Equipment
[oa] Intangible Assets Net Excluding Goodwill 374,000,000.0
[oa] Goodwill 131,000,000.0
[fa] Deferred Income Taxes And Other Assets Noncurrent 973,000,000.0
Total 15,171,000,000.0
Liabilities And Stockholders Equity (us-gaap_LiabilitiesAndStockholdersEquity_1)
[fl] Long Term Debt Current 58,000,000.0
[fl] Short Term Borrowings 100,000,000.0
[ol] Accounts Payable Current 1,519,000,000.0
[ol] Accrued Liabilities Current 1,879,000,000.0
[fl] Accrued Income Taxes Current 45,000,000.0
[ol] Liabilities Of Disposal Group Including Discontinued 198,000,000.0
Operation Current
[fl] Long Term Debt Noncurrent 170,000,000.0
[fl] Deferred Income Taxes And Other Liabilities Noncurrent 1,188,000,000.0
[ol] Commitments And Contingencies 0.0
[fl] Temporary Equity Carrying Amount Attributable To Parent 0.0
[cse] Stockholders Equity 10,014,000,000.0
Total 15,171,000,000.0
Net Operational Assets
OA 10,346,000,000.0
OL -3,596,000,000.0
Total 6,750,000,000.0
Net Financial Assets
FA 4,825,000,000.0
FL -1,561,000,000.0
Total 3,264,000,000.0
Common Shareholders' Equity
NOA 6,750,000,000.0
NFA 3,264,000,000.0
MI -0.0
Total 10,014,000,000.0
Income Statement (2012-09-01 to 2012-11-30)
Net Income Loss (us-gaap_NetIncomeLoss_3)
[or] Sales Revenue Net 5,955,000,000.0
[cogs] Cost Of Goods Sold -3,425,000,000.0
[oe] Marketing And Advertising Expense -613,000,000.0
[oe] General And Administrative Expense -1,223,000,000.0
[fibt] Interest Income Expense Nonoperating Net 1,000,000.0
[fibt] Other Nonoperating Income Expense 17,000,000.0
[tax] Income Tax Expense Benefit -191,000,000.0
[fiat] Income Loss From Discontinued Operations Net Of Tax -137,000,000.0
Total 384,000,000.0
Gross Revenue
Operating Revenues (OR) 5,955,000,000.0
Cost of Goods Sold (COGS) -3,425,000,000.0
Total 2,530,000,000.0
Operating Income from sales, before tax (OISBT)
Gross Margin (GM) 2,530,000,000.0
Operating Expense (OE) -1,836,000,000.0
Total 694,000,000.0
Operating Income from sales, after tax (OISAT)
Operating income from sales (before tax) 694,000,000.0
Reported taxes -191,000,000.0
Taxes on net financing income 6,300,000.0
Taxes on other operating income 0.0
Total 509,300,000.0
Operating income, after tax (OI)
Operating income after sales, after tax (OISAT) 509,300,000.0
Other operating income, before tax (OIBT) 0.0
Tax on other operating income -0.0
Other operating income, after tax (OOIAT) 0.0
Total 509,300,000.0
Net financing income, after tax (NFI)
Financing income, before tax (FIBT) 18,000,000.0
Tax effect (FIBT_TAX_EFFECT) -6,300,000.0
Financing income, after tax (FIAT) -137,000,000.0
Total -125,300,000.0
Comprehensive income (CI)
Operating income, after tax (OI) 509,300,000.0
Net financing income, after tax (NFI) -125,300,000.0
Total 384,000,000.0
WARNING: cash flow statement period is nil!
WARNING: reformulated cash flow statement period is nil!
