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a2b1e2f | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356 357 358 359 360 361 362 363 364 365 366 367 368 369 370 371 372 373 374 375 376 377 378 379 380 381 382 383 384 385 386 387 388 389 390 391 392 393 394 395 396 397 398 399 400 401 402 403 404 405 406 407 408 409 410 411 412 413 414 415 416 417 418 419 420 421 422 423 424 425 426 427 428 429 430 431 432 | """Derived analytics computed from a CompanySnapshot.
The collector's ratio endpoints each return a single trailing-twelve-month
point. The statement endpoints return ten years and twelve quarters. This
module turns the former into the latter: the same ratios as time series,
which is where the analysis actually lives β a level tells you where a
company is, a series tells you which way it is going and how steadily.
Methodology is verified against the provider rather than assumed. Every
formula here reproduces the corresponding endpoint's own TTM figure exactly
for Wipro β ROIC 30.81%, ROE 14.98%, interest coverage 14.03x, net
debt/EBITDA -1.36x, DSO 50.2 days β so the trailing column of each series
agrees with the endpoint it extends.
Two conventions worth stating:
- Returns use PERIOD-END equity and invested capital, not two-point
averages, because that is what the provider's DuPont and
capital-efficiency endpoints do. Matching them matters more than
textbook preference; a report that disagrees with its own source
data is worse than one using a slightly cruder denominator.
- Any ratio with a non-positive or missing denominator returns None,
never a number. Negative equity and negative EBITDA both produce
arithmetically valid but analytically meaningless ratios, and a
typeset PDF lends them false authority.
"""
from dataclasses import dataclass
import logging
from typing import List, Optional
from reporting import fmt
from reporting.snapshot import CompanySnapshot
logger = logging.getLogger(__name__)
DAYS_IN_YEAR: float = 365.0
# Inventory and payable days divide by cost of goods sold. The provider
# supplies raw-material cost only, which approximates COGS for a
# manufacturer but not for a services business β 64% of revenue at
# Reliance against 0.6% at Wipro. Below this share the denominator is too
# small to produce a meaningful day count, so the cycle is withheld.
MIN_RAW_MATERIAL_SHARE_PCT: float = 15.0
def _div_positive(numerator: Optional[float], denominator: Optional[float]) -> Optional[float]:
"""Divides only when the denominator is strictly positive.
Used for ratios whose sign becomes nonsensical against a negative base,
such as net debt to EBITDA when EBITDA is negative.
"""
if numerator is None or denominator is None or denominator <= 0:
return None
return numerator / denominator
@dataclass
class AnnualMetrics:
"""Derived metrics for one fiscal period."""
period: str
# Cost structure, as a percentage of revenue
raw_material_ratio: Optional[float] = None
sga_ratio: Optional[float] = None
depreciation_ratio: Optional[float] = None
ebitda_margin: Optional[float] = None
ebit_margin: Optional[float] = None
pat_margin: Optional[float] = None
effective_tax_rate: Optional[float] = None
# Returns
roe: Optional[float] = None
roce: Optional[float] = None
roic: Optional[float] = None
nopat: Optional[float] = None
invested_capital: Optional[float] = None
# Leverage and coverage
debt_to_equity: Optional[float] = None
net_debt_to_ebitda: Optional[float] = None
interest_coverage: Optional[float] = None
short_term_debt_share: Optional[float] = None
goodwill_to_equity: Optional[float] = None
# Working capital
dso: Optional[float] = None
dio: Optional[float] = None
dpo: Optional[float] = None
cash_conversion_cycle: Optional[float] = None
# Earnings quality
cfo_to_pat: Optional[float] = None
accrual_ratio: Optional[float] = None
fcf_margin: Optional[float] = None
capex_intensity: Optional[float] = None
capex_to_depreciation: Optional[float] = None
retained_fcf: Optional[float] = None
# Per share
shares_cr: Optional[float] = None
eps: Optional[float] = None
dps: Optional[float] = None
payout_pct: Optional[float] = None
book_value_per_share: Optional[float] = None
@dataclass
class RollingPoint:
"""One trailing-four-quarter aggregate."""
