FactSet OnDemand UserGuide for

MATLAB and R
Version 3.3 A

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 Table of Contents

Chapter 1. Introduction ............................................................................................................. 3

1.1 Overview .................................................................................................................... 3
1.2 FactSet Data ............................................................................................................... 3
Company Level Data ........................................................................................................................ 3
Benchmark/Index data .................................................................................................................... 3
Economic Data................................................................................................................................. 4
1.3 Data Extraction from FactSet ..................................................................................... 4
Technology ...................................................................................................................................... 4
Defining the Result .......................................................................................................................... 4
The “Ideal” Data Structure .............................................................................................................. 4
Chapter 2. FactSet OnDemand plugin installer ........................................................................... 5
2.1 Accessing the Installer ..................................................................................................... 5
2.2 Running the Installer ........................................................................................................ 5
2.3 Help and Support ............................................................................................................. 6
Documentation ................................................................................................................................ 6
Event logger..................................................................................................................................... 7
FactSet Support ............................................................................................................................... 7
Chapter 3. Retrieving FactSet data in a Statistical package ....................................................... 8
3.1 Extract Data from FactSet ................................................................................................ 8
FactSet Query Language (FQL) ........................................................................................................ 8
Screening Language ........................................................................................................................ 8
3.2 Dates in FactSet ............................................................................................................... 8
Date Format - Absolute Dates ......................................................................................................... 8
Date Format - Relative Dates .......................................................................................................... 9
3.3 FactSet OnDemand Functions.......................................................................................... 9
OnDemand Factlet Requests ........................................................................................................... 9
Standard Factlets........................................................................................................................... 10
Specialized Factlets ........................................................................................................................ 10
Other FactSet Functions ................................................................................................................ 12
Factlet syntax ................................................................................................................................ 13
Special Use Case Scenarios .................................................................................................. 36
Upload Data into an OFDB ............................................................................................................ 36
FactSet’s Supply Chain Data .......................................................................................................... 39
FactSet’s Geo Rev Data.................................................................................................................. 42
Chapter 4. Integrated Formula Lookup ................................................................................... 53
4.1 Launching Formula Lookup in MATLAB and R ............................................................... 53
4.2 Searching for Data.......................................................................................................... 53
Identifier Lookup............................................................................................................................ 54
Search for Data Formulas .............................................................................................................. 54
Chapter 5. Troubleshooting & Error Messages ....................................................................... 55
Appendix 1 – Breaking up a request ........................................................................................ 57
Appendix 2 – Configuration items ........................................................................................... 59

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Chapter 1. Introduction

1.1 Overview
FactSet supports the major tasks frequently undertaken in a Statistical Package data mining project, such as
data acquisition, data preparation, modeling, and model execution with reporting/graphing. The integration of
data from FactSet into the Third party program allows users to interact with Statistical Package directly to
retrieve company, portfolio, index, market aggregates, ownership and economic data from FactSet.

The integration into a statistical package provides access to FactSet databases through a connection to the
FactSet OnDemand servers via an https request over the Internet.

R and MATLAB users can access functions from FactSet called factlets to retrieve a variety of data sets. Factlets
are functions that encapsulate business logic and data collection procedures. A factlet can be a simple data
request or can invoke complex application logic. The technology is capable of cross referencing and processing
time-series for a high amount of data, which can be returned in a variety of tagged or delimited formats.

1.2 FactSet Data

FactSet integrates over 200 databases to analyze markets, companies and industries. For a comprehensive list
of databases available on FactSet go to: www.FactSet.com

1.2.1 Company Level Data

Highlighted below is a selection of the FactSet owned databases:
+ FactSet Fundamentals
+ Access current, comprehensive, and comparative information on securities worldwide with FactSet
Fundamentals. The comprehensive coverage available on FactSet Fundamentals includes more than
73,000 companies, 20 years of historical data, and up to 2,000 data elements on each company
record. Comprised of annual and interim/quarterly data, detailed historical financial statement
content, per share data, calculated ratios, pricing, and textual information, FactSet Fundamentals
provides you with the information you need for a global investment perspective.
+ FactSet Estimates
+ FactSet Estimates combines a great breadth of data with a level of transparency that ensures you
are using the timeliest and highest quality data available in the industry. Access comprehensive
consensus-level estimates and statistics with daily history.
+ FactSet Ownership
+ The FactSet Ownership database collects global equity ownership data for institutions, mutual fund
portfolios, and insiders/stakeholders. FactSet provides both summary and detailed ownership data
that can be viewed by security or by holder (institution, mutual fund, insider/stakeholder, as well as
beneficial owner in the case of UK domiciled securities).

1.2.2 Benchmark/Index data

FactSet clients have access to Equity and Fixed Income Benchmarks, which include Dow Jones, FTSE, MSCI,
Russell, S&P, Barclays, and BofA Merrill Lynch, among a number of others.

FactSet Market Aggregates (FMA), combines data from FactSet Fundamentals, Estimates and Prices to
calculate ratios and per share values on an aggregate level. FMA provides access to over 50 metrics for more
than 3,500 commercial and exchange indices.

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1.2.2 Economic Data
FactSet Economics database is updated intra-day and provides comprehensive global coverage.
Database includes details such as economic information, exchange rates, commodities, and interest
rates. The database provides:

+ Coverage of more than 200 countries.

+ Includes over 1.9 million data series.
+ In addition to data sourced directly from statistical agencies and organizations, specialty databases
include Eurostat, ICIS, ICAP, International Monetary Fund (IMF) and the OECD.

1.3 Data Extraction from FactSet

As outlined above, FactSet integrates a range of datasets. The data is stored on FactSet in such a way as to
make powerful cross-sectional and time-series analysis possible, the different approaches to download data
from the FactSet mainframes are outlined in Chapter 3.

1.3.1 Technology
The FactSet OnDemand integration generates a URL that creates an https request. The data request will be
transmitted over the internet to FactSet OnDemand Servers. FactSet OnDemand uses HTTP basic
authentication over Secure Sockets Layer (SSL). The OnDemand servers handle authentication of the user and
the permissioning of data sets. The OnDemand integration is designed to provide simple access to FactSet data
in reasonably sized blocks through a web service.

1.3.2 Defining the Result

Requesting a large amount of data requires defining what is needed, breaking it down into smaller bundles,
retrieving them, and reassembling it on the receiving side. An application has to focus first on defining what a
user wants to receive. Only by targeting a very well defined result, can the application select what it needs
from the database, break it down, and move it efficiently

1.3.3 The “Ideal” Data Structure

Given a client’s interest in large amounts of data and the limitation of any package in terms of memory to
store an unlimited amount of data, FactSet defines that an “ideal” data structure would have a limit of 1
million data points. A large request that is beyond the 1 million data points limit would need to be broken
down into smaller pieces in order to move it and then store it permanently.

