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README.md

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+---
+license: cc-by-4.0
+language:
+- en
+pretty_name: OpenFundex
+tags:
+- finance
+- value-investing
+- sec-filings
+- fundamental-analysis
+- tabular
+task_categories:
+- tabular-classification
+- tabular-regression
+size_categories:
+- 100K<n<1M
+---
+
+# OpenFundex Dataset
+
+A structured dataset of SEC financial filings for deep value analysis and financial distress prediction.
+
+## Dataset Description
+
+- **License**: CC-BY-4.0
+- **Language**: English
+
+### Summary
+
+OpenFundex contains financial statement data extracted from SEC EDGAR filings,
+enriched with derived financial metrics and labeled with established quality scores
+(Piotroski F-Score, Altman Z'-Score, Graham metrics). Designed for training ML
+models to assess company financial health and identify deep value opportunities.
+
+**Key design decision:** This dataset uses only fundamental data from SEC filings.
+No market prices or equity trading data are included, eliminating survivorship bias.
+
+## Supported Tasks
+
+- **Tabular Classification**: Predict financial distress, value creation, fundamental improvement
+- **Tabular Regression**: Predict quality scores (f_score, z_prime_score, composite_quality_score), growth rates
+- **Anomaly Detection**: Identify companies in financial distress or with QA anomalies
+
+## Dataset Structure
+
+### Splits
+
+| Split | Records | Companies | Date Range |
+|-------|---------|-----------|------------|
+| train | 221,779 | 11,786 | 2008-12-31 to 2019-12-31 |
+| validation | 45,109 | 7,207 | 2020-01-31 to 2021-12-31 |
+| test | 47,334 | 7,208 | 2022-01-31 to 2023-12-31 |
+| recent | 38,171 | 6,358 | 2024-01-31 to 2025-11-30 |
+
+**Total records:** 352,393
+
+### Feature Groups
+
+| Group | Count |
+|-------|-------|
+| Identifiers | 5 |
+| Context | 4 |
+| Raw Features (SEC XBRL) | 33 |
+| Derived Features | 8 |
+| Engineered Features | 23 |
+| QA Flags | 4 |
+| Prediction Targets | 19 |
+| Rank Targets | 14 |
+
+## Scoring Models
+
+- **Piotroski F-Score** (0-9): Nine binary signals measuring profitability, leverage, and operating efficiency. Null when no prior quarter available for delta signals.
+- **Altman Z'-Score** (Float): Private-firm bankruptcy risk variant with zone classification (safe/grey/distress). Null for financial firms (SIC 6000-6999).
+- **Beneish Coverage** (0-8): Count of computable M-Score components. Full M-Score is computed transiently during enrichment but not retained.
+- **Graham Metrics**: Graham Number, NCAV/share, tangible book value/share, net working capital/share, defensive score (0-5).
+- **Quality Signals**: Cash conversion ratio, accrual ratio, free cash flow margin.
+- **Composite Quality Score**: Z-score normalized average of key quality signals within each quarter cross-section.
+
+## Target Columns
+
+19 forward-looking prediction targets using same-quarter year-over-year comparisons:
+
+### 1-Year Targets
+- **Growth rates** (6): BVPS, equity, earnings, revenue, OCF, FCF growth
+- **Level/delta** (2): Forward ROE, margin expansion
+- **Binary** (4): ROA improved, fundamentals improved (≥3 of 5 metrics), value created (equity grew AND ROE>0), survived
+
+### 2-Year Targets
+- **Growth rates** (6): Same metrics as 1-year, over 2-year horizon
+- **Binary** (1): Survived 2 years
+
+All targets are null when forward quarter data is unavailable.
+
+### Rank-Transformed Targets (14 columns)
+
+Cross-sectional percentile ranks (0-1] for all Float64 targets, computed per quarter
+using `rank("average") / count()`. Raw growth targets are extremely skewed
+(mean ~3.1, median ~0.03) and produce negative information coefficients for
+regression models. Rank-transforming yields IC ~0.37.
+
+## Dataset Creation
+
+### Source Data
+
+All data sourced exclusively from SEC EDGAR Financial Statement Data Sets (FSDS), 2009-present.
+No market data providers. No third-party data. No equity pricing data.
+
+### Pipeline
+
+1. **Ingest**: Download quarterly SEC FSDS ZIP files from EDGAR
+2. **Parse**: Extract XBRL financial data, normalize 32 tags to standard fields
+3. **Enrich**: Compute derived ratios (8), scoring models (5), and QA flags
+4. **Label**: Generate 19 forward-looking prediction targets
+5. **Split**: Temporal train/validation/test/recent splits with leakage validation
+6. **Evaluate**: Quality checks, ML fitness, and publication readiness
+7. **Publish**: Stage and upload to Hugging Face Hub
+
+## Considerations
+
+### Known Limitations
+
+- XBRL coverage varies: some companies report fewer standardized tags
+- F-Score delta components require prior quarter data (null for first appearance)
+- Z'-Score was designed for manufacturing firms; interpretation varies by sector
+- No market data: cannot compute price-based metrics (P/E, market cap, etc.)
+
+### Bias Considerations
+
+- **No survivorship bias**: Uses only SEC filing data, not equity market prices
+- **Temporal integrity**: Strict time-based splits prevent data leakage
+- **Sector bias**: Z'-Score thresholds may not be equally applicable across all sectors
+- **Financial firms excluded from Z'-Score**: Financial companies (SIC 6000-6999) have null Z'-Score values
+
+## License
+
+This dataset is released under the [CC-BY-4.0 license](https://creativecommons.org/licenses/by/4.0/).
+
+The underlying SEC data is in the public domain.
+
+## Citation
+
+```bibtex
+@dataset{openfundex,
+  title={OpenFundex: SEC Financial Filings for Deep Value Analysis},
+  author={Danielson, Luke},
+  year={2026},
+  url={https://github.com/danielukea/openfundex},
+  license={CC-BY-4.0}
+}
+```

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