Compute FFO (Fund From Operation) for REITS instrument using fundamental data
Author: gregChen
Creation Date: 1/10/2020 11:32 PM
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gregChen

#1
FFO is a measure of the cash generated by a REIT; real estate companies use FFO as an operating performance benchmark. The National Association of Real Estate Investment Trusts (NAREIT) originally pioneered this figure, which is a non-GAAP measure. FFO is commonly used for REITS valuation.
The formula for FFO is:

FFO = Net Income + Depreciation + Amortization - Gains on Sales of Property.

The formula for AFFO (Adjusted FFO) is:

AFFO = FFO + rent increases - capital expenditures - routine maintenance amounts.

NOI and revenue are also used in valuation models.

Please help.
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Eugene

#2
If the Fidelity fundamental data provider contained the fundamental data series for items like routine maintenance amounts, gains on sales of property, and depreciation/amortization then it'd be a no-brainer to create the custom DataSeries in your Strategy using examples available in the QuickRef (e.g. FundamentalDataSeries, PlotSeries). See pseudocode (does not work):

CODE:
Please log in to see this code.


I don't work with WLP so I'm not aware if they are present and/or the item names. However, my impression is that such fundamental items are not included in many of other fundamental data providers by MS123 so it may be quite challenging to get them without a paid subscription.
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gregChen

#3
YChart does have those cashflows but need professional subscription. I can download those cashflow from YCHART or other place to a spreadsheet file. Do we have a static excel provider to load fundamental data?

Thanks

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Eugene

#4
If you point me at the applicable fundamental items at YCharts website I may consider adding them to the fundamental provider. But you're right, that would require certain paid subscription with "Export to CSV" allowed (or it won't work).

Not only the Excel provider does not support fundamental data (OHLC only) but "Download to spreadsheet" (from YCharts) looks like a cumbersome workaround given there's full-fledged YCharts provider. On a broader note, a fundamental provider to import data from CSV files was once considered but the idea was discarded:

https://www.wealth-lab.com/Forum/Posts/39658
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gregChen

#5
YCharts link

Please see attachments and the link above to download cvs file from YCharts. To download cvs file still needs LITE subscription ($50/month). Thanks efforts to allow combining fundamental data together in a file to test.

Thanks a lot.
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Eugene

#6
Okay I see the charted items in your link. I dropped the "_ttm" from ALL items as in the provider we always include their raw version. If you need TTM of any item see the FAQ: How can I get TTM, MRQ and FTM values of estimated earnings? The list boils down to this:

1. To include: ffo_per_share, gain_loss_on_sale_of_ppe, gain_loss_on_investment_securities

2. Already available in the YCharts provider as Pro-only items: total_depr_and_amortization, interest_expense, operating_margin, ebitda_margin

3. Already available as "free" items: net_income, revenues

Look forward to upcoming update (v2020.02) to bring them to our YCharts provider. As usual they will be prefixed with "[yc] ".

Consequently, here's your code starting from v2020.02:

CODE:
Please log in to see this code.


Notice that it doesn't seem possible to render the AFFO due to lack of "rent increases" and "routine maintenance amounts" at YCharts.
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gregChen

#7
Thanks Eugene. Expect to see an new interface to specify an user fundamental data file location in YChart data provider directly. Thanks
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Eugene

#8
The three new items "[yc] ffo_per_share", "[yc] gain_loss_on_sale_of_ppe", "[yc] gain_loss_on_investment_securities" will appear in the next update and will be ready to consume (update data and use it in strategies) directly.

QUOTE:
Expect to see an new interface to specify an user fundamental data file location in YChart data provider directly.

Sorry but there is no reason to expect it. Whether you meant to say "loading a custom CSV file by the provider" or "have a choice of customizing the fundamental items by YCharts", neither feature is planned.
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gregChen

#9
Thanks. I will try to use FillSeriesFromFile to load a cvs file then. Does quarterly data from a cvs file work to fill DataSeries ?
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Eugene

#10
CSV, not cvs. Yes, FillSeriesFromFile can be used to load the data into a plain DataSeries but it cannot be processed by the FundamentalSeries so to say:

https://www.wealth-lab.com/Forum/Posts/39658

Anyway, the YCharts provider's upcoming update will bring native FFO support. The wait is not too long.
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