There are numerous ways to do build a permanent data structure. One large streaming download may not be
the answer, because there are limitations at both FactSet and the end usernd in between delivery system. If
there is a relatively inflexible query, streaming may work, but large flexible queries require time to build and
may need to be broken up for efficiency. With a steady stream of data, the receiving application would have to
stop and write it permanently to the database once in a while. Also, with a large transfer, there is the risk of
failure.

Sample scripts are provided in the Appendix with examples of how to break down a request, with comments
added to explain each line of the script.

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Chapter 2. FactSet OnDemand plugin installer
The FactSet OnDemand integration allows users to retrieve FactSet data within Third Party software.

System Requirements:

1. Minimum MATLAB version 2010b or R version 3.0 is required

2. The .NET framework 4.0 is the minimum framework requirement.
3. The MATLAB DataFeed Toolbox is a requirement for extracting FactSet data in MATLAB
4. Pre-release versions of MATLAB and R are not officially supported.

Note: The FactSet MATLAB/R Plugin is retired 18 months after release. The Plugin will continue to work
after 18 months, but from 15 months and on users are prompted to upgrade.

The installer makes several changes to a user’s MATLAB/R install:

1. Creates a directory under the MATLAB/R root directory called ‘FactSet3’ where the required files for
the plugin are stored.
2. Adds instructions to or creates the startup.m/Rprofile.site files.
3. Adds required information to the path to support the plugin.
4. If .NET 4.0 is not installed it will be installed
5. In R the library rClr is installed

Additionally, in terms of the firewall specifications the below must be allowed

1. Ensure to whitelist https://*.factset.com on firewalls / URL inspectors / IPS / IDS;

2. Ensure that https:// (TCP 443) is allowed to FactSet's production destination subnets - 192.234.235.0
(255.255.255.0) and 64.209.89.0 (255.255.255.0)
Note: Plugin version 3.0 can be installed in conjunction with a previous OnDemand plugin on the same
Matlab or R version as long as the above requirements are met.

2.1 Accessing the Installer

The FactSet OnDemand Installers can be accessed from: https://www.factset.com/download

The plugin is available for 32bit and 64bit architecture, ensure to select the installer that corresponds to the
software version the plugin should be used, i.e. if for a 32bit MATLAB version the FactSet plugin installer for
MATLAB 32bit should be used (regardless of the PC’s architecture).

2.2 Running the Installer

The installer comes as an .msi file, running the msi will prompt to select the Destination Folder; here it is
required to change to the root directory of the MATLAB or R version being used. For example, the root could
be: “C:\Program Files\MATLAB\R2014a”. This folder is the location in which the files will be installed.

Note: if the program does not detect a proper root, it will not install.

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Once the install is completed a blue F-icon, , will appear in the system tray, by double clicking this icon a
Configuration Window will open up where the user-specific settings should be added. Every user has a unique
username and password (linked to the FactSet terminal serial number), these are entered in the main page of
the configuration window. Advanced details such as proxy settings can be accessed in the Advanced Options
Configuration window. By default the proxy settings are inherited from Internet Explorer.

2.3 Help and Support

To uninstall the program or apply repairs, from the Control Panel in Windows, go to Programs – Uninstall or
change a program and view the entry there.

2.3.1 Documentation
For extensive and up-to-date documentation refer to the Configuration Window – Available Documents. A
current Internet connection is required as these documents are stored centrally by FactSet.

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2.3.2 Event logger
A built in troubleshooting tool for the plugin is the FactSet Event logger. The event logger captures information
that will enable further troubleshooting.

To run the Event logger use the command

F.DumpEventLog()

This will save the EventLog.txt file to the default folder. For MATLAB, the default folder is Documents/MATLAB.
For R, the default folder is Documents.

To save to a specified directory, please use the following command:

MATLAB: F.DumpEventLogTo('C:\Users\xxxxxx\Desktop\Test.txt')
R: F.DumpEventLogTo('C:\\Users\\dsheldon\\Desktop\\Test2.txt')

2.3.3 FactSet Support

FactSet troubleshooting questions can be directed to FactSet Support at https://www.factset.com/support-
numbers

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Chapter 3. Retrieving FactSet data in a Statistical package

3.1 Extract Data from FactSet

FactSet stores all of the available data in proprietary database structures on FactSet servers. This allows
FactSet to adjust the way data is stored, so that clients can access data as efficiently as possible. Most datasets
available on FactSet are stored in two different ways, so as to facilitate two different data access methods.
These two options use the FactSet Query Language (FQL) for time-series requests and the FactSet Screening
Language (Screening) for efficiently extract data for a large universe of securities as of a single date. Please see
Online Assistant page 10410 for further information on the storage methods.

3.1.1 FactSet Query Language (FQL)

The extraction of a time-series of data from FactSet can be done using the FactSet Query Language (FQL). FQL
is a proprietary data retrieval language used to access FactSet data. For more information on FQL, see the
FactSet Online Assistant page 1961.

To request a time-series of data; a start date, end date and frequency need to be specified. If a date is not
specified, data is returned from the most recent time period. The dates can be either absolute dates or relative
dates.

Some advantages of FQL include:

The ability to specify dates for any database using the same formats.
With FQL, date formats are flexible. You can use a number of consistent date formats (defined by FQL)
for all databases which makes using and combining data from different databases simple.

The ability to iterate items, formulas, and functions at any frequency.

With FQL, you can iterate items, formulas, and functions at any frequency. For example, you can
request a series of weekly price to earnings ratios.

3.1.2 Screening Language

Alternatively, the extraction of data for a list of ids for 1 date, both for equity and fixed income securities is
best done using the Screening Language. The FactSet Screening Language is a way to efficiently extract data for
a large universe of securities as of a single date.

By default, the Screening Language does not allow iteration and therefore cannot be used to return a time
series of data with a single request code. To request data as of a single historical date, an absolute or relative
date can be specified.

Overall, FQL syntax should be used to retrieve data for many data items, or to download time series data.
Screening syntax should be used to retrieve data for a large universe for a single point in time.

3.2 Dates in FactSet

Dates in FQL and Screening can be expressed as either and Absolute dates such as December 31st 2004 and a
Relative date such as latest Fiscal Year end.

