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The purpose offinstr package is to create an environment for reproducible financial statement analysis. The package will not cover specific types of analysis (except in examples and package vignettes) but will provide a domain language to write them. With other functions in basic R and existing R packages it anables users to store, share, reuse and reproduce the results of their analitic work.
For now it is offering:
1. Data structure for financial statements
- Reading from data parsed with XBRL package
- Statements in tidy format with accounting taxonomy concepts as columns
- Encapsulates calculation hierarchy of variables
- Default printing in transposed format and with visible hierarchy
2. Statement calculation validation
- Calculation of higher order elements
- Check if calculated values match original values
3. Merge statements
- Merge different periods of equal statement type
- Merge statements of a different type
4. Calculate and reveal
- Custom financial ratio calculations definitions
- Exposing data by rearranging the statament hierarchy
- Time lagged difference
To install finstr from github useinstall_github from devtools package:
library(devtools)install_github("bergant/finstr")
Use XBRL package to parse XBRL files. For example:
library(XBRL)# parse XBRL (Apple 10-K report)xbrl_url2014<-"https://www.sec.gov/Archives/edgar/data/320193/000119312514383437/aapl-20140927.xml"xbrl_url2013<-"https://www.sec.gov/Archives/edgar/data/320193/000119312513416534/aapl-20130928.xml"old_o<- options(stringsAsFactors=FALSE)xbrl_data_aapl2014<- xbrlDoAll(xbrl_url2014)xbrl_data_aapl2013<- xbrlDoAll(xbrl_url2013)options(old_o)
Withxbrl_get_statements convert XBRL data tostatements object.
library(finstr)st2013<- xbrl_get_statements(xbrl_data_aapl2013)st2014<- xbrl_get_statements(xbrl_data_aapl2014)st2014#> Financial statements repository#> From To Rows Columns#> StatementOfIncome 2012-09-29 2014-09-27 3 15#> StatementOfOtherComprehensiveIncome 2012-09-29 2014-09-27 3 14#> StatementOfFinancialPositionClassified 2013-09-28 2014-09-27 2 33#> StatementOfCashFlowsIndirect 2012-09-29 2014-09-27 3 33
Statements object is a list of several statement objects (ballance sheets, income and cash flow statements).
To get a singlestatement usestatements object as a regular R list:
balance_sheet2013<-st2013$StatementOfFinancialPositionClassifiedbalance_sheet2014<-st2014$StatementOfFinancialPositionClassifiedincome2013<-st2013$StatementOfIncomeincome2014<-st2014$StatementOfIncomebalance_sheet2014#> Financial statement: 2 observations from 2013-09-28 to 2014-09-27#> Element 2014-09-27 2013-09-28#> Assets = 231839 207000#> + AssetsCurrent = 68531 73286#> + CashAndCashEquivalentsAtCarryingValue 13844 14259#> + AvailableForSaleSecuritiesCurrent 11233 26287#> + AccountsReceivableNetCurrent 17460 13102#> + InventoryNet 2111 1764#> + DeferredTaxAssetsNetCurrent 4318 3453#> + NontradeReceivablesCurrent 9759 7539#> + OtherAssetsCurrent 9806 6882#> + AvailableForSaleSecuritiesNoncurrent 130162 106215#> + PropertyPlantAndEquipmentNet 20624 16597#> + Goodwill 4616 1577#> + IntangibleAssetsNetExcludingGoodwill 4142 4179#> + OtherAssetsNoncurrent 3764 5146#> LiabilitiesAndStockholdersEquity = 231839 207000#> + Liabilities = 120292 83451#> + LiabilitiesCurrent = 63448 43658#> + AccountsPayableCurrent 30196 22367#> + AccruedLiabilitiesCurrent 18453 13856#> + DeferredRevenueCurrent 8491 7435#> + CommercialPaper 6308 0#> + DeferredRevenueNoncurrent 3031 2625#> + LongTermDebt 28987 16960#> + OtherLiabilitiesNoncurrent 24826 20208#> + CommitmentsAndContingencies 0 0#> + StockholdersEquity = 111547 123549#> + CommonStocksIncludingAdditionalPaidInCapital 23313 19764#> + RetainedEarningsAccumulatedDeficit 87152 104256#> + AccumulatedOtherComprehensiveIncomeLossNetOfTax 1082 -471tail(income2014,2)#> Financial statement: 2 observations from 2013-09-28 to 2014-09-27#> Element 2014-09-27 2013-09-28#> NetIncomeLoss = 39510 37037#> + IncomeLossFromContinuingOperationsBefore... = 53483 50155#> + OperatingIncomeLoss = 52503 48999#> + GrossProfit = 70537 64304#> + SalesRevenueNet 182795 170910#> - CostOfGoodsAndServicesSold 112258 106606#> - OperatingExpenses = 18034 15305#> + ResearchAndDevelopmentExpense 6041 4475#> + SellingGeneralAndAdministrativeExpense 11993 10830#> + NonoperatingIncomeExpense 980 1156#> - IncomeTaxExpenseBenefit 13973 13118
Recalculate higher order concepts from basic values and check for errors.
