Documentation

Table of Contents

• Data Captured - "What data does FinAgg collect?"
• Data Format - "How is the underlying data processed?"
• Data Integrity - "How reliable is the data?"
• Filtering & Charting - "How is the visualization section designed?"
• Financial Calendar - "What are the limitations to these predictions?"
• Listing/Delistings - "What does this represent?"

Data Captured

The data attempts to collect all public companies trading on public exchanges (NASDAQ, NYSE, AMEX), and tries to exclude undesirable entities such as those that are purely investment funds (ex: “Barclays Bond Fund II”), pre-merged SPACs and other not-quite-a-company entities. This helps present our aggregated metrics as a better representation to US corporate business performance. Additionally, companies that do not release financial data in the form of 10Ks and 10Qs (i.e. non-US filers) are not used in FinAgg.

If a company is delisted from exchanges, the data is NOT retroactively removed from our database. This is done with the belief that this helps prevent survivorship bias when viewing our data from a high-level economic perspective (a bias that overhangs traditional indexes like the Dow Jones Industrial Index or S&P 500).

The financial filing data is updated every Monday-Friday weeknight and is reflected for users before midnight (EST) the same day. The data gathering process utilizes freely available data from the SEC EDGAR filings and exchange tickers.

At this time, the only information utilized by FinAgg are company Income Statements, Cash Flow Statements, Balance Sheets, Shares Outstanding, Sector, Price Data, and listing status.

Data Format

Dates

The data presented by finagg is presented on a last-twelve-month (“LTM”) rolling basis. This helps present data more smoothly and captures a full year's seasonality at all times. Financial ratios and growth metrics are year-over-year (“YoY”) LTM-based.

All periods are presented as calendar year, not financial year. So if a company has their financial year end in June, FinAgg will present this as Q2 not Q4. This is done to establish consistency so users can compare company performance across the same calendar periods.

However, this adjustment introduces some complication. It begs the question “Ok, but what thresholds do you use to discriminate calendar periods?” The answer is FinAgg tries to classify a financial period to a calendar period that captures the bulk of that financial activity. Consider the following image:

An illustration showing how fiscal period-end gets bucketed into calendar period-end

So to be more explicit:

• Q1 captures financial quarters ending between Feb 16th - May 15th
• Q2 captures financial quarters ending between May 16th - Aug 15th
• Q3 captures financial quarters ending between Aug 16th - Nov 15th
• Q4 captures financial quarters ending between Nov 16th - Feb 15th

The "Current" period

FinAgg provides use of a “Current” period which is the latest data. The Current period is defined as the latest filing data from the last completed calendar quarter, or if not available then from the previous quarter (i.e. late filers). If FinAgg does not have data on a company within the last two calendar quarters, then there is no data available for the current period. Also noteworthy, any metrics using share price or market capitalization (ex: P/E, EV, etc) use the latest trading day's close price instead of a period average.

Other complicated accounting situations

FinAgg is aware that financial reporting can get very complicated. Examples include company's changing their financial period-end dates, successor-predecessor accounting, or amended financial filings. This can cause all sorts of disruptions to continuity. Rest assured FinAgg takes sophisticated approaches to these types of scenarios!

Lineitem Inferencing

Financial statements can be unusually organized at times (the income statement being notorious in particular). Sometimes very common lineitems are not specified, and consequently, these line items will cause that measure to be left blank. However, sometimes it is possible to "figure out" such values out even if it was not explicitly stated. Rather than leave a value as missing, FinAgg will try to infer these values if possible. For example, sometimes companies do not explicitly state Operating Income, or sometimes pre-revenue companies do not state Revenue, but it can be calculated using the other lineitems available around it. At this time, only Sales and Operating Income are inferred.