3.2.1 Date Format - Absolute Dates

Absolute dates indicate a specific day, month-end, fiscal quarter-end, calendar quarter-end, fiscal year-end, or
calendar year-end as depicted in the examples below:

+ A day: MM/DD/YYYY (e.g. 7/11/1999)

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 Note: DD/MM/YYYY is not a valid date format.
+ A month-end: MM/YYYY (e.g. 6/1999)
+ A fiscal quarter-end: YY/FQ or YYYY/FQ (e.g. 1999/1F, 2000/3F, 2001/2F)
+ A calendar quarter-end: YY/CQ or YYYY/CQ (e.g. 1999/1C, 00/3C, 2001/1C)
+ A fiscal year-end: YY or YYYY (e.g. 2000, 01, 1999)

3.2.2 Date Format - Relative Dates

Relative dates represent a date relative to the most recently updated period. For example, 0 (zero)
represents the most recently updated period and -1 represents the time period prior to the most
recently updated.

The zero date is determined by the default time period or the natural frequency of the data being
requested. Zero (0) when used with monthly data indicates the most recent month end. Negative one
(-1) when used with annual data indicates one fiscal year prior to the most recently updated year.

List of Relative Date Arguments:

D 0D is the most recent trading day, -1D is one trading day prior.
AW 0AW is the most recent trading day, -1AW is the one actual week (7 days) prior to the most
recent trading day.
W 0W is the last day of the most recent trading week (usually Friday), -1W is the last trading
day of the prior week.
AM 0AM is the most recent trading day, -1AM is the same day, one actual month ago.
M 0M is the last trading day of the most recent month, -1M is the last trading day of the prior
month.
AQ 0AQ is the most recent trading day, -1AQ is the same day 3 months prior
Q 0Q is the last trading day of the company’s most recent fiscal quarter, -1Q is the last day of
the prior fiscal quarter.
CQ 0CQ is the last trading day of the most recent calendar quarter (March, June, September, or
December), -1CQ is the last trading day of the prior calendar quarter.
AY 0AY is the most recent trading day, -1AY is one actual year (365 days) prior
Y 0Y is the last trading day of the company’s most recent fiscal year, -1Y is the last trading day
of the prior fiscal year.
CY 0CY is the last trading day of the most recent calendar year (the last trading day in
December), -1CY is the last trading day of the prior calendar year.

3.3 FactSet OnDemand Functions

FactSet has written a number of functions for the FactSet OnDemand plugins that retrieve FactSet data using
FQL or Screening syntax by calling stored procedures (factlets) on the FactSet OnDemand servers. Factlets are
server-based functions that encapsulate business logic and data collection procedures. A factlet can handle a
simple data request or can invoke complex application logic. The data items that are requested, along with an
identifier and date, are stored in a structure that is returned.

3.3.1 OnDemand Factlet Requests

The following is a list of the factlets available using FactSet OnDemand MATLAB and R integrations. The
description for each factlet also highlights if the factlet should be used with FQL or Screening syntax.

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The factlets should be chosen depending on the dataset required. There are generic factlets using either
actual Screening or FQL codes as input (to find the correct code please use the FactSet Sidebar look-up dialog)
and specialized factlets used for specific datasets.

3.3.2 Standard Factlets

The Standard Factlets below are used for Screening data, Economics data and FQL data. For the exact input
syntax, the FactSet Sidebar dialog box can be used.

Factlet FactSet syntax

used by factlet
ExtractDataSnapshot Screening

Function is used for extracting one or more items for a list of ids for 1 date, both for equity or
fixed income securities. Should be used to efficiently extract data for a large universe of securities
as of a single date.

The data can also be retrieved using a backtest date to avoid look-ahead bias in the analysis. The
backtest functionality is available to clients subscribing to one of FactSet’s quantitative
applications in the workstation, such as Alpha Testing or Portfolio Simulation.

ExtractEconData FQL

Function provides access to a broad array of macroeconomic content, interest rates and yields,
country indices and various exchange rate measures from both the FactSet Economics and the
Standardized Economic databases.

ExtractFormulaHistory FQL

Function is used for extracting one or more items for one security, an index or a list of securities
over time.

3.3.3 Specialized Factlets

The specialized Factlets are developed for different content sets or specialized data structures. These factlets
have been developed to simplify and standardize the data retrieval of more complex data structures.

Factlet FactSet syntax

used by factlet
CorporateActionsDividends FQL

Function is used for extracting stock dividend information.

CorporateActionsSplits FQL

Function is used for extracting stock split information.

EstimatesOnDemand FQL

Function provides access to FactSet sourced company level estimates data. The data is accessed
through the following reports that are available with this function: Actuals, BrokerDetail,
BrokerSnapshot, Consensus, Guidance, Surprise, Detailed Recommendations and Consensus
Recommendations.

ExtractAlphaTestingSnapshot FQL

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Function provides access to data from AlphaTesting model results. Alpha Testing is a tool
available in the FactSet workstation used to assess the relationship between one or more
variables and subsequent returns over time. A subscription to Alpha Testing in FactSet is
necessary to extract this data in the stat packages.

ExtractBenchmarkDetail Screening

Function is used for extracting multiple data items for a benchmark. Benchmark data can be Note: The Extract-
retrieved using other functions, such as with ExtractFormulaHistory, but the BenchmarkDetail
ExtractBenchmarkDetail function allows a user to retrieve a more comprehensive overview of the function by default
index constituent data, without additional codes or calculations. In the default output, identifiers uses Screening codes
are sorted in descending order by weight in the index and each row shows the index id, company entered in the items
id, date, ticker, and weight. Additional items are displayed at the end. argument of the
syntax. If using an
FQL code, enter an _
before the FQL items
code.

ExtractOFDBItem Screening

Note: The Extract-

Function provides access to a list of securities and multiple data items for a range of dates
OFDBItem function
uploaded into a single Open FactSet Database (OFDB).
by default uses
Screening. FQL
should be used when
using ids with spaces
or short positions,
indicated in the
OFDB with an _S.

ExtractOFDBUniverse FQL

Function provides access to a list of securities belonging to a single Open FactSet Database
(OFDB) file as of a single date.

ExtractScreenUniverse Screening

Function used for extracting a list of Identifiers stored in a single FactSet screen. In the FactSet
workstation, a user can screen for securities based on specified criteria and store the result using
FactSet Universal Screening for equity or debt securities.

ExtractOptionsSnapshot FQL

Function is used for extracting options data for one or more conditions from the FactSet-Options
Derived Values database.

ExtractSPARData FQL

Function is used for displaying SPAR data for specified funds from databases that includes S&P,
Lipper, Morningstar, Russell, eVestment, Nelson, Rogerscasey, and PSN. A subscription to SPAR in
FactSet is necessary to be able to extract this data in statisical packages.

ExtractVectorFormula FQL

ExtractVectorFormula function is used for extracting FactSet data that is stored in a vector data
format, where the data array does not have a predefined size and is organized by the vector
position. A vector can be thought of as a list that has one dimension, a row of data. A vector
position allows for a particular element of the array to be accessed.