label: str
revenue: Optional[float] = None
ebit: Optional[float] = None
pat: Optional[float] = None
@property
def ebit_margin(self) -> Optional[float]:
"""Trailing EBIT margin."""
return fmt.margin(self.ebit, self.revenue)
@property
def pat_margin(self) -> Optional[float]:
"""Trailing PAT margin."""
return fmt.margin(self.pat, self.revenue)
@dataclass
class EnterpriseValue:
"""Enterprise value bridge and the multiples built on it.
The collector exposes P/E, P/B and dividend yield but no enterprise
value and no EV multiple, despite EV/EBITDA being among the most-cited
measures in institutional work. Minority interest is included in the
bridge because the enterprise's earnings are consolidated whole.
"""
market_cap: Optional[float] = None
total_debt: Optional[float] = None
cash: Optional[float] = None
minority_interest: Optional[float] = None
enterprise_value: Optional[float] = None
ev_to_ebitda: Optional[float] = None
ev_to_ebit: Optional[float] = None
ev_to_sales: Optional[float] = None
ev_to_fcf: Optional[float] = None
fcf_yield: Optional[float] = None
earnings_yield: Optional[float] = None
@dataclass
class PerShareBridge:
"""Decomposition of earnings-per-share growth.
EPS can rise because profit rose or because the share count fell, and
those are different qualities of growth. Splitting them is a two-line
calculation that no endpoint provides.
"""
from_period: str = ""
to_period: str = ""
eps_start: Optional[float] = None
eps_end: Optional[float] = None
eps_change: Optional[float] = None
profit_effect: Optional[float] = None
share_count_effect: Optional[float] = None
shares_start: Optional[float] = None
shares_end: Optional[float] = None
shares_retired: Optional[float] = None
share_change_pct: Optional[float] = None
@dataclass
class DerivedAnalytics:
"""Everything this module produces for one company."""
annual: List[AnnualMetrics]
rolling: List[RollingPoint]
enterprise: EnterpriseValue
per_share: PerShareBridge
notes: List[str]
def _annual_metrics(snap: CompanySnapshot) -> List[AnnualMetrics]:
"""Builds the per-year derived series.
Balance-sheet and cash-flow rows are matched to income periods by their
period label rather than by position, because the three statements can
carry different numbers of periods.
"""
balance_by_period = {b.period: b for b in snap.balance}
cash_by_period = {c.period: c for c in snap.cashflow}
prior_balance: Optional[object] = None
out: List[AnnualMetrics] = []
periods = list(snap.years) + ([snap.ttm] if snap.ttm else [])
for income in periods:
# The TTM income row has no balance sheet of its own; the latest
# reported balance sheet is the correct pairing for it.
balance = balance_by_period.get(income.period)
if balance is None and income is snap.ttm and snap.balance:
balance = snap.balance[-1]
cash = cash_by_period.get(income.period)
row = AnnualMetrics(
period=income.period,
raw_material_ratio=income.raw_material_ratio,
sga_ratio=income.sga_ratio,
depreciation_ratio=income.depreciation_ratio,
ebitda_margin=income.ebitda_margin,
ebit_margin=income.ebit_margin,
pat_margin=income.pat_margin,
effective_tax_rate=income.effective_tax_rate,
eps=income.eps,
dps=income.dps,
payout_pct=income.payout_pct,
)
if balance is not None:
row.shares_cr = balance.shares_cr
row.book_value_per_share = balance.book_value_per_share
row.debt_to_equity = balance.debt_to_equity
row.goodwill_to_equity = fmt.pos_margin(
balance.goodwill_intangibles, balance.equity)
row.short_term_debt_share = fmt.pos_margin(
balance.short_term_debt, balance.debt)
row.roe = fmt.pos_margin(income.pat, balance.equity)
if balance.total_assets is not None and balance.current_liabilities is not None:
capital_employed = balance.total_assets - balance.current_liabilities
row.roce = fmt.pos_margin(income.ebit, capital_employed)
tax_rate = income.effective_tax_rate
if income.ebit is not None and tax_rate is not None:
row.nopat = income.ebit * (1.0 - tax_rate / 100.0)
if (balance.equity is not None and balance.debt is not None
and balance.cash is not None):
row.invested_capital = balance.equity + balance.debt - balance.cash
row.roic = fmt.pos_margin(row.nopat, row.invested_capital)
row.net_debt_to_ebitda = _div_positive(balance.net_debt, income.ebitda)
row.interest_coverage = _div_positive(income.ebit, income.interest)
row.dso = _scaled_days(balance.receivables, income.revenue)
if (income.raw_material_ratio is not None
and income.raw_material_ratio >= MIN_RAW_MATERIAL_SHARE_PCT):
row.dio = _scaled_days(balance.inventory, income.raw_materials)
row.dpo = _scaled_days(balance.payables, income.raw_materials)
if row.dso is not None and row.dio is not None and row.dpo is not None:
row.cash_conversion_cycle = row.dso + row.dio - row.dpo
if cash is not None:
row.cfo_to_pat = fmt.pos_margin(cash.cfo, income.pat)
row.fcf_margin = fmt.margin(cash.fcf, income.revenue)
row.capex_intensity = fmt.margin(cash.capex, income.revenue)
row.capex_to_depreciation = _div_positive(cash.capex, income.depreciation)
if cash.fcf is not None and cash.dividends_paid is not None:
row.retained_fcf = cash.fcf - cash.dividends_paid
# Accruals are scaled by average total assets, so the first
# period of the series has no value.
if (income.pat is not None and cash.cfo is not None
and balance is not None and prior_balance is not None
and balance.total_assets is not None
and getattr(prior_balance, "total_assets", None) is not None):
average_assets = (balance.total_assets
+ prior_balance.total_assets) / 2.0
row.accrual_ratio = fmt.pos_margin(income.pat - cash.cfo, average_assets)
out.append(row)
if balance is not None and income is not snap.ttm:
prior_balance = balance
return out
def _scaled_days(stock: Optional[float], flow: Optional[float]) -> Optional[float]:
"""Converts a balance against an annual flow into a day count."""
ratio = _div_positive(stock, flow)
return None if ratio is None else ratio * DAYS_IN_YEAR
def _rolling(snap: CompanySnapshot, window: int = 4) -> List[RollingPoint]:
"""Builds trailing-four-quarter aggregates from the quarterly series.
A single TTM figure is one dot. Rolling the window across the reported
quarters produces a seasonality-free trend line, which is what makes a
quarterly series readable for a business with an uneven year.
"""
quarters = [q for q in snap.quarters if q.revenue is not None]
if len(quarters) < window:
return []
out: List[RollingPoint] = []
for end in range(window - 1, len(quarters)):
block = quarters[end - window + 1:end + 1]
def total(attribute: str) -> Optional[float]:
values = [getattr(q, attribute) for q in block]
if any(v is None for v in values):
return None
return sum(values)
out.append(RollingPoint(
label=fmt.period_label(block[-1].period),
revenue=total("revenue"),
ebit=total("ebit"),
pat=total("pat"),
))
return out
def _enterprise(snap: CompanySnapshot) -> EnterpriseValue:
"""Builds the enterprise-value bridge and its multiples."""
