JerBouma/FundamentalAnalysis

Features

• Financial Portfolio Management Systems - Provides a comprehensive system to track financial assets, calculate performance, and manage asset allocation.
• Financial Computation Libraries - Provides a high-performance library for computing financial ratios, valuation models, and corporate health metrics.
• Fundamental Equity Analysis - Analyzes corporate financial statements and valuations to determine intrinsic business value.
• Historical Price Data Fetchers - Retrieves historical time-series price data and handles currency conversions for portfolio alignment.
• Growth Rate Analytics - Computes the compound annual growth rate (CAGR) across multiple timeframes for investment analysis.
• Liquidity Metrics - Computes current, quick, and cash ratios to assess a company's short-term solvency and liquidity.
• Profitability Analytics - Computes profitability ratios including ROA, ROE, and ROIC to evaluate corporate earning capacity.
• Solvency Metrics - Calculates debt-to-equity and interest coverage ratios to assess long-term financial stability.
• Position-Level Overview Calculators - Calculates current values, invested weights, and cumulative returns for individual portfolio positions.
• Real-Time Market Prices - Provides real-time stock pricing, daily highs and lows, trading volume, and P/E ratios.
• Transaction Accounting - Determines trade profit and loss using standard accounting methods such as FIFO and LIFO.
• Financial Statement Retrievers - Provides utilities for fetching raw balance sheets, income statements, and cash flow reports from corporate sources.
• Intraday Price Data Fetchers - Fetches high-frequency intraday price and volume data at granular 1-minute or 1-hour intervals.
• Historical Trade Data Retrievers - Retrieves historical price, volume, and volatility data across various time intervals for asset performance analysis.
• Financial Performance Aggregations - Processes price and transaction time-series to compute cumulative and risk-adjusted portfolio performance metrics.
• Asset Price Path Simulators - Generates binomial trees of possible future stock prices based on volatility and risk-free rates.
• Asset Return Estimation - Estimates required rates of return for assets using the Capital Asset Pricing Model (CAPM).
• Black-Scholes Models - Estimates theoretical option values and Greeks using Black-Scholes mathematical frameworks.
• Cost of Capital Analysis - Estimates the Weighted Average Cost of Capital by weighting corporate equity and debt costs.
• Intrinsic Valuations - Provides quantitative models for determining the fundamental intrinsic value of assets using financial data.
• Valuation Frameworks - Estimates intrinsic value and risk sensitivities using standardized frameworks like Black-Scholes and Discounted Cash Flow.
• Excess Return Metrics - Measures Alpha and Jensen's Alpha to determine investment outperformance relative to expected returns.
• Financial Strength Scoring - Implements the Piotroski Score to quantify corporate financial health based on fundamental accounting criteria.
• Financial Ratio Analysis - Computes a comprehensive set of financial ratios across efficiency, liquidity, profitability, solvency, and valuation categories.
• Custom Formula Evaluators - Computes user-defined financial ratios and metrics using custom mathematical formulas and operator dictionaries.
• Fixed Income Analytics - Calculates bond prices, yields to maturity, and duration for debt instruments.
• Return on Equity Decompositions - Decomposes Return on Equity into profit margin, asset turnover, and financial leverage via DuPont analysis.
• Risk-Adjusted Performance Metrics - Computes risk-adjusted metrics including the Sharpe, Sortino, and Treynor ratios.
• Macroeconomic Data Retrieval - Retrieves and analyzes global economic indicators such as GDP and inflation from market data providers.
• Macroeconomic Indicator Analysis - Processes and interprets global economic indicators to analyze the broader market environment.
• Macroeconomic Indicator Retrievals - Fetches global macroeconomic indicators including GDP, CPI, and unemployment rates for multiple countries.
• Option Pricing Models - Estimates the value of European and American options using binomial tree price paths.
• Portfolio Performance Metrics - Evaluates portfolio effectiveness using alpha, beta, volatility, and total return metrics.
• Portfolio Return Computation - Tracks asset transactions to calculate risk-adjusted returns, Alpha, Beta, and Value at Risk.
• Quantitative Finance & Trading - Implements mathematical frameworks for pricing derivatives and bonds using Black-Scholes and Binomial trees.
• Technical Analysis - Identifies price trends and patterns in financial data using mathematical and statistical methods.
• Portfolio Risk Metrics - Quantifies portfolio risk through Value at Risk, Conditional Value at Risk, and maximum drawdown.
• Technical Indicator Engines - Provides a functional engine for computing momentum, trend, and volatility indicators from historical price time-series.
• Portfolio Tracking Error Analysis - Calculates tracking error and information ratios to quantify portfolio deviation from a target benchmark.
• Bankruptcy Prediction Models - Computes the Altman Z-Score using financial ratios to estimate the likelihood of corporate bankruptcy.
• Fama-French Factor Exposures - Analyzes asset performance by calculating exposures to Fama-French factors including size, value, and profitability.
• Analyst Insights - Fetches professional financial estimates for future revenue, EBITDA, net income, and earnings per share.
• Fiscal Data Retrievals - Fetches government debt, revenue, expenditure, and deficit data across multiple countries.
• Financial Performance Reports - Generates periodic performance reports for assets and transactions across various time intervals.
• Technical Indicators - Generates a comprehensive suite of momentum, trend, volatility, and breadth indicators from price data.
• Corporate Metadata Retrievers - Obtains core corporate metadata including market capitalization, industry sector, and executive leadership.
• Corporate Revenue Analysis - Breaks down company revenue by regional markets such as the Americas, Europe, and Asia.
