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Questions tagged [fundamentals]

The tag has no usage guidance.

0
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1answer
35 views

Keep Saved IB Historical Data Accurately Adjusted

How have you dealt with adjusting saved historical data, specifically using the IB API? As far as I can tell, currently, I need to perform the calculations described on Quandl's blog. I haven't ...
-1
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0answers
32 views

Historical prices and fundamentals for US market with the right to re-publish

I would like to build analytical web-site similar to Yahoo Finance, but can't find the data provider with the reasonable prices. Do you know if there's free datasets or costing <1000$/year ...
1
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1answer
70 views

selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
1
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1answer
86 views

Crowding in factor investing; Solid metrics

I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing. I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...
0
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0answers
15 views

For which companies reported/consensus revenue matters?

Is there a good heuristics to figure out the answer to this question? I.e. I don't want to regress revenue reported on subsequent returns.
2
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0answers
50 views

Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)

we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin). Our goal is to build a monthly updating database showing the holdings of the top value-...
0
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2answers
120 views

Combining Quantitative data with fundamental data

These day, there is relatively new phenomena of combining quantitative data and fundamental data called 'Quantamentals'. In this regards, I was wondering how to combine Four Essential Types of ...
0
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0answers
63 views

What's the use of statistics and models if you can simply run backtests/simulations? [duplicate]

Suppose you come from the traditional investing world, i.e. have experience with fundamental security analysis and financial modeling. You know some basics of probability and statistics from your ...
1
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2answers
100 views

The two fundamental theorems of Finance, as they relate to the martingale measure

I RECENTLY read this in an article by Battig and Jarrow, "the first fundamental theorem relates the notion of no arbitrage to the existence of an equivalent martingale measure, while the second ...
0
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1answer
64 views

How to calculate Chande Momentum Oscillator for FX

I am trying to calculate a momentum oscillator for the EUR/USD pair and am confused. A formula I read referenced the sum of previous up days. What is a "day" considered in Forex?
1
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1answer
64 views

What information is significant in a company's 10Q?

From a quantitative point of view which information is significant, what can be ignored?
2
votes
1answer
475 views

Getting international fundamental stock market data

I am thinking of building some custom stock screening tool. For this I need fundamental data (parts of balance sheet, earnings statements, cash flow statement if available, probably some minimal ...
1
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1answer
75 views

Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
-7
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1answer
37 views

How to Calculate Sales From Other Key Figures?

Regarding https://www.quandl.com/data/SF1-Core-US-Fundamentals-Data/documentation/indicators I would like to get the sales of a company retrieved. How can this be determined?
3
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2answers
70 views

How to correctly calculate P/E ratio of Singapore stocks?

I'm calculating the P/E ratio of some International stocks and found a problem. Please look at this paticular stock:Thai Beverage Public Company Limited The p/e calculated by yahoo finance is 31.33. ...
1
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1answer
37 views

Public Company Competitors?

Where can I input a stock ticker and get back a list of the top 3-5 competitors of the stock? E.g. if I input F, I get GM, etc. It would be great if this could also give me data for delisted stocks.
1
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1answer
213 views

Backtesting of value and technical analysis

I am an economic last year student trying to figure out how to backtest my model. It consist on several requirements imposed to the stocks before buying them and a very simple exit strategy. I ...
-1
votes
1answer
512 views

Where to find historical fundamental data of S&P constituents in Thomson Reuters database?

I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
0
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1answer
159 views

Efficient way to short Tesla

I believe that at 45B$ Tesla is massively overpriced. The thing is that I don't know how long it will take it to trade on fundamentals, maybe a couple of years after launching model 3. So I want to ...
2
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3answers
184 views

What is the better representative of a P-B ratio for a sector?

What is a better representative of a P-B ratio for a sector, for using it as a factor to predict future returns on that sector? The market weighted average of P-B for all names in that index, or ...
3
votes
1answer
156 views

Do high dividend yield stocks generally outperform the market?

The only paper I could find is the following: Dividend Yield Strategy in the British Stock Market 1994-2007 by Brzeszczynski et al. (2008) It states that a portfolio of stocks with high dividend ...
-1
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1answer
85 views

Comparison of quality across different fundamentals data sources?