Financial Metrics

In addition to the basic lineitem measures taken from the Income Statement, Cash Flow Statement, and Balance Sheets, FinAgg makes all the common financial metrics and ratios that utilize said lineitems from those statements. Below are some core definitions (not an exhaustive list):

Special note: If selecting "Current" period, then metrics using share price data use the latest closing price for calculation. Additionally, if a measure uses count of shares outstanding, then this uses what the company discloses in their filings, not the exchanges. Companies undergoing stock splits/consolidations or large sudden issuances/buybacks may appear distorted until period end when they report the updated shares in their filings

• Adjusted Profit
• The adjusted profit measure tries to normalize profit by adding back any costs or subtracting any gains below the operating line. This is because these items are not considered core to the business or reoccuring. Typically this includes special events like special transaction fees, large write-downs, legal fines, and asset sale gains/losses. Items NOT affected by this adjustment are Tax, Interest Expense, Noncommon shareholder distributions, and Divested operating income.
• EBITDA - This measure takes 4 possible options for calculation based on what conditions are present, ranked below from most preferred to least.
• Method 1 - If D&A and Operating Profit are both available on the Income Statement, EBITDA is LTM Operating Income + D&A.
• Method 2 - If D&A is not available on the Income Statement while Operating Income is available on Income Statement, but D&A is available on the Cash Flow statement, EBITDA is LTM Operating Income + Cash Flow Statement's D&A.
• Method 3 - If D&A and Operating Income aren't available on the Income statement but Net Income is available on Income Statement and D&A is available on the Cash Flow Statement, then EBITDA is LTM Net Income + Interest Expense + Tax Expense - Non-operating Income - Non-controlling Interest - Divested operating income + Cash Flow Statement's D&A.
• Method 4 - If Operating Income is not available on the Income Statement and D&A is not available on either the Income Statement or Cash Flow statement, but Net Income is available on Income Statement, then EBITDA is LTM Net Income + Interest Expense + Tax Expense - Non-operating Income - Non-controlling Interest - Divested operating income
• EBIT
• Method 1 - If Operating Profit is available on the Income Statement, EBIT is LTM Operating Income + Non-operating Income.
• Method 2 - If Net Income is available on Income Statement, EBIT is LTM Net Income + Interest Expense + Tax Expense - Non-controlling interest - Divested operating income
• Free Cash Flow (FCF)
• LTM Operating Cash Flow - Capex
• Discretionary Cash Flow (DCF)
• LTM Operating Cash Flow - Capex - Dividends
• Payout Ratio
• LTM (Dividends + Share Repurchases - Share Issuance) / Net Income
• Debt
• Period-end Short Term + Long Term Debt + Capital Leases
• CFO/Debt Repayment
• LTM Operating Cash Flow / Net Change in Debt
• Cash Ratio
• Period-end Cash / (Short-term liabilities + Short-term debt)
• Current Ratio
• Period-end (Cash + Current Assets) / (Short-term liabilities + Short-term debt)
• Capital
• Period-end Short-Term Debt + Long-Term Debt + Common Equity
• Financial leverage
• LTM Average Assets / Period-end Common Shareholder's Balance Sheet Equity
• Capital/Assets
• (Period-end Short-Term Debt + Long-Term Debt + Common Equity) / LTM Average Assets
• Inventory Turnover
• LTM COGS / LTM Avg. Inventory
• Days on Hand
• 365 days / Inventory Turnover
• Operating ROA
• LTM Operating Income / LTM Avg. Assets
• Return on Assets (ROA)
• LTM Net Income / LTM Avg. Assets
• Return on Equity (ROE)
• LTM Net Income / LTM Avg. Common Equity
• Return on Capital (ROC)
• LTM EBIT / LTM Avg. Common Equity
• CFO/Interest Coverage
• LTM (Operating Cash Flow + Income Statement Interest Expense + Income Statement Income Taxes) / (Income Statement Interest Expense)
• Cash Return on Assets
• LTM Operating Cash Flow / LTM Avg. Total Assets
• Cash Return on Equity
• LTM Operating Cash Flow / LTM Avg. Common Equity
• Price/Earnings
• Avg period share price price / (LTM Net Income / Last reported shares outstanding)
• Price/Sales
• Avg period share price price / (LTM Sales / Last reported shares outstanding)
• Price/Book
• Avg period share price / (LTM Avg. Common Equity / Last reported shares outstanding)
• Price/Assets
• Avg period share price / (LTM Avg. Assets / Last reported shares outstanding)
• Price/Cash
• Last closing share price / (LTM Avg. Cash/ Last reported shares outstanding)
• Enterprise Value (EV)
• (Avg period share price * Last reported shares outstanding)+ Periond-end Cash + Period-end Debt
• Distribution yield
• ( (LTM Dividends + Share Repurchases - Share Issuance) / Last reported shares outstanding) / Avg
period share price
• Market Capitalization
• The average closing share price over the calendar quarter * last reported shares outstanding

Sector classification

Public companies identify themselves by SIC codes on the cover of their financial filings. This is a design scheme produced by the Bureau of Labor Statistics. It is hierarchy based with 4 levels with increasing detail (ex: think like Retail -> Apparel -> Women's clothing -> Women's Shoes).