ExtractVectorFormula handles non-sequential data with support for matrix or vector output. The

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nature of the data determines if the output is a matrix or vector, it is not specified in the function
to choose which format the data is returned in. This type of data includes corresponding
geographic or product segment breakdowns for a company or detailed broker snapshot or history
estimates/analyst information.

LSD_Ownership FQL

FactSet Ownership database collects global equity ownership data for institutions, mutual fund
portfolios, and insiders/stake holders. Detailed ownership data can be extracted by company or
by holder (institution, mutual fund, and insider/stake). The LSD_Ownership function is used for
extracting one or more data items from the FactSet Ownership database for one or multiple
securities or holders.

3.3.4 Other FactSet Functions

Factlet FactSet syntax
used by factlet
TickHistory FQL
Requires FactSet plugin version 3.1+

TickHistory is used for extracting real-time trading details for a specific security. The
data comes from FactSet’s Time and Sales database, which provides history of quotes
and trades for a trailing 60 days, or up to 1 year with an additional subscription.

Streaming Realtime Exchange Data FQL

Requires an additional subscription and FactSet plugin version 3.0+ for MATLAB and
3.1+ for R/Developer’s Toolkit

The realtime function is used to stream realtime exchange data and will update with
each trade.

Documents FQL
Requires an additional subscription and FactSet plugin version 3.1+

The Documents service provides access for the retrieval of news stories, investment
research reports, filings, and transcripts. When requested, summary information of the
documents will be returned, including an http URL to access the resulting documents.

Snapshot FQL
Requires an additional subscription and FactSet plugin version 3.1+

The Snapshot service provides access to streaming exchange data and allows the
“snap” of real-time prices at the user’s request. When the command is run, a list of all
available exchange data items will be returned by default.

F.Cancel()
Requires FactSet plugin version 3.2+

Using the new F.Cancel() function will now cancel a user’s request from the backend,
allowing another request to be made.

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3.3.5 Factlet syntax
For each factlet there are required arguments and optional arguments, these arguments vary between the
factlets. Below the factlets are listed with their respective available arguments, for more detailed information
about each factlet please see the factlet specific documents available in the Online Assistant.

3.3.5.1 F.ExtractDataSnapshot

The syntax for the F.ExtractDataSnapshot function is:

data = F.ExtractDataSnapshot(ids, items, date, optional arguments)

where,

ids CellString array with a list of one or multiple security identifiers

items CellString array with a list of one or more FactSet data items in the Screening language
backtestDate The backtest date as of which the data is retrieved. If no date is specified, a backtest date will not be
set. The date can be entered using a relative date or absolute date.

Optional arguments,

currency The currency in which the data is to be returned, using a string with the three character ISO code
(e.g. ‘USD’ or ‘EUR’).
cal Calendar setting, arguments include:
FIVEDAY: Displays Monday through Friday, regardless of whether there were trading holidays.
FIVEDAYEOM: Displays Monday through Friday including a weekend date if it falls on the last day of
the month. Where the month-end does not fall on a weekend, the calendar will act just as the
standard five-day calendar.
SEVENDAY: Displays Monday through Sunday.
AAM: For Exchange code uses the calendar of a specific exchange, represented by the exchange
code. If there is no calendar available for a specific exchange, the calendar will default to FIVEDAY.
universe Screening expression to limit the universe
ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as
‘ison’,’msci_world’,’isonParams’,’0,1’
isonParams The arguments within brackets in the ison-code
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is stored in
another location the path must be included
OFDBDate Specific date for the constituents of the OFDB
universeGroup Specifies what mode of screening to use. The default screening mode is Equity. For Fund screening
and Debt screening the universeGroup argument has to be used with either FUND or DEBT
respectively.
decimals Positionally set according to the items in the selection, ie ‘decimals’,’,,3,4,3’

Example
This example is using the standard Screening syntax to retrieve the quarterly sales value from the FactSet
Fundamentals database for IBM using the Screening code FF_SALES (QTR,20110401,RF,EUR). The data is
retrieved in currency set to Euro, as of 04/01/2011. The RP default argument in the FactSet Fundamentals
database codes reflects that the data is the Latest Preliminary for the Reported Period (alternative arguments
could be for example RF, for the Latest Fully Reported Period, among others).

data = F.ExtractDataSnapshot('IBM','FF_SALES(QTR,20110401,RP,EUR)', '20110401')

With the output:

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R:

Id Date ff.sales
1 IBM 2011-04-01 17982.83

MATLAB:
Id: 'IBM'
Date: 734594
ff_sales: 1.7983e+04

3.3.5.2 F.ExtractFormulaHistory

The syntax for the F.ExtractFormulaHistory function is:

data = F.ExtractFormulaHistory(ids, items, date, optional arguments)

where,

ids CellString array with a list of one or multiple security identifiers

items CellString array with a list of one or more FactSet data items in the Screening language
dates Date range and frequency entered using actual or relative dates. A valid FactSet frequency (e.g. ‘d’dates
Alternate method of entering dates entered in start:end:freq format. (e.g. ‘20101215:20110115:d’)

Optional arguments,
currency The currency in which the data is to be returned, using a string with the three character ISO code
(e.g. ‘USD’ or ‘EUR’).
cal Calendar setting, arguments include:
LOCAL: Uses the local trading calendar for each security. Local exchange holidays will be skipped
FIVEDAY: Displays Monday through Friday, regardless of whether there were trading holidays.
FIVEDAYEOM: Displays Monday through Friday including a weekend date if it falls on the last day of
the month. Where the month-end does not fall on a weekend, the calendar will act just as the
standard five-day calendar.
SEVENDAY: Displays Monday through Sunday.
AAM: For Exchange code uses the calendar of a specific exchange, represented by the exchange
code. If there is no calendar available for a specific exchange, the calendar will default to FIVEDAY.
universe Screening expression to limit the universe
ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as
‘ison’,’msci_world’,’isonParams’,’0,1’
isonParams The arguments within brackets in the ison-code
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is stored in
another location the path must be included
OFDBDate Specific date for the constituents of the OFDB
decimals Positionally set according to the items in the selection, ie ‘decimals’,’,,3,4,3’
dataType The optional argument allows users to define a data type for a data item column that is NA for the
entire column. This option must be defined for every column/data item requested in the command if
it is used at all.
feelback Setting to control data is not falling forward and display NAs instead of carrying forward values, for
those databases that do so (using ‘feelback’,’n’).
refresh This will refresh the connection to FactSet servers to capture the latest database updates. This only
needs to be used when a refresh is necessary. It is not recommended to leave this argument in every
request made. To use this, the refresh argument should be paired with the value “Y”.

