fundamentalista 0.1.0 → 0.1.1

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data/CHANGELOG.md

@@ -1,5 +1,11 @@
 # Changelog
 
+## 0.1.1
+
+- EBIT derived from income before tax and interest when operating income is not reported, used by interest coverage, EV/EBIT, the magic formula and the Altman Z-score.
+- Minority interest on the balance sheet, so derived total liabilities match the reported ones.
+- More concepts checked against Financial Modeling Prep figures: current maturities of long term debt, finance lease interest, other short term investments.
+
 ## 0.1.0
 
 - Financial statements as value objects with BigDecimal figures and derived line items.

data/README.md

@@ -90,8 +90,10 @@ EDGAR reports quarterly cash flows only year to date, and the fourth quarter onl
 
 | Statement | Reported items | Derived when missing |
 | --- | --- | --- |
-| `IncomeStatement` | revenue, cost of revenue, gross profit, SG&A, operating income, interest expense, income before tax, income tax, net income, depreciation and amortization, EBITDA, diluted EPS, diluted shares | gross profit, EBITDA, diluted EPS, tax rate |
-| `BalanceSheet` | cash, short term investments, receivables, inventory, current assets, PP&E, total assets, payables, current liabilities, total liabilities, short and long term debt, total debt, equity, retained earnings, shares outstanding | total liabilities, total debt, liquid assets, net debt, working capital, net working capital |
+| `IncomeStatement` | revenue, cost of revenue, gross profit, SG&A, operating income, EBIT, interest expense, income before tax, income tax, net income, depreciation and amortization, EBITDA, diluted EPS, diluted shares | gross profit, EBIT, EBITDA, diluted EPS, tax rate |
+| `BalanceSheet` | cash, short term investments, receivables, inventory, current assets, PP&E, total assets, payables, current liabilities, total liabilities, short and long term debt, total debt, equity, minority interest, retained earnings, shares outstanding | total liabilities, total debt, liquid assets, net debt, working capital, net working capital |
+
+EBIT is operating income when the company reports one, and income before tax plus interest expense otherwise, which is what pharmaceutical and oil companies leave you; interest coverage, EV/EBIT, Greenblatt's yield and return on capital and the Altman Z-score all use it. Figures follow the line as reported: receivables are trade receivables, PP&E excludes lease right-of-use assets, cost of revenue is the company's own line.
 | `CashFlowStatement` | operating cash flow, capital expenditure, free cash flow, dividends paid, share repurchases | free cash flow, shareholder returns |
 
 Outflows are positive amounts: `capital_expenditure` is what was spent.

data/lib/fundamentalista/balance_sheet.rb

@@ -3,15 +3,18 @@
 module Fundamentalista
   # The balance sheet at the end of a period. +shares_outstanding+ is a
   # share count, +ppe+ is property, plant and equipment net of
-  # depreciation; everything else is in the reporting currency.
+  # depreciation, +equity+ belongs to the parent's shareholders and
+  # +minority_interest+ to others; everything else is in the reporting
+  # currency.
   class BalanceSheet < Statement
     field :cash, :short_term_investments, :receivables, :inventory, :current_assets, :ppe, :total_assets,
           :payables, :current_liabilities, :total_liabilities, :short_term_debt, :long_term_debt, :total_debt,
-          :equity, :retained_earnings, :shares_outstanding
+          :equity, :minority_interest, :retained_earnings, :shares_outstanding
 
-    # Total liabilities, derived from total assets and equity when not reported.
+    # Total liabilities, derived from total assets, equity and minority
+    # interest when not reported.
     def total_liabilities
-      @total_liabilities || Decimal.subtract(total_assets, equity)
+      @total_liabilities || Decimal.subtract(total_assets, Decimal.sum(equity, minority_interest || BigDecimal('0')))
     end
 
     # Total debt, derived from short and long term debt when not reported.

data/lib/fundamentalista/income_statement.rb

@@ -5,7 +5,7 @@ module Fundamentalista
   # currency; +eps_diluted+ is per share, +diluted_shares+ a share count
   # and +sga+ the selling, general and administrative expense.
   class IncomeStatement < Statement
-    field :revenue, :cost_of_revenue, :gross_profit, :sga, :operating_income, :interest_expense,
+    field :revenue, :cost_of_revenue, :gross_profit, :sga, :operating_income, :ebit, :interest_expense,
           :income_before_tax, :income_tax, :net_income, :depreciation_amortization, :ebitda,
           :eps_diluted, :diluted_shares
 
@@ -14,9 +14,16 @@ module Fundamentalista
       @gross_profit || Decimal.subtract(revenue, cost_of_revenue)
     end
 
