FairValue

A Python library for automated company valuations using Discounted Cash Flow (DCF) analysis, supporting both SEC EDGAR filings and custom financial data.

Features

• Automated DCF valuation using SEC EDGAR filings
• Support for custom financial data input
• Fast processing of bulk SEC filings.
• Comprehensive error handling and validation
• Currency-aware calculations (tbd - currently USD only)

Quick Start

Using SEC EDGAR Data

from fairvalue import Stock
from fairvalue.models import SECFilings

# Load SEC filing data
secfiling = SECFilings(
    companyfacts='./data/companyfacts/CIK0000320193.json',
    submissions='./data/submissions/CIK0000320193.json'
)

# Create stock and calculate fair value
stock = Stock(sec_filing=secfiling)
valuation = stock.predict_fairvalue(
    growth_rate=0.02,
    number_of_years=10,
    discounting_rate=0.04
)

Output

{
    "ticker_id": "AAPL",
    "exchange": "NONE",
    "cik": "320193",
    "entity_name": "Apple Inc.",
    "days_since_filing": 41,
    "is_potentially_delisted": False,
    "count_filings": 17,
    "forecast_date": "2025-02-20",
    "forecast_horizon": 10,
    "shares_outstanding": 15204137000,
    "company_value": 3886523142972.99,
    "intrinsic_value": 255.62
}

Using Custom Financial Data

from fairvalue import Stock

# Prepare your financial data
financials = {
    'year_end_dates': ['2025-01-01'],
    'free_cashflows': [108807000000],
    'shares_outstanding': [15115823000]
}

# Create stock and calculate fair value
stock = Stock(ticker_id='AAPL', historical_financials=financials)
valuation = stock.predict_fairvalue(
    growth_rate=0.02,
    number_of_years=10,
    discounting_rate=0.04
)

Output:

{
    "ticker_id": "AAPL",
    "exchange": "NONE",
    "cik": None,
    "entity_name": None,
    "count_filings": 1,
    "forecast_date": "2025-02-20",
    "forecast_horizon": 10,
    "shares_outstanding": 15115823000,
    "company_value": 3886523142972.99,
    "intrinsic_value": 257.12
}

Utility Scripts

The scripts/ directory contains helpful utilities for working with FairValue:

• download_sec_filings.py: Download and cache SEC EDGAR filings
• batch_process.py: Process multiple companies in batch mode

Run scripts from the project root:

python scripts/download_sec_filings.py --ticker AAPL

Methodology

Data Validation

• Robust data validation using Pydantic models
• Automated validation of financial data inputs for both SEC EDGAR and custom financial data

DCF Calculation

• Based on free cash flow projections
• Uses Gordon Growth Model for terminal value. Exit multiple terminal value to be added as an option.
• Does not include debt, assets, or liabilities in calculation. (tbd - will be added in future)

Key Parameters

• growth_rate: Expected annual growth rate of free cash flows
• number_of_years: Forecast horizon
• discounting_rate: Rate used to discount future cash flows

Limitations

1. Company Exclusions:

   • SPACs and blank check companies
   • Non-US incorporated companies
   • Companies reporting in non-USD currencies

2. Calculation Scope:

   • Focuses solely on free cash flows
   • Excludes balance sheet items
   • Does not consider market conditions or company-specific risks

🚀 Roadmap & Planned Improvements

Near Term

• Balance sheet integration for more comprehensive valuations
• Terminal value calculation using exit multiples
• Support for non-US incorporated companies
• data quality indicators

Medium Term

• Automated growth rate suggestions based on historical data
• Multi-currency support for non-USD financial statements

License

Apache 2.0 - See LICENSE for details.

⚠️ Disclaimer

This software is for educational and research purposes only. It should not be construed as financial advice or a recommendation to buy, sell, or hold any investment or security.

• No Investment Advice: The calculations and outputs provided by this tool are based on historical data and assumptions that may not reflect future performance.
• Not Financial Advice: Always conduct your own due diligence and consult with qualified financial advisors before making investment decisions.
• Limited Scope: The DCF valuation method used here:
  • Does not account for all factors that influence stock prices
  • Uses simplifying assumptions about growth rates and discount rates
  • Does not consider market sentiment, economic conditions, or company-specific risks
• No Warranty: This software is provided "as is" without warranty of any kind, either express or implied.

By using this software, you acknowledge and accept these limitations and risks.