FCFTTM and ROE%TTM return hundreds of NA’s each, most of them ADRs. Ditto with CapExTTM and OperCashflTTM. But other financial-statement-based fields, like SalesTTM, IACTTM, and OpIncTTM, return very few NAs. Could someone please explain? Or fix?
Oh, I figured it out. ADRs often file only annual reports, so I should be using FCFA instead of FCFTTM for those.
ADR reporting requirements are dependent on if they are Level 1, 2, or 3.
See:
https://www.sec.gov/investor/alerts/adr-bulletin.pdf
Interesting. And I’m finding a LOT of companies which aren’t ADRs for which FCFTTM = NA but FCFA is fine. And a lot of ADRs for which FCFTTM is fine too. I guess there are a number of companies that only have to file annual reports . . . ?
I’m now thinking that the NA may be a red flag of sorts. Perhaps these are companies who have significant problems with the cash flow statement of their 10Qs? The reason I say this is that companies with FCFTTM = NA do worse on a backtest than other companies.
Dug deeper. It turns out that while the income statements for all 10-Qs report quarterly numbers, the cash flow statements sometimes report numbers for the last six or nine months, and you have to compare several statements to get the accurate quarterly figures, which are needed to put together the TTM numbers. Examples: BB&T, KLA-TenCor. In other cases, the company filed 3 10-Qs last year but missed one for some reason. Example: TransUnion. At any rate, maybe it’s a good thing that P123 leaves companies with such odd or inconsistent reporting as NA’s.
yes, some companies have spotty quarterly reporting.
The other interesting thing is that the TTM data does not always addup from the quarterly data. Not sure how ttm is calculated…
This is from the Russell 1000 universe. KLA surprised me, they are a pretty good company:
In your data the FCF0Q is the same as the FCF1Q (except for KLAC), so I’m not sure what’s going on there. That’s why the TTM doesn’t appear to add up for MS. MS’s cash flow statements, by the way, are of the nine-month, six-month, three-month variety, so why are they OK while KLAC’s are NA? Go figure.
I thought that ALL companies reported cash flow over 12,6,9 or 3 months depending on the quarter. Its something that’s always annoyed me, because it leaves the investor to download several reports and make a calculation in order to get the quarterly figures he actually wants.
Oh. I didn’t realize that.
There are some even more alarming NA counts if you dig deeper into certain financial statement items. For example, in my universe of 3000 stocks there are 800 NAs for the item RecvblChgTTM, and only 130 of them are NA in RecvblTTM or RecvblPTM. One would think that RecvblChgTTM would simply equal RecvblTTM - RecvblPTM. And why do I get 220 stocks with an ROE%TTM of NA? These include big companies like PM, HCA, LB, and AZO. If you use ROE%TTM and FCFTTM in ranking systems, you’re going to get way too many NAs for comfort.
You might want to dig into the SEC financial statements for a couple of examples and see if they are actually reporting. Then compare to what P123 has.
[quote]
In your data the FCF0Q is the same as the FCF1Q (except for KLAC), so I’m not sure what’s going on there. That’s why the TTM doesn’t appear to add up for MS.
[/quote]Are they preliminary statements? Remember, if a statement is preliminary and is NA then it will “fallback”. KLAC released preliminary financials on Jan 28 which would probably mean that it was preliminary at the time of his screenshot. (Preliminary statements are pulled from the earnings release which precedes the full 10-Q or 10-K filing with the SEC) If it was preliminary, then that explains things.
Another thing: “quarterly” items for ADRs that report every six months cover six months instead of three but skip every other quarter. I try to exclude ADRs explicitly because the quarterly statements are not comparable to regular U.S. stocks.
I agree with David; the only way to know for sure what’s going on is to compare the financials here to the financials in the SEC and/or the company website (as per that SEC link above).