Disclosures
Disclosure Identifiable Intangible Asset Balances (http://www.nikeinc.com/taxonomy/role/DisclosureIdentifiableIntangibleAssetBalances)
Finite Lived Intangible Assets Gross 169,000,000.0
Finite Lived Intangible Assets Accumulated Amortization 78,000,000.0
Indefinite Lived Trademarks 283,000,000.0
Total 530,000,000.0
Disclosure Accrued Liabilities (http://www.nikeinc.com/taxonomy/role/DisclosureAccruedLiabilities)
Accrued Compensation And Benefits Excluding Taxes Current 502,000,000.0
Accrued Taxes Other Than Income Taxes Current 238,000,000.0
Accrued Endorsement Liabilities Current 212,000,000.0
Dividends Payable Current 188,000,000.0
Accrued Marketing Costs Current 137,000,000.0
Accrued Import And Logistics Costs Current 124,000,000.0
Derivative Liabilities Current 83,000,000.0
Other Accrued Liabilities Current 395,000,000.0
Total 1,879,000,000.0
Disclosure Financial Assets And Liabilities Measured At Fair Value On Recurring Basis (http://www.nikeinc.com/taxonomy/role/DisclosureFinancialAssetsAndLiabilitiesMeasuredAtFairValueOnRecurringBasis)
Derivative Fair Value Of Derivative Asset 129,000,000.0
Total 129,000,000.0
Disclosure Reconciliation From Basic Earnings Per Share To Diluted Earnings Per Share (http://www.nikeinc.com/taxonomy/role/DisclosureReconciliationFromBasicEarningsPerShareToDilutedEarningsPerShare)
Income Loss From Continuing Operations Per Basic Share 0.58
Income Loss From Discontinued Operations Net Of Tax Per -0.15
Basic Share
Income Loss From Continuing Operations Per Diluted Share 0.57
Income Loss From Discontinued Operations Net Of Tax Per -0.15
Diluted Share
Weighted Average Number Of Shares Outstanding Basic 897,000,000.0
Incremental Common Shares Attributable To Share Based 16,100,000.0
Payment Arrangements
Total 913,100,000.85
Disclosure Components Of Assets And Liabilities Classified As Held For Sale (http://www.nikeinc.com/taxonomy/role/DisclosureComponentsOfAssetsAndLiabilitiesClassifiedAsHeldForSale)
Disposal Group Including Discontinued Operation Accounts 129,000,000.0
Notes And Loans Receivable Net
Disposal Group Including Discontinued Operation Inventory 130,000,000.0
Disposal Group Including Discontinued Operation Deferred 32,000,000.0
Income Taxes And Other Assets
Disposal Group Including Discontinued Operation Property 53,000,000.0
Plant And Equipment Net
Disposal Group Including Discontinued Operation Intangible 0.0
Assets Net
Disposal Group Including Discontinued Operation Accounts 39,000,000.0
Payable
Disposal Group Including Discontinued Operation Accrued 127,000,000.0
Liabilities
Disposal Group Including Discontinued Operation Deferred 32,000,000.0
Income Taxes Payable And Other Liabilities
Total 542,000,000.0
Disclosure Information By Operating Segments (http://www.nikeinc.com/taxonomy/role/DisclosureInformationByOperatingSegments)
Earnings Before Interest And Taxes 711,000,000.0
Interest Income Expense Nonoperating Net 1,000,000.0
Total 712,000,000.0
Installation
OSX Mountain Lion
-
Install Homebrew
-
Install ImageMagick
brew install imagemagick -
Edit gsl formula
brew edit gsl -
Edit the file by changing:
url 'http://ftpmirror.gnu.org/gsl/gsl-1.16.tar.gz' mirror 'http://ftp.gnu.org/gnu/gsl/gsl-1.16.tar.gz' sha1 '210af9366485f149140973700d90dc93a4b6213e'to:
url 'http://ftpmirror.gnu.org/gsl/gsl-1.15.tar.gz' mirror 'http://ftp.gnu.org/gnu/gsl/gsl-1.15.tar.gz' sha1 'd914f84b39a5274b0a589d9b83a66f44cd17ca8e' -
Install GSL
brew install gsl -
Install FinModeling
gem install finmodeling -
Reset Homebrew
cd /usr/local/Cellar git reset --hard
Ubuntu 13.04
-
Install ImageMagick
apt-get install imagemagick -
Install MagickWand Development
apt-get install libmagickwand-dev -
Install GSL
apt-get install libgsl0-dev -
Install FinModeling
gem install finmodeling
Contributing
I welcome pull requests from other users of this gem. I'm also curious just to hear how people are finding it useful (or not). My own wish list (in messy form) is in TODO.txt.