There are a variety of different mechanisms and rules used by each fundamentals data provider to standardize and report company fundamentals. For example, the transformation of reported statements to ...
-1
votes
1answer
41 views

How does a small recovery in oil prices equate to risk appetite? [closed]

I was reading an article yesterday that the Aussie/Dollar pair fell due to a sharp fall in oil prices (38.20 down to 36.70) which the market sentiment considers as "Risk off", and as oil prices ...
2
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2answers
2k views

Correct Alphabet (Google) market cap calculation?

Given the definition: ...
6
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2answers
3k views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
1
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3answers
309 views

How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?

I have a basic understanding of the principles behind Geometric Brownian Motion and how it can be used to model stock prices, however I am confused as to how it is used in practice. In particular, how ...
0
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2answers
62 views

Definitive way of figuring out companies with multiple classes of stocks

Is there a definitive way of mapping tickers to companies for companies with multiple listed tickers? For example, GOOG and GOOGL are both Google (or now Alphabet), or BRK.A and BRK.B are both ...
2
votes
1answer
103 views

Exactly what data is available in XBRL, and how far back does it go?

What data is available from the SEC in XBRL format? Is it just 10-Qs and 10-Ks, or other filings as well? When did XBRL become mandatory for all filers (or is it still not?)
1
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0answers
56 views

What are the best sources for fundamental financial data? (not yahoo or google, neiter SEC counts as good) [duplicate]

I'm looking for a source for fundamental financial data, where I can download financial statements into excel. The source should provide the exact figures shown in the annual reports (not standardized)...
2
votes
2answers
722 views

Automated Import of 10-Q and 10-K Statements in XBRL Format from SEC.gov

I want to read financial statements in XBRL Format from the SEC site automatically. For instance the 10-Q File from Apple: http://www.sec.gov/Archives/edgar/data/320193/000119312515259935/aapl-...
1
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2answers
686 views

Original Fundamental Accounting Data (Not Ratios)

Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
4
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3answers
4k views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...
3
votes
4answers
630 views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
3
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1answer
387 views

Applying Time Delay Neural Network to financial events

I have an IT background and I would like to use data from a forex calendar like this one to predict prices. The problem is that calendar news impacts can last for days or weeks or even can effect ...
3
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2answers
5k views

Proof of Hamada's Formula (Relationship between levered and unlevered beta)

Hamada's formula is presented as follows: $$\beta_{U}=\left[\frac{1}{1+\frac{D}{E}(1-\tau)}\right]\beta_{L},$$ where $\beta_{U}$ and $\beta_{L}$ are the unlevered and levered betas of a firm ...
5
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1answer
2k views

Backtesting with fundamentals

Recently I've read some books about quantative approach to fundamental investing: - What works on Wall Street - James O'Shaughnessy - Quantitative Value - Wesley Gray, Tobias Carlisle - Quantitative ...
2
votes
1answer
218 views

Best practice approach for calculating the PE-ratio

I am trying to calculate the historical PE ratios of a stock, but which date should I use to get the stock price in calculating the PE ratio? My current approach is to use the stock price of a day ...
-3
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1answer
158 views

How can foreign investment have a negative figure?

Just looking at http://www.tradingeconomics.com/japan/foreign-bond-investment Wondering how can foreign bond investment be negative? You can have 0 investment, you can have positive investment, but ...
1
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1answer
247 views

Quantitative finance mentality for success [closed]

I have a strong statistical background (particularly in Time Series analysis) and previously have spent a lot of time modelling sports, Baseball in particular. After reading "Analysis of Financial ...
3
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2answers
347 views

Black-Scholes and Fundamentals

So basically $dS_t=\mu S_tdt+\sigma S_tdWt$ and $\mu=r-\frac12\sigma^2$ I have just been thinking about this later equation. This is very interesting because it ties together risk-free rate, ...
0
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2answers
141 views

Intangible assets as underlying for Futures contracts

How is it possible for a Futures contract to have an intangible underlying? For example, to my knowledge, there exist Futures that have interest rates as their underlying, come delivery date, how is ...
2
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0answers
191 views

Can a higher P/E ratio be beneficial under certain circumstances? [closed]

I am new to investing. I understand that the P/E ratio along with other data can be used to determine whether a stock may or may not be undervalued. Are there situations where a HIGH P/E is actually ...
4
votes
1answer
775 views

Few questions on Binomial-Lattice Option Valuation

I have just started applying Binomial-Lattice, however I am yet to fully understand few things. My questions are: What is the concept of working backward (left side) from the values in terminal (...
8
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4answers
2k views

Free/cheap source of structured historical quarterly filings?

What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...