Work in progress repository that will utilize r and python to analyze securities for potential investment opportunities.

Goals

Watchlist.txt

• Tracking interesting companies that may be worth owning
• Will be used to run fundamental and technical analysis functions

SecularTrendIdeas.md

• Brainstorming highest areas of growth and disruption in the marketplace
• Will be used to identify best sectors for portfolio exposure

Fundamental Analysis

• Pull SPX tickers from Wikipedia
• Pull financial statements for past 3 years
• Investigate if longer term financials can be imported (5 or 10 years)
• Calculate leading sectors over 1, 3, 12, 36, 60, 120, 240 months (alpha)

Financial Metrics

• Asset Ratios
• Earnings / Share (EPS)
• Earnings / Share Growth
• Book Value / Share (BVPS)
• Cash Flow
  • FCF/Sales
  • FCF/Share
  • Operating CF/Net Income
• Capital Intensity
  • CapEx/Sales
  • CapEx/Net Income
• Current Ratio
• Growth
  • Momentum
    • EPS growth
    • Margins growth
    • Revenue growth
  • Stability
    • BVPS trend
  • Quality
    • EPS growth vs. Revenue growth
    • Leverage
• Liability Ratios
• Margins
  • Gross Margin
  • Net Margin
• Momentum
  • Upward Trends in the Following
    • Margins
    • ROIC
    • Liquidity (Current ratio, quick ratio, & cash ratio)
  • Downward Trends in the Following
    • Debt Loads (Debt/Equity)
    • Cash Conversion Cycle
    • Payout Ratio
    • Inventory / Sales
• Working Capital
• Turnover Ratio
• Price / Earni
• Price / Earnings / Growth Ratio (PEG)
• Dividend Yield
• Dividend Payout Ratio
• Cash Conversion Cycle (CCC)
• Cash Return on Invested Capital (CROIC)
• Return on Assets (ROA)
• Return on Tangible Assets (ROTA)
  • Net Income / ((Total Assets[0] - Intangible Assets[0] + Total Assets[1] - Intangible Assets[1])/2)
• Return on Invested Capital (ROIC)
• Return on Equity (ROE / Formula for DuPont Model)
  • Net income / Revenue (Net Profit Margin)
  • *(Sales / Average Total Assets (Asset Turnover))
  • *(Average Total Assets / Shareholder's Equity (Financial Leverage))

Peer Analysis

• Relative Strength of the Following
  • Debt Load
  • Growth
  • Margins
  • ROIC

Target Share Price

Formula for Owner Earnings (Ten Cap Price)

Net Income
+Net Change: Accounts Receivable
+Net Change: Accounts Payable
+Income Tax
+Maintenance Capital Expenditures
___
Owner Earnings X 10

Formula for Payback Time (Free Cash Flow / Payback Time)

Net Cash Provided by Operating Activities
+Purchase of Property and Equipment
+Any Other Capital Expenditures for Maintenance and Growth
___
Free Cash Flow X (1.16)*8

Discounted Free Cash Flow * Margin of Safety

Greenblatt Formula

• Recursively scan for top companies based on Greenblatt's method. Exclude financial and utility stocks.
  • Calculate company's earnings yield (EBIT / Enterprise Value)
  • Calculate company's return on capital (EBIT/(net fixed assets + working capital))

Technical Analysis

• Calculate daily, weekly, and monthly moving averages (50, 100, & 200)
  • Perform regression tests
  • Alert when securities are close to 200 week moving average
  • Calculate moving volume-weighted average price (MVWAP)
• Calculate for outperformance (alpha) against benchmarks over 3, 12, 36, 120, and 240-month timeframes.
  • Ticker/SPX
  • Ticker/Industry ETF
• Calculate RSI for weekly and monthly timeframes
  • Find securities with upward trends over extended timeframes
  • Alert when securities are overbought or oversold

Options Analysis

• Calculate greeks for security options contracts
• Calculate IV for securities