analysis-dcf

name	analysis-dcf
description	Pure compute 3-stage DCF on pre-fetched data JSON. Input: --input <pack-json-path> from data-markets/scripts/pack.py --pack memo-fetch. Output: intrinsic value range JSON with 3×3 sensitivity (WACC × terminal growth). DCF 内在価値純計算層。DCF 內在價值純計算層。

analysis-dcf

Pure-compute Layer 2 skill in the v2.0.0 three-layer architecture (data → analysis → report). Implements the Damodaran 2012 Investment Valuation Ch.12 3-stage DCF and reports a 3×3 WACC × terminal-growth sensitivity table with Graham-Dodd-Klarman verdict thresholds.

Reference template: references/dcf-template.md

Layer 2 Contract — NO I/O

This skill performs zero network or external file I/O beyond reading the single --input <json-path> argument. No SEC EDGAR / MOPS / yfinance / FRED clients are imported here. Fetching is the responsibility of the caller — typically data-markets/scripts/pack.py --ticker <t> --pack memo-fetch.

data-markets/scripts/pack.py --ticker <t> --pack memo-fetch  →  pre-fetched JSON
                                              ↓
                                       analysis-dcf (this skill)
                                              ↓
                                       intrinsic value JSON

Callers (e.g. report-equity-memo) compose this skill with the data layer.

Input Contract

--input <path> must point to a JSON file produced by data-markets/scripts/pack.py --ticker <t> --pack memo-fetch. Minimum shape:

{
  "ticker": "AAPL",
  "income_statement": {
    "revenue":     [r_t0, r_t-1, ...],   // most-recent-first, $M
    "net_income":  [...],                 // optional
    "ebit":        [...]                  // optional, preferred over net_income
  },
  "cash_flow": {
    "fcf":   [...],                       // optional; used to derive reinvestment
    "capex": [...]
  },
  "balance_sheet": {
    "total_debt": [td_t0, ...],
    "cash":       [cash_t0, ...]
  },
  "shares_outstanding": 15728000000,      // absolute count (NOT millions)
  "current_price": 175.0                   // optional; for margin-of-safety
}

Both the US (SEC EDGAR XBRL facts) and TW (MOPS t164sb04 / sb05 / sb03) market shapes conform — data-markets/scripts/pack.py --pack memo-fetch (market auto-detected from ticker) is responsible for normalising into this contract.

Contract notes (no auto-correction):

• shares_outstanding MUST be the absolute share count — the raw count reported by yfinance / EDGAR / MOPS, not divided by 1e6. Low-share issuers (e.g. BRK.A ≈ 550K shares) are valid and will not be auto-rescaled. Inputs < 1e6 emit a warning but the value is trusted as-is.
• Revenue / FCF / debt / cash arrays MUST be most-recent-first ([r_t0, r_t-1, r_t-2, ...]). CAGR derivation depends on this ordering. Oldest-first ordering is detected heuristically (monotonically increasing series) and surfaced as a warning, but not auto-flipped.

CLI

uv run scripts/dcf_compute.py --input <path> [overrides...]

All assumption parameters can be overridden; otherwise they are derived from the input JSON:

Override flag	Default behaviour
--wacc	base WACC (default 0.085)
--wacc-step	symmetric sensitivity step around base WACC (default 0.01 = 1pp)
--terminal-g	base terminal growth (default 0.025)
--g-step	symmetric sensitivity step around base terminal-g (default 0.005 = 0.5pp)
--growth-1-5	stage-1 growth (default = clamped historical revenue CAGR)
--growth-6-10	stage-2 growth (default = growth_1_5 × 0.5, floor 2.5%)
--ebit-margin	derived from EBIT/revenue or NI/revenue
--tax-rate	default 0.21 (US federal)
--reinvestment-rate	derived from 1 − FCF / EBIT(1−t); fallback 0.30

v2.0.0 simplification. Earlier prototypes accepted asymmetric sensitivity bounds (--wacc-low/--wacc-high, --terminal-g-low/high). These were never wired into the grid computation and are removed in v2.0.0. Use --wacc-step / --g-step for symmetric grids only. If asymmetric bounds are needed in the future, re-introduce alongside a _sensitivity_grid rewrite.