Example

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In this example extract the last 6 quarters EPS for Exxon Mobile (ticker XOM) using the FQL code FG_EPS.

data = F.ExtractFormulaHistory('XOM','FG_EPS(0Q,-5Q,Q)','0Q:-5Q:Q');

With the Output:

R:
Id Date fg.eps
1 xom 2012-12-31 9.47
2 xom 2013-03-31 9.70
3 xom 2013-06-30 9.82
4 xom 2013-09-30 7.96
5 xom 2013-12-31 7.66
6 xom 2014-03-31 7.37

MATLAB:
Id: 'xom'
Date: [735234 735324 735415 735507 735599 735689]
fg_eps: [9.4700 9.7000 9.8200 7.9600 7.6600 7.3700]

In this example, the date argument is using relative rather than absolute dates. To specify relative dates, enter
the number of periods and a period code, such as D for days, W for weeks, or Q for quarters and Y for years.
When using relative dates, "0" refers to the most recent time period. Therefore, 0Q refers to the most recent
quarter end, while -1Q refers to two quarters ago.

3.3.5.3 F.CorporateActionsDividends

The syntax for the F.CorporateActionsDividends function is:

data = F.CorporateActionsDividends(ids, start date, end date, optional arguments)

where,

ids Array with a list of one or more security identifiers.

start date Start date from which dividend data should be retrieved. Method of entering date is in MM/DD/YYYY
format.
end date End date for period during which dividend data should be retrieved. The end date field is for entering a
future date for which the dividend data is accessed. It can be entered as a future date in MM/DD/YYYY
format or as a number, e.g. 50, which reflects 50 days from today which is set as the end date.
Note: When entering number of days, the maximum value that can be entered is 50.

Optional arguments,

splitadj Allows for split adjustment to be specified. This argument must be entered as: 'splitadj','9' to retrieve
unadjusted dividends.
ngflag Specify 'ngflag ','y ' to return a flag that indicate whether the dividend rate returned is a net or gross. The
output would be a G or N flag.
symbol Argument allows for the CUSIP to be retrieved as the last column (by default SecId is the first field that is
retrieved when running a CorporateActionsDividends function). This argument must be entered as
'symbol', 'y'.
curr The optional currency argument to specify the currency in which the stock dividend data is returned.
universe Screening expression to limit the universe
ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as
‘ison’,’msci_world’,’isonParams’,’0,1’
isonParams The arguments within brackets in the ison-code
secId Currently, the stat packages display the ticker by default in the first column but will now display whatever
values are entered in the ids= argument. The secId=Y parameter will now be used to display whatever is

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 entered in the ids= argument.
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is stored in another
location the path must be included
OFDBDate Specific date for the constituents of the OFDB
summary When ‘summary’ and ’Y’ is used as an argument, it will display a more detailed view including dividend
description and will group dividends paid at the same time together. This is more common for Australian
securities.

Example
In this example, extract the stock dividend information for Volkswagen from 1/1/2011 up to 1 day from today.

data = F.CorporateActionsDividends('VOW-DE','1/1/2011','1');

With the output:

R:
SecId Date Currency P.DIVS P.DIVS.TYPED P.DIVS.PAYDATE P.DIVS.RECDATE
1 VOW-DE 2011-05-04 Euro 2.2 Yearly payment 2011-05-04 2011-05-03
2 VOW-DE 2012-04-20 Euro 3.0 Yearly payment 2012-04-20 2012-04-19
3 VOW-DE 2013-04-26 Euro 3.5 Yearly payment 2013-04-26 2013-04-25
4 VOW-DE 2014-05-14 Euro 4.0 Yearly payment 2014-05-14 2014-05-13

MATLAB:
SecId: 'VOW-DE'
Date: [734627 734979 735350 735733]
Currency: {'Euro' 'Euro' 'Euro' 'Euro'}
P_DIVS: [2.2000 3 3.5000 4]
P_DIVS_TYPED: {'Yearly payment' 'Yearly payment' 'Yearly payment' 'Yearly payment'}
P_DIVS_PAYDATE: [734627 734979 735350 735733]
P_DIVS_RECDATE: [734626 734978 735349 735732]

3.3.5.4 F.CorporateActionsSplits

The syntax for the F.CorporateActionsSplits function is:

data = F.CorporateActionsSplits(ids, start date, end date, optional arguments);

where,

ids Array with a list of one or more security identifiers.

start date Start date from which split data should be retrieved. Method of entering date is in MM/DD/YYYY
format.
end date End date for period during which dividend data should be retrieved. The end date field is for entering a
future date for which the split data is accessed. It can be entered as a future date in MM/DD/YYYY
format or as a number, e.g. 50, which reflects 50 days from today which is set as the end date.
Note: When entering number of days, the maximum value that can be entered is 50.

Optional arguments,

symbol Argument allows for the CUSIP to be retrieved as the last column (by default SecId is the first field that is
retrieved when running a CorporateActionsSplits function). This argument must be entered as 'symbol', 'y'.
universe Screening expression to limit the universe
ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as
‘ison’,’msci_world’,’isonParams’,’0,1’

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isonParams The arguments within brackets in the ison-code
secId Currently, the stat packages display the ticker by default in the first column but will now display whatever
values are entered in the ids= argument. The secId=Y parameter will now be used to display whatever is
entered in the ids= argument.
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is stored in another
location the path must be included
OFDBDate Specific date for the constituents of the OFDB

Example
In this example, extract the stock split information for Exxon Mobil from 1/1/1990 up to 1 day later from
today.

data = F.CorporateActionsSplits('xom','1/1/1990','1');

With the Output:

R:
SecId Date P.SPLIT.FACTOR P.SPLIT.RATIO P.SPLIT.COMMENT
1 XOM-US 1997-04-14 0.5 2:1
2 XOM-US 2001-07-19 0.5 2:1 Split: 2 for 1

MATLAB:
SecId: 'XOM-US'
Date: [729494 731051]
P_SPLIT_FACTOR: [0.5000 0.5000]
P_SPLIT_RATIO: {'2:1' '2:1'}
P_SPLIT_COMMENT: {'' 'Split: 2 for 1'}

Note: The retrieved items with this function are the split factor, the split ratio and any available split
comments.

3.3.5.5 F.ExtractBenchmarkDetail

The syntax for the F.ExtractBenchmarkDetail function is:

data = F.ExtractBenchmarkDetail(ids, items, dates, optional arguments);

where,

data Variable name for the data returned

ids Array with a list of one or more benchmark identifiers.
dates One or more dates; Dates should be entered in start:end:freq format. (e.g. '20101215:20110115:d')
items One or more items in Screening syntax, if FQL syntax is required it may be used with an underscore
needs to be appended at the beginning of the code, i.e _P_PRICE
Optional arguments,

cutoff Number of constituents to display; default displays all instances

useBTD To control the alignment of historical stitching following a merger the useBTD parameter is used. When
FactSet and a benchmark vendor make different choices in picking a surviving entity symbols can be
returned as a dummy ticker to be used as a placeholder. To return the symbol as of the back test date
'useBTD','ON' should be used.

