/// <summary>
/// Calculate a metric given a financial statement.
/// </summary>
/// <param name="statement"></param>
/// <returns></returns>
public FinancialMetric CalculateMetric(FinancialStatement statement)
{
FinancialMetric metric = new FinancialMetric
{
Source = statement.Source,
Ticker = statement.Ticker,
StartDate = statement.StartDate,
EndDate = statement.EndDate
};
bool quarterly = statement.IsQuarterly;
double divisor = statement.IsQuarterly ? (statement.NumQuarters) : 4;
// caclulate quarterly nets and normalize for calcs
metric.NetIncome = quarterly ? statement.IncomeStatement.NetIncome * 4 : statement.IncomeStatement.NetIncome;
metric.CashFromOperations = (statement.CashFlow.CashFromOperatingActivities / divisor) * 4;
metric.CapitalExpenditures = (statement.CashFlow.CapitalExpenditures / divisor) * 4;
metric.Revenue = quarterly ? statement.IncomeStatement.TotalRevenue * 4 : statement.IncomeStatement.TotalRevenue;
metric.FreeCashFlow = FinanceUtility.FreeCashFlow(metric.CashFromOperations, metric.CapitalExpenditures).Normalize();
metric.CurrentReturnOnInvestmentCapital = FinanceUtility.CurrentReturnOnInvestmentCapital(metric.FreeCashFlow, statement.BalanceSheet.TotalEquity, statement.BalanceSheet.TotalLiabilities, statement.BalanceSheet.TotalCurrentLiabilities).Normalize();
metric.ReceivablesPercentOfSales = FinanceUtility.ReceivablesPercentOfSales(metric.Revenue, statement.BalanceSheet.TotalReceivables).Normalize();
metric.CurrentRatio = FinanceUtility.CurrentRatio(statement.BalanceSheet.TotalCurrentAssets, statement.BalanceSheet.TotalCurrentLiabilities).Normalize();
metric.PlantPropertyValue = FinanceUtility.PlantPropertyValue(statement.BalanceSheet.PropertyPlantEquipment, statement.BalanceSheet.Depreciation).Normalize();
metric.GoodwillPercentAssets = FinanceUtility.GoodwillPercentAssets(statement.BalanceSheet.Goodwill, statement.BalanceSheet.TotalAssets).Normalize();
metric.IntangiblesPercentAssets = FinanceUtility.IntangiblePercentAssets(statement.BalanceSheet.Intangibles, statement.BalanceSheet.TotalAssets).Normalize();
metric.ReturnOnAssets = FinanceUtility.ReturnOnAssets(metric.NetIncome, statement.BalanceSheet.TotalAssets).Normalize();
metric.LiabilityToEquity = (statement.BalanceSheet.TotalLiabilities / statement.BalanceSheet.TotalEquity).Normalize();
metric.DebtToEquity = (statement.BalanceSheet.TotalDebt / statement.BalanceSheet.TotalEquity).Normalize();
metric.ReturnOnEquity = (statement.IncomeStatement.NetIncome / statement.BalanceSheet.TotalEquity).Normalize();
metric.TangibleBookValue = statement.BalanceSheet.TotalEquity - statement.BalanceSheet.Goodwill - statement.BalanceSheet.Intangibles;
metric.FreeCashFlowPerShare = (metric.FreeCashFlow / statement.BalanceSheet.CommonSharesOutstanding).Normalize();
metric.ResearchAndDevelopmentPercentOfRevenue = (statement.IncomeStatement.ResearchAndDevelopmentExpense / statement.IncomeStatement.TotalRevenue).Normalize();
metric.SalesPercentRevenue = (statement.IncomeStatement.SalesAndMarketingExpenses / statement.IncomeStatement.TotalRevenue).Normalize();
metric.Ncav = (statement.BalanceSheet.TotalCurrentAssets - statement.BalanceSheet.TotalLiabilities).Normalize();
// company value if we liquidated everything today
metric.LiquidationValue = statement.BalanceSheet.TotalAssets - 0.2 * statement.BalanceSheet.PropertyPlantEquipment - 0.5 * statement.BalanceSheet.TotalInventory
- 0.5 * statement.BalanceSheet.AccountsReceivable - statement.BalanceSheet.Intangibles - statement.BalanceSheet.TotalLiabilities;
metric.EarningsPerShareDiluted = statement.IncomeStatement.EarningsPerShareDiluted;
metric.CashAndShortTerm = statement.BalanceSheet.CashAndShortTerm;
metric.CommonSharesOutstanding = statement.BalanceSheet.CommonSharesOutstanding;
metric.TotalDebt = statement.BalanceSheet.TotalDebt;
return metric;
}
private void AddToStatement(FactContext context, string elementName, string value)
{
double result = 0;
if (!double.TryParse(value, out result))
return; // NaN
if (null == context)
return; // no time period
// look up financial statement, if there is one
FinancialStatement statement;
if (_statementCache.ContainsKey(context.HashKey))
statement = _statementCache[context.HashKey];
else
statement = new FinancialStatement {
StartDate = context.StartDate,
EndDate = context.EndDate,
Ticker = this._filing.Ticker,
Source = StatementBase.SourceEdgar
};
// try to set the value on the statement
if (SetStatementValue(statement, elementName, result))
_statementCache[context.HashKey] = statement;
}
private static bool SetStatementValue(FinancialStatement statement, string elementName, double value)
{
try
{
// set the property value if it exists in the cache
if (BalanceSheetElements.ContainsKey(elementName))
{
BalanceSheetElements[elementName].SetValue(statement.BalanceSheet, value);
return true;
}
else if (CashFlowElements.ContainsKey(elementName))
{
CashFlowElements[elementName].SetValue(statement.CashFlow, value);
return true;
}
else if (IncomeStatementElements.ContainsKey(elementName))
{
IncomeStatementElements[elementName].SetValue(statement.IncomeStatement, value);
return true;
}
}
catch (Exception ex)
{
log.Error("Unable to set edgar value from attribute.", ex);
return false;
}
return false;
}