-    # EBITDA, derived from operating income and depreciation when not reported.
+    # Earnings before interest and taxes: operating income when reported,
+    # else income before tax plus interest expense, which is what
+    # companies without an operating income line leave you.
+    def ebit
+      @ebit || operating_income || Decimal.sum(income_before_tax, interest_expense)
+    end
+
+    # EBITDA, derived from EBIT and depreciation when not reported.
     def ebitda
-      @ebitda || Decimal.sum(operating_income, depreciation_amortization)
+      @ebitda || Decimal.sum(ebit, depreciation_amortization)
     end
 
     # Diluted earnings per share, derived from net income and diluted shares

data/lib/fundamentalista/providers/edgar/tags.rb

@@ -21,9 +21,10 @@ module Fundamentalista
           gross_profit: %w[GrossProfit],
           sga: ['SellingGeneralAndAdministrativeExpense', %w[GeneralAndAdministrativeExpense SellingAndMarketingExpense]],
           operating_income: %w[OperatingIncomeLoss ProfitLossFromOperatingActivities],
-          interest_expense: %w[InterestExpense InterestExpenseNonoperating InterestExpenseDebt FinanceCosts
-                               InterestExpenseOperating InterestAndDebtExpense InterestExpenseLongTermDebt
-                               InterestExpenseBorrowings InterestPaidNet],
+          interest_expense: ['InterestExpense', 'InterestExpenseNonoperating',
+                             %w[InterestExpenseDebt FinanceLeaseInterestExpense],
+                             'FinanceCosts', 'InterestExpenseOperating', 'InterestAndDebtExpense', 'InterestExpenseLongTermDebt',
+                             'InterestExpenseBorrowings', 'InterestPaidNet'],
           income_before_tax: %w[
             IncomeLossFromContinuingOperationsBeforeIncomeTaxesExtraordinaryItemsNoncontrollingInterest
             IncomeLossFromContinuingOperationsBeforeIncomeTaxesMinorityInterestAndIncomeLossFromEquityMethodInvestments
@@ -44,8 +45,8 @@ module Fundamentalista
           cash: %w[CashAndCashEquivalentsAtCarryingValue CashCashEquivalentsRestrictedCashAndRestrictedCashEquivalents
                    CashAndCashEquivalents],
           short_term_investments: %w[ShortTermInvestments MarketableSecuritiesCurrent
-                                     AvailableForSaleSecuritiesDebtSecuritiesCurrent OtherCurrentFinancialAssets
-                                     CurrentFinancialAssetsAtAmortisedCost],
+                                     AvailableForSaleSecuritiesDebtSecuritiesCurrent OtherShortTermInvestments
+                                     OtherCurrentFinancialAssets CurrentFinancialAssetsAtAmortisedCost],
           receivables: %w[AccountsReceivableNetCurrent ReceivablesNetCurrent CurrentTradeReceivables
                           TradeAndOtherCurrentReceivables AccountsNotesAndLoansReceivableNetCurrent AccountsReceivableNet],
           inventory: %w[InventoryNet Inventories],
@@ -60,14 +61,15 @@ module Fundamentalista
           current_liabilities: %w[LiabilitiesCurrent CurrentLiabilities],
           total_liabilities: %w[Liabilities],
           short_term_debt: ['DebtCurrent',
-                            %w[LongTermDebtCurrent CommercialPaper ShortTermBorrowings OtherShortTermBorrowings
-                               ConvertibleDebtCurrent NotesPayableCurrent],
+                            %w[LongTermDebtCurrent LongTermDebtAndCapitalLeaseObligationsCurrent CommercialPaper
+                               ShortTermBorrowings OtherShortTermBorrowings ConvertibleDebtCurrent NotesPayableCurrent],
                             'ShorttermBorrowings', 'CurrentBorrowings'],
           long_term_debt: %w[LongTermDebtNoncurrent LongTermDebtAndCapitalLeaseObligations LongTermDebt LongTermNotesPayable
                              LongTermNotesAndLoans LongtermBorrowings NoncurrentBorrowings
                              LongTermDebtAndCapitalLeaseObligationsIncludingCurrentMaturities],
           equity: %w[StockholdersEquity StockholdersEquityIncludingPortionAttributableToNoncontrollingInterest
                      EquityAttributableToOwnersOfParent Equity],
+          minority_interest: %w[MinorityInterest NoncontrollingInterests],
           retained_earnings: %w[RetainedEarningsAccumulatedDeficit RetainedEarnings],
           shares_outstanding: %w[CommonStockSharesOutstanding NumberOfSharesOutstanding NumberOfSharesIssued
                                  NumberOfSharesIssuedAndFullyPaid]