Example

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In this example, the constituents for S&P 500 is being extracted, the default columns will always be available
for this factlet.

data = F.ExtractBenchmarkDetail('SP50','','')

With the output:

R:

BENCHMARK.ID DATE SECURITY.ID Weight

1 SP50 2014-07-31 03783310 3.36029915
2 SP50 2014-07-31 30231G10 2.47762116
3 SP50 2014-07-31 59491810 1.89185378
4 SP50 2014-07-31 47816010 1.65120888
5 SP50 2014-07-31 36960410 1.47063591
…
501 SP50 2014-07-31 38463710 0.01804375

MATLAB:

BENCHMARK_ID: 'SP50'
DATE: [1x501 double]
SECURITY_ID: {1x501 cell}
Weight: [1x501 double]

3.3.5.6 F.ExtractOFDBItem

The syntax for the F.ExtractOFDBItem function is:

data = F.ExtractOFDBItem(OFDB, ids, items, dates, optional arguments)

where,

data Variable name for the data returned

OFDB OFDB file from which the items should be used. The default directory is Client if other locations are
used the path must be specified i.e personal:MyOFDB
ids Array with a list of securities to extract the data for. If left blank data for all securities in the OFDB will
be extracted.
dates One or more dates; Dates should be entered in start:end:freq format. (e.g. '20101215:20110115:d')
items One or more items from the OFDB

Optional arguments,

datesOnly Displays only the dates that are in an OFDB with the parameter ‘datesOnly’,’Y’
idsOnly Displays the unique Ids that are in an OFDB with the parameter ’idsOnly’,’Y’
itemsOnly Displays the items that are in an OFDB with the parameter ’itemsOnly’,’Y’
universe Screening expression to limit the universe
feelback If the feelback argument is not used, the returned data series will "feel back" over NAs to find the last
actual data point and carry this data forward over the NAs. For the data not to carry forward, use
'feelback', 'N'. The data is then returned as it is in the database.
fqlflag Optional argument that is necessary because by default, the ExtractOFDBItem factlet goes through
screening, but when there are _S in the Identifier or spaces between the identifiers, it is necessary to
extract the data through FQL to get the values. Need to specify 'fqlflag','y'.
cal Calendar setting, arguments include:
FIVEDAY: Displays Monday through Friday, regardless of whether there were trading holidays.

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 FIVEDAYEOM: Displays Monday through Friday including a weekend date if it falls on the last day of the
month. Where the month-end does not fall on a weekend, the calendar will act just as the standard five-
day calendar.
SEVENDAY: Displays Monday through Sunday.
AAM: For Exchange code uses the calendar of a specific exchange, represented by the exchange code. If
there is no calendar available for a specific exchange, the calendar will default to FIVEDAY.
unsplit Displays prices with split adjustments in unsplit form.
currency The currency in which the data is to be returned, using a string with the three character ISO code (e.g.
‘USD’ or ‘EUR’). This will only work when “Currency Mapping” is used in the OFDB.

Example
In this example, retrieve the price and shares data uploaded into the OFDB file titled MyPortfolio for Microsoft
and IBM as of 4 trading days ago, denoted with the date argument -3D.

data = F.ExtractOFDBItem('MyPortfolio','MSFT,IBM','PRICE,SHARES','-3D');

With the output:

R:
Id Date ofdb.price ofdb.shares
1 MSFT 2014-07-28 46 6000
2 IBM 2014-07-28 180 1500

MATLAB:
1x2 struct array with fields:

Id
Date
ofdb_price
ofdb_shares

Note: If there is an error in the name of the OFDB file or the user does not have access, the data will
be returned as NAs.

3.3.5.7 F.ExtractOFDBUniverse

The syntax for the ExtractOFDBUniverse function is: (Date and fqlflag are optional)

data = F.ExtractOFDBUniverse('OFDB','date','DateArgument','fqlflag','Y/N');

where,

data Variable name for the data returned

OFDB OFDB file from which the items should be used. The default directory is Client if other locations are
used the path must be specified i.e personal:MyOFDB
date The date the OFDB constituents should be extracted for, only one date can be specified.
fqlflag Optional argument that is necessary because by default, the ExtractOFDBItem factlet goes through
screening, but when there are _S in the Identifier or spaces between the identifiers, it is necessary to
extract the data through FQL to get the values. Need to specify 'fqlflag','y'.

Example
In this example, retrieve the securities stored as of the end of the most recent trading day in the OFDB file
titled MyOFDB.

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data = F.ExtractOFDBUniverse('MyOFDB');

3.3.5.8 F.ExtractScreenUniverse

The syntax for the F.ExtractScreenUniverse function is:

data = F.ExtractScreenUniverse(screen, name (optional argument));

where,

data Variable name for the data returned

screen Universal Screen for which the universe should be extracted. The default location is Client: for any
other location the path must be specified.
name Optional parameter to display the name of the securities extracted. Specified as 'name', 'Y'.
All Pulls all of the columns from a saved screen.
Backtestdate Ability to set a backtest date dynamically within the stat packages. This requires an additional
subscription to FactSet’s backtesting utilities.
removeColumns Ability to hide specific columns from being displayed in the output. Requires the use of the “All”
parameter as well.
includeColumns Ability to select specific columns to display in the output. Requires the use of the “All” parameter as
well.

Example 1
In this example, retrieve the securities stored in the screen titled MyScreen. The output displays the CUSIPS for
each security.

data = F.ExtractScreenUniverse('MyScreen');

Example 2
In this example, retrieve all of the securities and parameters saved in the screen. Also, set a backtest date to
6/30/2014.

Data=F.ExtractScreenUniverse('Personal:MyScreen','All','Y','Backtestdate','20140630')

Example 3
In this example, retrieve all of the securities returned by the screen, as well as only the first 3 parameters.

Data=F.ExtractScreenUniverse('Personal:MyScreen','All','Y','includeColumns','1,2,3,5,7')

3.3.5.9 F.ExtractOptionsSnapshot

The syntax for the F.ExtractOptionsSnapshot function is:

data = F.ExtractOptionsSnapshot(items, date, cond1, compval1, cond2, compval2, cond3, compval3)

where,

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data Variable name for the data returned
items One or more items from the FactSet Option Derived database.
Note: If the items argument is left blank the price for the underlying security will be returned for
this field.
date One or more dates; Dates should be entered in start:end:freq format. (e.g. '20101215:20110115:d')
cond1/2/3 Screening condition with "=" or ">" or "<";
P_OPT_UNDERLYING_SECURITY=(default);P_OPT_ALL_VOLUME>

compval1/2/3 Value that meets cond1/2/3

Example
In this example a put or call flag, closing price, expiry date and delta is extracted for the options passing the
screening conditions that FactSet (FDS) is the underlying security and the expiration date is before 20151231.
Please note that the date used in the following example needs to be a future date.