check<- check_statement(balance_sheet2014)check#> Number of errors: 0#> Number of elements in errors: 0
In case of error the numbers with errors will be presented along with elements:
check_statement( within(balance_sheet2014,InventoryNet<-InventoryNet*2))#> Number of errors: 2#> Number of elements in errors: 1#>#> Element: AssetsCurrent = + CashAndCashEquivalentsAtCarryingValue + AvailableForSaleSecuritiesCurrent + AccountsReceivableNetCurrent + InventoryNet + DeferredTaxAssetsNetCurrent + NontradeReceivablesCurrent + OtherAssetsCurrent#> date original calculated error#> 3 2013-09-28 7.3286e+10 7.5050e+10 -1.764e+09#> 4 2014-09-27 6.8531e+10 7.0642e+10 -2.111e+09
Validation returns all calculation results in a readable data frame. Lets check only operating income from income statement:
check<- check_statement(income2014,element_id="OperatingIncomeLoss")check#> Number of errors: 0#> Number of elements in errors: 0check$expression[1]#> [1] "+ GrossProfit - OperatingExpenses"check$calculated/10^6#> [1] 55241 48999 52503
Usemerge function to create single financial statement data from two statements.
balance_sheet<- merge(balance_sheet2013,balance_sheet2014 )
The structure of merged balance sheets may differ if XBRL taxonomy changes. Functionmerge takes care of it by expanding the elements hierarchy to fit both statements. The values of any missing elements in different periods is set to 0.
To merge all statements fromstatements object use merge on statements objects:
# merge all statementsst_all<- merge(st2013,st2014 )# check if balance sheets are merged:balance_sheet<-st_all$StatementOfFinancialPositionClassifiedbalance_sheet$endDate#> [1] "2012-09-29" "2013-09-28" "2014-09-27"
If there are no matching elements between the two statementsmerge joins statements by matching their periods. For some financial ratio calculations the combined statement may bea better starting point.
merge.statement(st_all$StatementOfFinancialPositionClassified,st_all$StatementOfIncome )
Statement object (in our casebalance_sheet) is also a data frame object with statement elements as columns and time periods as rows. It is possible then to use statement as a data frame.
Lets calculate current ratio which is defined by
With dplyr package we can usemutate,select ortransmute functions:
library(dplyr)balance_sheet %>% transmute(date=endDate,CurrentRatio=AssetsCurrent/LiabilitiesCurrent)#> date CurrentRatio#> 1 2012-09-29 1.495849#> 2 2013-09-28 1.678639#> 3 2014-09-27 1.080113
By usingfinstr::calculate function we can achieve the same result but don't have to handle the date field and there is a rounding parameter. Lets calculate for example two ratios:
balance_sheet %>% calculate(digits=2,Current_Ratio=AssetsCurrent/LiabilitiesCurrent,Quick_Ratio= (CashAndCashEquivalentsAtCarryingValue+AvailableForSaleSecuritiesCurrent+AccountsReceivableNetCurrent )/LiabilitiesCurrent )#> date Current_Ratio Quick_Ratio#> 1 2012-09-29 1.50 1.04#> 2 2013-09-28 1.68 1.23#> 3 2014-09-27 1.08 0.67
If we need a period average value we can use alag function. For example, to calculateDSO (days sales outstanding) over longer periods the average of account receivable is compared to net sales.
