Some tools for parsing Form 13F filings with the SEC
Thus far, this is just a small R module that I wrote to parse 13F filings. These are available as XML files from EDGAR. For instance, if you want to ride Seth Klarmann's coattails, those from Baupost (CIK 0001061768) can be found here, with the latest form13fInfoTable.xml.
The R script parse_13f.R handles XML tables like the above.
example.R uses it to parse Baupost's 2017 Q1 filings
(also here), dump the raw
data to a CSV (see here), perform some
conversions with dplyr, order by percentage relative to the whole
portfolio, and then output a CSV file containing this new dataframe
(see here).
example2.R parses adjacent quarterly filings and determines the
likely portfolio changes between those two quarters.
example3.R is basically a copy of example.R which parses a CSV
exported from Fidelity (not included), and compares this portfolio to
the 13F's contents (and determines the changes made to match the same
ratios).
The Python code is just a single source file at the moment, and mostly scratch work. It depends on Pandas, and uses this and some built-in libraries to parse the XML and turn it to Pandas tables.
- It might be nice to turn the CUSIP into a ticker symbol in order to
link the tables against other data sources - for instance, the
present price. The
FinancialInstrument library
looks like it at least knows how to query online APIs for related
information, but I wasn't able to get anywhere.
- https://investor.vanguard.com/search/ will search, as will http://quotes.fidelity.com/ftgw/fbc/ofquotes/mmnet/SymLookup, but I don't know about a free API.
- I'd like to use the proper namespaces when finding nodes in the XML with XPath rather than just telling it to ignore them, but I have no idea what the namespaces are.
I'm not affiliated with Baupost, nor with any other party mentioned here, nor should anything I wrote above be taken as investment or financial advice, nor do I warrant that the code does anything it claims to. I am not your lawyer. I am not your financial advisor. I am not responsible for what you do with money.