Monthly Stock Analysis

Provide complete, self-contained workflows for monthly stock analysis including price data, returns, momentum, and fundamental data from SEC filings.

When to Use This Skill

Use this skill when the user requests:

• Monthly stock returns or prices
• End-of-month data analysis
• Financial data at monthly frequency
• Combining price and fundamental data monthly
• Monthly portfolio analysis or backtesting

Core Workflow

Step 1: Check for Precomputed Ratios

CRITICAL: Before calculating any financial ratio, check if it already exists in the database.

Run the precomputed check script:

python .claude/skills/references/scripts/check_precomputed.py

This verifies which variables are available in:

• DAILY table: marketcap, pb, pe, ps, ev, evebit, evebitda
• SF1 table: All income statement, balance sheet, cash flow items, and financial ratios

Common precomputed ratios:

• pb (price-to-book), pe (price-to-earnings), ps (price-to-sales)
• roe (return on equity), roa, roic
• grossmargin, netmargin, ebitdamargin
• de (debt-to-equity ratio - this is "leverage")
• assetturnover, currentratio, quickratio

Rule: Fetch precomputed ratios from the database. Do NOT calculate manually if they exist.

Step 2: Fetch Monthly Returns

Use the fetch script to get end-of-month prices and calculate returns:

python .claude/skills/monthly-analysis/scripts/fetch_monthly_data.py START_DATE OUTPUT_FILE
# Example: python .claude/skills/monthly-analysis/scripts/fetch_monthly_data.py 2020-01-01 monthly.parquet

Automatically includes:

• ticker, month (YYYY-MM format), date
• close (split-adjusted price)
• return (monthly return, decimal format)
• momentum (12-month momentum: month t-13 to t-2)
• lagged_return (prior month's return)
• marketcap (from DAILY table, already shifted by 1 month)
• sector, industry, size (market cap category)

Step 3: Fetch Additional Variables

From DAILY Table (for precomputed ratios)

Fetch end-of-month values for ratios like pb, pe, ps:

# Pattern: Get end-of-month values, then shift by 1 month
# Query year-by-year to avoid timeouts
# See .claude/skills/references/rice_database_schema.md for query patterns

Then shift: df['pb'] = df.groupby('ticker')['pb'].shift(1)

From SF1 Table (for fundamental data)

Fetch annual (ARY) or quarterly (ARQ) fundamental data:

# Query SF1 table with dimension='ARY' for annual data
# Order by ticker, datekey
# See .claude/skills/references/rice_database_schema.md for schema details

CRITICAL: Calculate growth rates BEFORE merging:

# Calculate year-over-year growth from fundamental data
df_fund['asset_growth'] = df_fund.groupby('ticker')['assets'].pct_change().round(4)

Step 4: Merge with Fundamentals

python .claude/skills/monthly-analysis/scripts/merge_monthly_fundamentals.py MONTHLY_FILE FUNDAMENTALS_FILE OUTPUT_FILE

The merge script automatically:

• Aligns fundamental data to first month AFTER filing date
• Forward fills fundamental data until next filing
• Shifts close prices to represent prior month's closing price

Step 5: Shift SF1 Variables

After merging, shift all SF1 variables by 1 month to avoid look-ahead bias:

# Shift each SF1 variable by 1 month (grouped by ticker)
df['roe'] = df.groupby('ticker')['roe'].shift(1)
df['grossmargin'] = df.groupby('ticker')['grossmargin'].shift(1)
df['de'] = df.groupby('ticker')['de'].shift(1)
# Repeat for all SF1 variables

Important Rules

Avoiding Look-Ahead Bias

ALL variables from DAILY and SF1 tables must be shifted:

• DAILY variables: Shift by 1 month after fetching
• SF1 variables: Shift by 1 month after merging
• This ensures variables represent information known at the start of the month

Return Calculations

ALWAYS group by ticker when calculating returns:

df['return'] = df.groupby('ticker')['closeadj'].pct_change().round(4)
df['momentum'] = (
    df.groupby('ticker')['closeadj'].shift(2) /
    df.groupby('ticker')['closeadj'].shift(13) - 1
).round(4)

Returns are expressed as decimals (0.05 = 5% return), rounded to 4 decimal places.

Growth Rate Calculations

Calculate growth rates from fundamental data BEFORE merging:

• Use year-over-year for annual data (ARY)
• Use quarter-over-quarter for quarterly data (ARQ)
• Do NOT calculate after merging (forward-fill creates zero growth)

Query Performance

Query year-by-year to avoid API timeouts:

for year in range(start_year, end_year + 1):
    sql = f"SELECT ... WHERE date::DATE >= '{year}-01-01' AND date::DATE < '{year+1}-01-01'"
    # Execute and append results

Output Format

Final dataset columns:

• ticker: Stock symbol
• month: Month label (YYYY-MM format, e.g., '2025-01')
• return: Monthly return (decimal)
• momentum: 12-month momentum (decimal)
• lagged_return: Prior month return (decimal)
• close: Prior month's closing price (shifted)
• marketcap: Market cap in thousands (from DAILY, shifted)
• sector, industry: Classifications
• size: Market cap category (Nano, Micro, Small, Mid, Large, Mega)
• Additional variables from DAILY/SF1 as requested (all shifted)

Database Schema Reference

For complete database schema, table structures, and query patterns, see: .claude/skills/references/rice_database_schema.md

Search for:

• "DAILY Table" - precomputed valuation ratios
• "SF1 Table" - fundamental data from SEC filings
• "SEP Table" - price data
• "Common Query Patterns" - SQL templates

Scripts Available

Scripts in .claude/skills/monthly-analysis/scripts/:

1. fetch_monthly_data.py - Get end-of-month prices and returns
2. merge_monthly_fundamentals.py - Merge returns with fundamental data

Shared scripts in .claude/skills/references/scripts/:

1. check_precomputed.py - Verify which ratios exist in database
2. precomputed_variables.py - List of all precomputed variables

Key Reminders

• ✅ Check for precomputed ratios BEFORE calculating
• ✅ Fetch from DAILY/SF1 tables when variables exist
• ✅ Shift ALL DAILY variables by 1 month after fetching
• ✅ Calculate growth rates BEFORE merging
• ✅ Shift ALL SF1 variables by 1 month after merging
• ✅ Always group by ticker for returns and growth rates
• ✅ Query year-by-year to avoid timeouts
• ✅ Use decimal format for returns (not percentages)