data/lib/fundamentalista/providers/fmp.rb

@@ -60,7 +60,7 @@ module Fundamentalista
         IncomeStatement.new(
           revenue: row['revenue'], cost_of_revenue: row['costOfRevenue'], gross_profit: row['grossProfit'],
           sga: row['sellingGeneralAndAdministrativeExpenses'],
-          operating_income: row['operatingIncome'], interest_expense: row['interestExpense'],
+          operating_income: row['operatingIncome'], ebit: row['ebit'], interest_expense: row['interestExpense'],
           income_before_tax: row['incomeBeforeTax'], income_tax: row['incomeTaxExpense'],
           net_income: row['netIncome'], depreciation_amortization: row['depreciationAndAmortization'],
           ebitda: row['ebitda'], eps_diluted: row['epsDiluted'], diluted_shares: row['weightedAverageShsOutDil']
@@ -75,7 +75,7 @@ module Fundamentalista
           payables: row['accountPayables'],
           current_liabilities: row['totalCurrentLiabilities'], total_liabilities: row['totalLiabilities'],
           short_term_debt: row['shortTermDebt'], long_term_debt: row['longTermDebt'],
-          total_debt: row['totalDebt'], equity: row['totalStockholdersEquity'],
+          total_debt: row['totalDebt'], equity: row['totalStockholdersEquity'], minority_interest: row['minorityInterest'],
           retained_earnings: row['retainedEarnings']
         )
       end

data/lib/fundamentalista/ratios.rb

@@ -65,10 +65,10 @@ module Fundamentalista
       Decimal.ratio(nopat, Decimal.sum(average(:total_debt), average(:equity)))
     end
 
-    # Greenblatt's return on capital: operating income over net working
-    # capital plus net fixed assets.
+    # Greenblatt's return on capital: EBIT over net working capital plus net
+    # fixed assets.
     def return_on_capital
-      Decimal.ratio(income.operating_income, Decimal.sum(average(:net_working_capital), average(:ppe)))
+      Decimal.ratio(income.ebit, Decimal.sum(average(:net_working_capital), average(:ppe)))
     end
 
     def current_ratio
@@ -96,9 +96,9 @@ module Fundamentalista
       Decimal.ratio(balance.net_debt, income.ebitda)
     end
 
-    # Operating income over interest expense.
+    # EBIT over interest expense.
     def interest_coverage
-      Decimal.ratio(income.operating_income, income.interest_expense)
+      Decimal.ratio(income.ebit, income.interest_expense)
     end
 
     # Average total assets over average equity, the leverage leg of DuPont.

data/lib/fundamentalista/scores/altman_z.rb

@@ -59,7 +59,7 @@ module Fundamentalista
         [
           Decimal.ratio(balance.working_capital, assets),
           Decimal.ratio(balance.retained_earnings, assets),
-          Decimal.ratio(period.income.operating_income, assets),
+          Decimal.ratio(period.income.ebit, assets),
           Decimal.ratio(market_cap, balance.total_liabilities),
           Decimal.ratio(period.income.revenue, assets)
         ]

data/lib/fundamentalista/valuation.rb

@@ -69,9 +69,9 @@ module Fundamentalista
       Decimal.ratio(enterprise_value, income.ebitda)
     end
 
-    # Enterprise value over operating income.
+    # Enterprise value over EBIT.
     def ev_to_ebit
-      Decimal.ratio(enterprise_value, income.operating_income)
+      Decimal.ratio(enterprise_value, income.ebit)
     end
 
     def ev_to_sales
@@ -91,10 +91,10 @@ module Fundamentalista
       Decimal.ratio(income.eps_diluted, price)
     end
 
-    # Greenblatt's earnings yield: operating income over enterprise value.
-    # Rank it with Ratios#return_on_capital for the magic formula.
+    # Greenblatt's earnings yield: EBIT over enterprise value. Rank it with
+    # Ratios#return_on_capital for the magic formula.
     def ebit_yield
-      Decimal.ratio(income.operating_income, enterprise_value)
+      Decimal.ratio(income.ebit, enterprise_value)
     end
 
     def fcf_yield

data/lib/fundamentalista/version.rb

@@ -2,5 +2,5 @@
 
 module Fundamentalista
   # The version of the fundamentalista gem, as a string.
-  VERSION = '0.1.0'
+  VERSION = '0.1.1'
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: fundamentalista
 version: !ruby/object:Gem::Version
-  version: 0.1.0
+  version: 0.1.1
 platform: ruby
 authors:
 - Bruno Costanzo