• Exchange Rate Datasets - Obtains historical FX rate time-series to enable currency conversion for financial statements.
• Dividend Trackers - Retrieves dividend calendars and payment histories, including record dates and adjusted amounts, for equities.
• Earnings Calendar Retrievers - Retrieves scheduled and historical earnings announcement dates with estimated and actual EPS and revenue.
• Enterprise Value Decompositions - Decomposes total enterprise value into market capitalization, debt, preferred equity, and cash equivalents.
• Growth Opportunity Valuations - Quantifies the present value of future growth opportunities by analyzing the gap between price and discounted earnings.
• Housing Market Indicators - Collects national house price indices and price-to-rent ratios for macroeconomic analysis.
• Market Mover Trackers - Identifies the biggest gainers, biggest losers, and most active stocks for the current trading session.
• Derivative Pricing Models - Calculates derivative prices and payoffs for fixed income instruments using Black and Bachelier mathematical models.
• Shares Outstanding Trackers - Provides data on shares available for trading and total outstanding shares for companies.
• Benchmark Data Collectors - Gathers and aligns historical benchmark data with portfolio dates to compare investment performance against industry standards.
• Discounted Cash Flow Valuations - Estimates intrinsic business value by discounting future free cash flows using DCF and Gordon Growth models.
• Derivative Option Chains - Extracts call and put option chain data, including strike prices and implied volatility, from external sources.
• Greeks Calculators - Calculates option risk sensitivities, including Delta, Gamma, Theta, and Vega, using Black-Scholes models.
• Instrument Identifier Mapping - Maps company names, ISINs, and sectors to unique ticker symbols for consistent financial data retrieval.
• Investment Data Retrievals - Fetches macroeconomic data on total household consumption and business investment levels.
• Market Data Providers - Provides interfaces for the standardized ingestion of historical and real-time market data from third-party providers.
• Bond Indices - Retrieves market data for corporate bond indices, including yields, spreads, and total returns.
• Fixed Rate Bond Pricing - Determines the fair value of bonds by calculating the present value of future cash flows.
• Market Data Aggregators - Standardizes and merges heterogeneous financial data streams from multiple third-party providers into a unified stream.
• Ticker Metadata Retrievers - Retrieves technical metadata for tickers, including currency, exchange names, and timezones.
• Financial Asset Metadata Retrievers - Retrieves detailed financial instrument information including identifiers, sector classifications, and exchange data.
• Binomial Lattice Models - Implements binomial lattice models to estimate the value of American and European options through price path simulation.
• Bond Yield Calculators - Calculates the internal rate of return for bonds that equates present value of cash flows to market price.
• Tail Risk Calculators - Estimates expected loss in the worst-case scenarios when Value at Risk thresholds are exceeded.
• Value at Risk Calculators - Quantifies the maximum potential loss over a specified time horizon using historical return distributions.
• Currency and Index Retrievers - Fetches currency exchange rates and share price indices relative to a base currency.
• Drawdown Metrics - Measures the largest historical peak-to-trough decline for assets or portfolios over a specified period.
• Economic Output Calculations - Calculates national economic output, including Gross Domestic Product and inflation adjustments.
• Custom Ratio Builders - Allows the creation of bespoke financial indicators using mathematical operators and raw financial data fields.
• Efficiency Ratios - Computes asset turnover and cash conversion cycles to measure how companies utilize assets to generate revenue.
• Bond Duration Calculations - Estimates bond price sensitivity to interest rate changes using Macaulay, Modified, Effective, and Dollar duration.
• Option Volatility Analysis - Determines market expected future volatility by minimizing the difference between theoretical and actual option prices.
• GARCH Volatility Forecasting - Implements GARCH mathematical models to predict future variance and volatility clusters in financial returns.
• Asset Volatility Metrics - Calculates Sharpe ratio and maximum drawdown to assess asset volatility and return profiles.
• Market Performance Snapshots - Tracks and reports performance snapshots across various market sectors and industry classifications.
• Economic Sentiment Indices - Retrieves confidence indices for consumers and businesses to signal business cycle turning points.
• Return Distribution Analyses - Implements statistical analysis of asset returns, specifically calculating skewness and kurtosis to evaluate distribution asymmetry and outliers.
• Downside Risk Quantification - Determines the upper bound for Value at Risk using the Chernoff inequality for downside risk quantification.
• Portfolio Risk Metrics - Computes Value at Risk and Conditional Value at Risk to quantify potential portfolio losses.
• Holdings Analysis - Imports holdings from files to track PnL and apply time-weighted risk metrics.
• Systematic Risk Calculators - Calculates Beta and Alpha to measure systematic risk and benchmark divergence.
• Socioeconomic Data Retrievals - Extracts population statistics, income inequality indices, and poverty rates for economic analysis.
• Treasury Yield Data Retrieval - Retrieves US Treasury rates and yield curves across maturities from 1 month to 30 years.
• Central Bank Rate Retrieval - Fetches key policy interest rates from central banking authorities like the ECB and Federal Reserve.
• Data Sources - Package for collecting fundamental company data.
• Data Storage and Sources - Package for collecting company financial statements and ratios.
• Market Data Sources - Package for collecting fundamental company financial data.

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