FinAgg remaps these labels to more desirable categories. The reason being is that some of the SIC's “Divisions” at the first level can be overly broad (ex: “Finance, Insurance, and Real Estate”), while the second level's “Major Groups” can be too granular (ex: “Pipelines, except natural gas”).

FinAgg uses the following remapping scheme:

Details on how FinAgg reassigns company sectors

Data Integrity

The data collection process of external sites means FinAgg is inherently reliant on these sources for website availability, data integrity, and timeliness of updates. While the data very rarely has issues in these regards (i.e. far less than 1% of the total data ingested), sometimes issues do occur. Here are some examples FinAgg has experienced:

• Critical sections of stock exchange data or SEC EDGAR's website may be temporarily down for maintenance, unavailable due to technical bugs after their updates, or their pages aren't properly synchronized.
• The SEC's structured data or original company filings occasionally has errors.
• Erroneous dates written in the filing (ex: "12/31/2029" instead of "12/31/2020")
• Denominations specified at the top of the tables are not actually applied (ex: the header states "units in $ millions" but are in fact represented as $1 units, leading to extremely high value interpretations)
• Directions of line items (ex: cash flow dividends missing the negative sign is being represented as cash inflows, causing misinterpretation of that lineitem, and consequently causes subtotal errors)
• The raw tables do not completely match the information in the original financial filings (i.e. 10Q/10Ks)
• Extremely poor raw table data makes it impossible to format
• The data's text, format, or placement is so irregular that it causes FinAgg's models to either misclassify lineitems or pass over parts or all of a filing entirely (very rare, less than 0.3%).
• Companies that undergo a change in name or ticker symbol may take a few days to be reflected in SEC EDGAR, and as a result FinAgg will be temporarily paused from providing any filing releases that may be occurring (but typically self-corrects within 5 business days).
• Companies that cannot be clearly matched between the stock exchanges to EDGAR's company lookup database cannot be processed by FinAgg
• Companies that do not clearly state their SIC code in their filings (the type of business they are defined as, such as Manufacturing) are not processed by FinAgg (very rare, mostly non-US filers). This is required because FinAgg algorithsm rely on this information to complete various parts of its processing.

FinAgg makes a conscious effort to try to detect anomalies in the data it ingests, investigate the root cause, develop algorithms to correct, and be a nice responsible citizen by notifying the distributors of these issues. However, FinAgg's correction algorithms are probability-based (i.e. while they have been rigorously tested, they are never perfect) and new issues can always emerge and remain present in the data until FinAgg addresses them.

While these issues are not ideal (and could be fixed by an army of data entry analysts), FinAgg's approach to using easily available-data and algorithmic processing is what helps keep this service relatively labor light and free to users.

Financial Calendar

The "Financial Calendar" uses machine learning to make estimated date ranges for upcoming filings expected to be released. This is based on the expected upcoming filing type (i.e. Annual filings are allowed longer deadlines than Quarterly filings by the SEC) and the historic patterns of the individual company's releases (i.e. some habitually are early or late filers).

Of course, this is only a prediction. Accuracy of this model has validated at 79% (which is okay). It is just a guideline for your awareness, so please check the investor relations section of the company's website for announcements of filing releases or earnings calls.

Be aware that earnings calls and press releases are typically the first ways companies disclose financial information to the public (and may be a few days earlier than when the full financial filings are released), so do not treat the financial calendar as guidance to when financial news first breaks out to the public!

Listing/Delisting

This section shows activity of companies being listed or delisted on the stock exchanges.

Technical note, that any companies undergoing a name ticker change will temporarily appear here as “Delisted” until the SEC EDGAR system reflects those updates in their database (a couple of business days usually), after which this section will self-correct and remove the delisting.