Data=F.ExtractOptionsSnapshot('P_OPT_CALL_OR_PUT,P_OPT_CLOSE_PRICE,P_OPT_EXP_DATEN,P_OPT_DE
LTA','','P_OPT_UNDERLYING_SECURITY','FDS','P_OPT_EXP_DATEN<','20151231','','');

With the Output:

R:
Id Date P.OPT.CALL.OR.PUT P.OPT.CLOSE.PRICE P.OPT.EXP.DATEN P.OPT.DELTA
1 FDS.US#C63KF 2015-10-07 0 NaN 20151218 NaN
2 FDS.US#C8W5C 2015-10-07 0 NaN 20151218 0.950529
3 FDS.US#CB3SB 2015-10-07 0 NaN 20151218 0.949434
4 FDS.US#CPGFP 2015-10-07 0 NaN 20151218 0.931311
5 FDS.US#CBXCH 2015-10-07 0 NaN 20151218 0.931583
6 FDS.US#CM9KV 2015-10-07 0 NaN 20151218 NaN
7 FDS.US#CCH73 2015-10-07 0 NaN 20151218 0.986954
8 FDS.US#CV8X7 2015-10-07 0 27.70 20151218 0.952299

MATLAB:

1x172 struct with 6 fields:

Id
Date
P_OPT_CALL_OR_PUT
P_OPT_CLOSE_PRICE
P_OPT_EXP_DATEN
P_OPT_DELTA

3.3.5.10 F.ExtractSPARData

The syntax for the F.ExtractSPARData function is:

data = F.ExtractSPARData(ids, items, date, OFDB (optional argument));

where,

data variable name for the data returned

ids CellString array array with a list of one or more benchmarks or funds.

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items CellString array with a list of one or more FactSet data items to display for the selected benchmarks
or funds
date One or more dates; Dates should be entered in start:end:freq format. (e.g. '20101215:20110115:d')
OFDB OFDB file used to limit the universe
cal Calendar setting, arguments include:
FIVEDAY: Displays Monday through Friday, regardless of whether there were trading holidays.
SEVENDAY: Displays Monday through Sunday.

Example
In this example, for the two specified Morningstar funds retrieve the fund family name and the benchmark
name.

data = F.ExtractSPARData('MEUR:F0GBR04AWX,MEUR:F000000GJF', 'SPAR_FUND_FAMILY,SPAR_MEUR_BM_NAME1','');

With the Output:

R:

Id Date spar.fund.family spar.meur.bm.name1

1 MEUR:F0GBR04AWX 2014-08-05 Aberdeen Global Services S.A. MSCI AC Asia Pac Ex JPN NR USD
2 MEUR:F000000GJF 2014-08-05 AZ Fund Management S.A.

MATLAB:

1x2 struct array with fields:

Id
Date
spar_fund_family
spar_meur_bm_name1

3.3.5.11 F.ExtractVectorFormula

The syntax for the F.ExtractVectorFormula function is:

data = F.ExtractVectorFormula(ids, items, optional arguments);

where,

data Variable name for the data returned

ids CellString array with a list of one or multiple security identifiers
items CellString array with a list of one or more FactSet data items in the FQL language

Optional arguments,

universe Screening expression to limit the universe

ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as
‘ison’,’msci_world’,’isonParams’,’0,1’
isonParams The arguments within brackets in the ison-code
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is
stored in another location the path must be included
OFDBDate Specific date for the constituents of the OFDB
combinedOutputTypes Required argument when matrix and vector output formats are requested in the same

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 call.

Example
In this example, extract the business segment sales breakdown, with labels, as of the most recent fiscal year
end for IBM and GE using the FactSet Fundamentals database. The ExtractVectorFormula function is used to
extract this data because the output is a row of data, and it is not indexed by Id, data item and date. Rather it
is a list where IBM has 5 business segments and GE has 8 segments.

R: data = F.ExtractVectorFormula('IBM,GE','FF_SEGMENT_RPT_DATA(ANN,0,,,,
\'SALES\',,BUS,\'SEG\'),FF_SEGMENT_RPT_LABELS(ANN,0,,,,,BUS,\'SEG\')');

MATLAB: data = F.ExtractVectorFormula('IBM,GE','FF_SEGMENT_RPT_DATA(ANN,0,,,,

''SALES'',,BUS,''SEG''),FF_SEGMENT_RPT_LABELS(ANN,0,,,,,BUS,''SEG'')');

R:
Id ff.segment.rpt.data ff.segment.rpt.labels
1 IBM 20131231
2 IBM 38551 Global Technology Services
3 IBM 25932 Software
4 IBM 18396 Global Business Services
5 IBM 14371 Systems & Technology
6 IBM 2022 Global Financing
7 GE 20131231
8 GE 42917 General Electric Capital
9 GE 23777 Power & Water
10 GE 21411 Aviation
11 GE 18186 Healthcare
12 GE 16615 Oil & Gas
13 GE 8313 Appliances & Lighting
14 GE 6721 Energy Management
15 GE 5873 Transportation

MATLAB:
1x2 struct array with fields:

Id
ff_segment_rpt_data
ff_segment_rpt_labels

Note: Single quotes in an FQL formula needs to be escaped by a backslash (R) or single quote
(MATLAB).

3.3.5.12 F.ExtractEconData

The syntax for the F.ExtractEconData function is:

data = F.ExtractEconData(ids, items, optional arguments);

where,

data Variable name for the data returned

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ids CellString array with a list of the country identifiers when used for the standardized economic database
only, if other databases the ids argument should be left blank.
items CellString array with a list of one or more FactSet data items from the Economic database

Optional arguments,

date One or more dates; Dates should be entered in start:end:freq format. (e.g.
'20101215:20110115:d')
NFB NFB is the optional "no feel back" argument in FQL codes. If you do not use the NFB
argument, the returned data series will contain NAs where the data is not available
(default is NFB=1). If you want the data to "feel back" over NAs to find the last actual
data point and carry this data forward, set the NFB argument to either 0 or 2.
TSName Used to display the time series value of the item in the label of the column where the
data is being displayed. Ie SPEC_ID_DATA('WTI-FDS:FG_PRICE',-121,-1,M) is displayed
in the column label as WTI-FDS. Specified as 'TSName','Y'
decimals Positionally set according to the items in the selection, ie ‘decimals’,’,,3,4,3’

Example
This example retrieves industrial production data for the United States using the FactSet Economics database,
starting 122 months ago (denoted with -121) until two months ago (denoted with -1).