We will use the formula for yearly preiods:
In this case we need to connect two type of statements: balance sheets and income statements. With matching reporting periods it can be accomplished with joining two data frames:
merge(balance_sheet,st_all$StatementOfIncome ) %>% calculate(digits=2,.AccountReceivableLast= lag(AccountsReceivableNetCurrent),.AccountReceivableAvg= (.AccountReceivableLast+AccountsReceivableNetCurrent)/2,DaysSalesOutstanding=.AccountReceivableAvg/SalesRevenueNet*365 )#> date DaysSalesOutstanding#> 1 2012-09-29 NA#> 2 2013-09-28 25.66#> 3 2014-09-27 30.51
The leading dot instructs the calculate function to hide the value. In our case only DaysSalesOutstanding is selected in final result. Usedigits parameter to control rounding.
When running same calculation for different statements, define the calculation withcalculation and callcalculate with argumentcalculations:
# define calculationprofit_margins<- calculation(Gross_Margin= (SalesRevenueNet-CostOfGoodsAndServicesSold)/SalesRevenueNet,Operating_Margin=OperatingIncomeLoss/SalesRevenueNet,Net_Margin=NetIncomeLoss/SalesRevenueNet )# run profit margins for two different statementsincome2013 %>% calculate(calculations=profit_margins,digits=2)#> date Gross_Margin Operating_Margin Net_Margin#> 1 2011-09-24 0.40 0.31 0.24#> 2 2012-09-29 0.44 0.35 0.27#> 3 2013-09-28 0.38 0.29 0.22income2014 %>% calculate(calculations=profit_margins,digits=2)#> date Gross_Margin Operating_Margin Net_Margin#> 1 2012-09-29 0.44 0.35 0.27#> 2 2013-09-28 0.38 0.29 0.22#> 3 2014-09-27 0.39 0.29 0.22
Calculations gives us freedom to use any formula with any data from financial statements. Most of the time this is not necessary as we can get useful information just by regrouping calculation hierarchy.
There are many additional reasons why is rearranging statements useful step before actual calculations:
- We can avoid errors in formulas with many variables
- Accounting taxonomies do change and using many formulas on original statement is harder to support than using custom hierarchy for analysis starting point
- When sharing analysis it is much easier to print 6 values instead of 30
To rearrange the statement to simple 2-level hierarchy useexpose function.
expose(balance_sheet,# Assets`Current Assets`="AssetsCurrent",`Noncurrent Assets`= other("Assets"),# Liabilites and equity`Current Liabilities`="LiabilitiesCurrent",`Noncurrent Liabilities`= other(c("Liabilities","CommitmentsAndContingencies")),`Stockholders Equity`="StockholdersEquity")#> Financial statement: 3 observations from 2012-09-29 to 2014-09-27#> Element 2014-09-27 2013-09-28 2012-09-29#> Assets = 231839 207000 176064#> + Current.Assets 68531 73286 57653#> + Noncurrent.Assets 163308 133714 118411#> LiabilitiesAndStockholdersEquity = 231839 207000 176064#> + Current.Liabilities 63448 43658 38542#> + Noncurrent.Liabilities 56844 39793 19312#> + Stockholders.Equity 111547 123549 118210
Balance sheet stays divided byAssets andLiabilities and Equity. For the second level we are exposingcurrent assets fromnoncurrent and similar is done for theliabilities. We choose to separateequity.
Functionexpose expects a list of vectors with element names. Functionother helps us identify elements without enumerating every single element. Usingother reduces a lot of potential errors as the function "knows" which elements are not specified and keeps the balance sheet complete.