balance = snap.latest_balance
income = snap.ttm or (snap.years[-1] if snap.years else None)
cash_row = snap.cashflow[-1] if snap.cashflow else None
market_cap = snap.market_cap_cr or snap.implied_market_cap_cr
result = EnterpriseValue(market_cap=market_cap)
if balance is None:
return result
result.total_debt = balance.debt
result.cash = balance.cash
result.minority_interest = balance.minority_interest
if market_cap is None or balance.debt is None or balance.cash is None:
return result
result.enterprise_value = (
market_cap + balance.debt - balance.cash + (balance.minority_interest or 0.0)
)
if income is not None:
result.ev_to_ebitda = _div_positive(result.enterprise_value, income.ebitda)
result.ev_to_ebit = _div_positive(result.enterprise_value, income.ebit)
result.ev_to_sales = _div_positive(result.enterprise_value, income.revenue)
result.earnings_yield = fmt.margin(income.pat, market_cap)
if cash_row is not None:
result.ev_to_fcf = _div_positive(result.enterprise_value, cash_row.fcf)
result.fcf_yield = fmt.margin(cash_row.fcf, market_cap)
return result
def _per_share(snap: CompanySnapshot) -> PerShareBridge:
"""Decomposes EPS change into profit and share-count effects."""
years = [y for y in snap.years if y.eps is not None and y.pat is not None]
balance_by_period = {b.period: b for b in snap.balance}
usable = [(y, balance_by_period.get(y.period)) for y in years]
usable = [(y, b) for y, b in usable if b is not None and b.shares_cr]
if len(usable) < 2:
return PerShareBridge()
(start_income, start_balance) = usable[0]
(end_income, end_balance) = usable[-1]
shares_start = start_balance.shares_cr
shares_end = end_balance.shares_cr
bridge = PerShareBridge(
from_period=fmt.period_label(start_income.period),
to_period=fmt.period_label(end_income.period),
eps_start=start_income.eps,
eps_end=end_income.eps,
shares_start=shares_start,
shares_end=shares_end,
)
bridge.eps_change = end_income.eps - start_income.eps
bridge.shares_retired = shares_start - shares_end
bridge.share_change_pct = fmt.margin(shares_end - shares_start, shares_start)
# Holding the share count fixed isolates the profit contribution; the
# residual is what the change in share count did.
bridge.profit_effect = (end_income.pat - start_income.pat) / shares_start
bridge.share_count_effect = bridge.eps_change - bridge.profit_effect
return bridge
def compute(snap: CompanySnapshot) -> DerivedAnalytics:
"""Computes every Tier 1 derived metric for a company.
Args:
snap: Normalised company snapshot.
Returns:
DerivedAnalytics, with `notes` recording any metric family that had
to be withheld so the report can say so rather than omit silently.
"""
notes: List[str] = []
annual = _annual_metrics(snap)
# A leverage table of nothing but em-dashes is noise. Banks report no
# consolidated total-debt line β deposits and borrowings are separate β
# so the whole family collapses and the exhibit is better omitted with
# an explanation than printed empty.
if not any(
v is not None
for row in annual
for v in (row.debt_to_equity, row.net_debt_to_ebitda,
row.interest_coverage, row.short_term_debt_share,
row.goodwill_to_equity)
):
notes.append(
"Leverage and coverage ratios are unavailable: the provider reports "
"no consolidated total-debt line for this company, which is normal "
"for a bank, where deposits and borrowings are disclosed separately."
)
latest = annual[-1] if annual else None
if latest is not None and latest.cash_conversion_cycle is None:
if (latest.raw_material_ratio is not None
and latest.raw_material_ratio < MIN_RAW_MATERIAL_SHARE_PCT):
notes.append(
"Inventory and payable days are withheld: reported raw-material "
"cost is %.1f%% of revenue, too small a base to yield a "
"meaningful day count for a services business."
% latest.raw_material_ratio
)
elif latest.dso is None:
notes.append(
"Working-capital days are unavailable: the provider reports no "
"receivables, inventory or payables for this company."
)
return DerivedAnalytics(
annual=annual,
rolling=_rolling(snap),
enterprise=_enterprise(snap),
per_share=_per_share(snap),
notes=notes,
)
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