Quantitative Stock Selection: FACTSET dynamic weights implementation Stefan D. Gertsch Version 1 April 14, 2005

2 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

3 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

4 Launch Schema Editor in Data Central

5 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)

6 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

7 Create a Format File (cont’d) You can import the fields you have created in the OFDB Schema Editor The Format File Editor works pretty much like the OFDB Schema Editor Make sure that “Time-Series Database” is checked

8 Create a Format File (cont’d) 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”.

9 Create a Format File (cont’d) 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.

10 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.

11 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.

12 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….

13 Implementation in Universal Screening …find your database and select the parameter you want to use. Confirm that you want to use “yesterday’s” value, which will mean that it will use the latest data available.

14 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.

15 References FactSet Online Assistant (Help) -Uploading to OFDB (page ID ) -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)