Sometimes it is easier to define a complement than a list of elements. In this case we can use the%without% operator. Lets expose for exampletangible and thenintangible assets:
expose(balance_sheet,# Assets`Tangible Assets`="Assets" %without% c("Goodwill","IntangibleAssetsNetExcludingGoodwill"),`Intangible Assets`= other("Assets"),# Liabilites and equity`Liabilities`= c("Liabilities","CommitmentsAndContingencies"),`Stockholders Equity`="StockholdersEquity")#> Financial statement: 3 observations from 2012-09-29 to 2014-09-27#> Element 2014-09-27 2013-09-28 2012-09-29#> Assets = 231839 207000 176064#> + Tangible.Assets 223081 201244 170705#> + Intangible.Assets 8758 5756 5359#> LiabilitiesAndStockholdersEquity = 231839 207000 176064#> + Liabilities 120292 83451 57854#> + Stockholders.Equity 111547 123549 118210
To calculate lagged difference for entire statement usediff function. The result is statement of changes between successive years:
diff(balance_sheet)#> Financial statement: 2 observations from 2013-09-28 to 2014-09-27#> Element 2014-09-27 2013-09-28#> Assets = 24839 30936#> + AssetsCurrent = -4755 15633#> + CashAndCashEquivalentsAtCarryingValue -415 3513#> + AvailableForSaleSecuritiesCurrent -15054 7904#> + AccountsReceivableNetCurrent 4358 2172#> + InventoryNet 347 973#> + DeferredTaxAssetsNetCurrent 865 870#> + NontradeReceivablesCurrent 2220 -223#> + OtherAssetsCurrent 2924 424#> + AvailableForSaleSecuritiesNoncurrent 23947 14093#> + PropertyPlantAndEquipmentNet 4027 1145#> + Goodwill 3039 442#> + IntangibleAssetsNetExcludingGoodwill -37 -45#> + OtherAssetsNoncurrent -1382 -332#> LiabilitiesAndStockholdersEquity = 24839 30936#> + Liabilities = 36841 25597#> + LiabilitiesCurrent = 19790 5116#> + AccountsPayableCurrent 7829 1192#> + AccruedLiabilitiesCurrent 4597 2442#> + DeferredRevenueCurrent 1056 1482#> + CommercialPaper 6308 0#> + DeferredRevenueNoncurrent 406 -23#> + LongTermDebt 12027 16960#> + OtherLiabilitiesNoncurrent 4618 3544#> + CommitmentsAndContingencies 0 0#> + StockholdersEquity = -12002 5339#> + CommonStockValue 0 -16422#> + RetainedEarningsAccumulatedDeficit -17104 2967#> + AccumulatedOtherComprehensiveIncomeLossNetOfTax 1553 -970#> + CommonStocksIncludingAdditionalPaidInCapital 3549 19764
The only way to visualize a balance sheet is by exposing a limited number of values. The first step is then to aggregate a balance sheet by selected concepts. We can useexpose to specify these groups of elements. For example:
bs_simple<- expose(balance_sheet,# Assets`Current Assets`="AssetsCurrent",`Noncurrent Assets`= other("Assets"),# Liabilites and equity`Current Liabilities`="LiabilitiesCurrent",`Noncurrent Liabilities`= other(c("Liabilities","CommitmentsAndContingencies")),`Stockholders Equity`="StockholdersEquity")
library(htmlTable)print(bs_simple,html=TRUE,big.mark=",",dateFormat="%Y")
| 2014 | 2013 | 2012 | |
|---|---|---|---|
| Assets | 231,839 | 207,000 | 176,064 |
| Current Assets | 68,531 | 73,286 | 57,653 |
| Noncurrent Assets | 163,308 | 133,714 | 118,411 |
| Liabilities And Stockholders Equity | 231,839 | 207,000 | 176,064 |
| Current Liabilities | 63,448 | 43,658 | 38,542 |
| Noncurrent Liabilities | 56,844 | 39,793 | 19,312 |
| Stockholders Equity | 111,547 | 123,549 | 118,210 |
Using ggplot2 package we can plot a simplified balance sheet:
library(ggplot2)plot_double_stacked_bar(bs_simple)
Another option is to group by faceting balance sheet side instead of date:
plot_double_stacked_bar(bs_simple,by_date=FALSE)
Usingproportional form we reveal the changes in balance sheet structure:
bs_simple_prop<- proportional(bs_simple)plot_double_stacked_bar(bs_simple_prop)