Output Contract

{
  "ticker": "AAPL",
  "intrinsic_value": { "low": 142.10, "mid": 168.50, "high": 198.30 },
  "sensitivity_table": {
    "wacc_axis":        [0.075, 0.085, 0.095],
    "terminal_g_axis":  [0.020, 0.025, 0.030],
    "table":            [[...,...,...], [...,$BASE,...], [...,...,...]]
  },
  "verdict_thresholds": {
    "buy_threshold_grade_a": 117.95,
    "buy_threshold_grade_b": 101.10,
    "buy_threshold_grade_c":  84.25,
    "hold_threshold":        193.78,
    "sell_threshold":        193.78,
    "rule": "BUY if price ≤ intrinsic × (1 − MoS); ..."
  },
  "current_price":          175.00,
  "margin_of_safety_base":  -0.0386,
  "assumptions":            { ... full assumption echo ... },
  "warnings":               [ "terminal_g > 4% — ..." ],
  "_provenance": {
    "input_path":  "/tmp/aapl-memo-fetch.json",
    "computed_at": "2026-05-01T03:00:00Z",
    "framework":   "Damodaran 2012 Investment Valuation Ch.12 (3-stage DCF)",
    "layer":       "analysis (pure compute, no I/O)"
  }
}

Computation Summary

FCF projection (year 1..10)

Revenue_t = Revenue_{t-1} × (1 + growth_t)        // stage-1 (1..5), stage-2 (6..10)
EBIT_t    = Revenue_t × EBIT_margin
FCF_t     = EBIT_t × (1 − tax) × (1 − reinvestment)
PV(FCF_t) = FCF_t / (1 + WACC)^t

Terminal value (Stage 3, year 10+)

TV     = FCF_10 × (1 + g) / (WACC − g)
PV(TV) = TV / (1 + WACC)^10

Equity value and intrinsic per-share

Equity        = Σ PV(FCF_t) + PV(TV) − Net debt
Intrinsic/sh  = Equity / Shares outstanding

Sensitivity (3×3, varying WACC by --wacc-step and g by --g-step)

The corners are reported as the intrinsic_value band:

corner	grid cell	intrinsic_value field
bear	high WACC, low g	low
base	center	mid
bull	low WACC, high g	high

Verdict Thresholds (Graham & Dodd / Klarman)

BUY   if current_price ≤ intrinsic_value × (1 − MoS_factor)
HOLD  if current_price ≤ intrinsic_value × 1.15
SELL  if current_price > intrinsic_value × 1.15

MoS_factor:
  Grade A conviction → 0.30
  Grade B conviction → 0.40
  Grade C conviction → 0.50

Conviction grade is set by the domain-teams:investing-team analyst during memo generation, not by this skill. All three thresholds are emitted; the caller selects.

Attribution Corrections (built-in warnings)

The script emits warnings[] for any of:

Assumption sanity:

1. Terminal growth ≥ WACC — degenerate; WACC is clamped to terminal_g + 0.0025 internally to avoid divide-by-zero in the Gordon-growth terminal value.
2. Terminal growth > 4% — likely double-counts inflation already in WACC. Use real GDP growth or lower (typically 1–3%); ≤ risk-free rate.
3. Stage-1 growth > 20% — verify ROIC × reinvestment supports it.
4. Low reinvestment with high growth — implies high ROIC; verify the capital-light claim.

Input-contract sanity (no auto-correction):

5. shares_outstanding < 1e6 — looks suspiciously small. Contract requires absolute count, not millions. Trusted as-is (BRK.A is valid).
6. Revenue series oldest-first — first value < last value over ≥3 periods triggers this; CAGR direction will be wrong if true. Caller must reverse the array; the skill does not auto-flip.

Sensitivity grid:

7. Degenerate cells in 3×3 grid — when wacc - wacc-step ≤ terminal_g + g-step, internal clamping fires inside cells and the bear/mid/bull semantic ordering may not hold. Surfaced rather than silently sorted away.

Cross-Plugin Handoff

This skill outputs JSON only. Memo composition and prose verdict belong upstream:

data-markets:scripts/pack.py --pack memo-fetch
  → analysis-dcf (this skill, pure compute)
  → report-equity-memo (orchestrates full memo)
       → domain-teams:investing-team (variant perception, conviction)
       → domain-teams:docs-team (formatting, optional)

This skill never delegates and never writes files; it prints JSON to stdout and returns.

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i18n footer

• 日本語: pack.py が事前取得した JSON を入力として、3-stage DCF を純計算する Layer 2 スキル。WACC × 永続成長率の 3×3 感応度表を含む内在価値帯を出力 する。ネットワーク・外部 I/O 一切なし。
• 繁體中文: 對 pack.py 預先抓取的 JSON 進行純計算的 3 階段 DCF（Layer 2）。 輸出包含 WACC × 終值成長率 3×3 敏感度表的內在價值區間。無任何網路 / 外部 I/O。
• English: Pure-compute Layer 2 DCF over pre-fetched pack.py JSON. Emits intrinsic value range with 3×3 WACC × terminal-growth sensitivity. No network or external file I/O.