Quantitative Stock Selection: FACTSET dynamic weights implementation

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Quantitative Stock SelectionFACTSET dynamic
weights implementation

• Stefan D. Gertsch
• Version 1
• April 14, 2005

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Steps (Overview)

1. Prepare the Source File (Excel) with the Weights
2. Create OFDB Schema and Database using Schema
   Editor in Data Central
3. Create a Format File
4. Upload Data to OFDB
5. Check the Database in Data Central
6. Implementation in Universal Screening

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Source File
Use an Excel sheet to arrange your data as
follows

• Note
• The way the OFDB databases in FactSet are
  organized, entering a valid symbol is mandatory.
  The best get around I was able to find so far is
  to use the ticker of a company that will be part
  of your universe at any point in time (for
  example GM) and then when implementing a
  strategy use another get around to assign this
  value to every single stock in the universe
  considered.
• Enter the date in the following format
  yyyymmdd

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Launch Schema Editor in Data Central
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Create an OFDB Schema and Database
enter schema and database names and a
description of the database
Add a field for each of your inputs (the columns
in your Excel source file), except for the date.
Make sure to check the Yes in the Iterated box
and to use the right Frequency. (High Precision
data type in FactSet is like a double variable
and Numeric like a single)
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Create an OFDB Schema and Database
Save the Schema
Then create the OFDB database (you actually just
initialize it for later use)
You can then close the Editor
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Create a Format File (contd)
The Format File Editor works pretty much like the
OFDB Schema Editor
You can import the fields you have created in the
OFDB Schema Editor
Make sure that Time-Series Database is checked
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Create a Format File (contd)
Alternatively, you can enter every single field
the way it is done in the OFDB Schema Editor
except that you need to enter the exact column of
the field in your excel sheet and you have to
enter the date column and define the data type as
Record Date.
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Create a Format File (contd)
In the Data Mask tab you might want to enter
one of your columns that contain data and chose
the Numeric Mask Type to ensure that the
headers are not uploaded to your database.
Save your Format File and then close the Editor.
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Upload Data to OFDB
you need to click on Browse for every single
field and find the respective Format file / Excel
and OFDB database (confirm that you are sure you
want to update the database). DO NOT leave the
suggestion FACTSET makes in the Save Online As
field after you chose your PC-Source File.
Proceed by clicking on Upload.
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Check the Database in Data Central
The upload process is fast and you should get a
confirmation like the following.
You can then check if your data is uploaded
correctly. You can also check it at a later point
in time by opening the respective database in
Data Central.
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Implementation in Universal Screening
To use the database in universal screening you
need add your variable like you would add another
variable, by first choosing the OFDB Library in
Data Central.
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Implementation in Universal Screening
find your database and select the parameter you
want to use. Confirm that you want to use
yesterdays value, which will mean that it will
use the latest data available.
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Implementation in Universal Screening
Your parameter should now look something like
this.
The problem with that variable is that it will
only return a value for GM or whatever company
symbol you used in your database. To solve this
problem we can use the following formula, which
basically just takes the average of all values in
the defined group (US companies, but since we
have NA for all values except GM, it will the GM
value for every single stock.
You maybe want to or have to use a different
group definition. You need to make sure that
every stock in your universe is in that group,
because otherwise you will get NAs for all stocks
that are not in that group (but part of your
universe). So ideally you use your universe
definition as the group of which you want to take
the average.
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References

• FactSet Online Assistant (Help)
• Uploading to OFDB (page ID 12279-12295)
• Creating/Editing OFDB Schemas (p. ID 11502)
• Using a Data Mask (p. ID 11504)
• Creating a Database Format (p. ID 11507)
• Data Central Uploading Tips (p. ID 11928)