R: data = F.ExtractEconData('','FDS_ECON_DATA(\'FRBIPSB50001\',-121,-1,M,STEP,AVERAGE,1)');

MATLAB: data = F.ExtractEconData('','FDS_ECON_DATA(''FRBIPSB50001'',-121,-1,M,STEP,AVERAGE,1)');

With the output:

R:
Id Date F.econ.data
1 fds_econ_data 2004-06-30 91.7493
2 fds_econ_data 2004-07-30 92.4549
3 fds_econ_data 2004-08-31 92.4832
4 fds_econ_data 2004-09-30 92.5476
5 fds_econ_data 2004-10-29 93.4371
…
121 fds_econ_data 2014-06-30 103.9152

MATLAB:
Id: 'fds_econ_data'
Date: [1x121 double]
fds_econ_data: [1x121 double]

3.3.5.13 F.ExtractAlphaTestingSnapshot

The syntax for the F.ExtractAlphaTestingSnapshot function is:

data = F.ExtractAlphaTestingSnapshot(useStat,headers,model,report,
items,security,date,resultType,sortOrder,sortCol,reportSettingName);

Note: The ExtractAlphaTestingSnapshot function is used for extracting model results that use the
Alpha Testing codes AT3_RESULT_DATA or AT3_RESULT_STAT.

where,

data Variable name for the data returned

useStat Blank or N. Leave a blank in quotes (‘’) to extract the main report data and extracted with the

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 code AT3_RESULT_STAT. Specify (N) to extract the constituent data for the report, with each
security/period in each row and each data item result in each column. This includes the raw,
universe return and fractile data to display the raw data available for the companies in the
specified universe, compared to the data available if outlier limitations are set within the
model, along with the fractile values. This company level data is extracted with the code
AT3_RESULT_DATA and goes into the aggregate calculation extracted with
AT3_RESULT_STAT.
headers Y or N. Specify if headers are required.
model String specifying a AT3 model. Format as client:model name.
report Name of the report to be extracted, i.e. CONSITUENTS, FRACTILES or PERIODS etc.
items CellString specifying items (headers) or column numbers, ALL will return all items in report.
security A single security can be specified.
date A single date can be specified.
resultType M or S. Main or Summary data respectively. Defaults to M.
sortOrder A or D. Displays data in either Ascending or descending order.
sortCol Column from which to sort the data
reportSettingName String specifying name of the report setting or template.

Example
In this example, extract column 6 and 7 from the Constituents report sorted by column 6 of the Alpha Testing
model titled Calculation Example Model.

data = F.ExtractAlphaTestingSnapshot('N','N','Factset:Calculation Example Model','CONSTITUENTS','6,7','','','','D','6','');

With the output:

R:

Identifier Company.Name Periods Weight Market.Capitalization

1 G8865370 Wellco Enterprises Inc. 2004-05-28 0.792022 28015056.000
2 G8865312 Wacoal Holdings Corp. 2004-05-28 0.729555 13745582.000
3 94947610 WACHOVIA […]S&P500 09 2004-05-28 0.714043 13558773.000
4 93000420 VILLAGE […]/2007 2004-05-28 0.510412 13257467.000
5 92990360 VI GROUP SPONSORED ADR 2004-05-28 0.384092 5713187.000
…

MATLAB:

1x60 struct array with fields:

Identifier
Company_Name
Periods
Weight
Market_Capitalization

3.3.5.14 F.LSD_Ownership

The syntax for the F.LSD_Ownership function is:

data = F.LSD_Ownership(ids, items, optional arguments);

where,

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data Variable name for the data returned
ids CellString array with one or more identifiers for securities or holders.
items CellString array with a list of one or more FactSet data items from the Lionshares Database

Optional arguments,

combinedOutputTypes Required argument when matrix and vector output formats are requested in the same
call.

Example
In this example, extract the names in English of the top 3 institutional (signified by the F in the request code)
holders (signified by the H in the request code) for Apple using the code LSD_NAME_TOP_HLDR.

R: data = F.LSD_Ownership('AAPL-US', 'OS_TOP_HLDR_NAME(3,0D,,MTD,,F,SEC,\\"EN\\")')

MATLAB: data = F.LSD_Ownership('AAPL-US', 'OS_TOP_HLDR_NAME(3,0D,,MTD,,F,SEC,"EN")')

With the output:

R:
Id lsd.name.top.hldr
1 aapl The Vanguard Group, Inc.
2 aapl SSgA Funds Management, Inc.
3 aapl BlackRock Fund Advisors

MATLAB:
Id: 'aapl'
lsd_name_top_hldr: {'The Vanguard Group, Inc.' 'SSgA Funds Management, Inc.' 'BlackRock Fund Advisors'}

3.3.5.15 F.EstimatesOnDemand

The syntax for the F.EstimatesOnDemand function is:

data = F.EstimatesOnDemand(ids, items, report, startDate, optional arguments)

where,

data variable name for the data returned

ids CellString array with a list of one or multiple security identifiers
items CellString array with a list of one or more FactSet data items from the FactSet Estimates database
(e.g., EPS, Sales, Net Debt).
Note: Table 1 in Appendix has a comprehensive list of items for which estimates are available using
this function.
report Allows specification of the types of estimates report through which the data is retrieved. The
available reports are: Actuals, BrokerDetail, BrokerSnapshot, Consensus, Guidance, Surprise,
ConsensusReco, DetailedReco, and Coverage.
startDate The start date as of which the estimate data is retrieved.

Optional arguments,

end The end date as of which the estimate data is retrieved

freq The frequency of which the estimate data is retrieved

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fiscalPeriod The fiscal period for the estimate item. The option is available of looking at historical, current, or
future fiscal periods. The fiscal period can be specified using relative dates. The arguments entered
as relative dates represent a date relative to the most recently updated period. For example, 0 (zero)
represents the most recently reported period; -1 represents the time period prior to the most
recently reported period. Arguments entered can be -1, 0, 1, 2, etc.
periodType The argument can be entered as “annual”, “quarterly”, or “semi”, depending on the type of
estimates data request. Not all equities have estimates for all period types.
fields Allows for specification of a select number of fields to extract.
Note: Each section provides a detailed list of the output fields associated with each FactSet
Estimates report.
timeStamp Display the publication time associated with the publication date. The argument would be set up as:
'timestamp', 'y' and it can be used with an actuals report.
reportDate Display report date. The argument would be set up as: 'reportDate', 'y' and can be used with the
Broker Detail report.
previousDates Used with the Consensus report and refers to previous date as of which estimates can be retrieved
and compared to the estimates retrieved as of the date argument. For example, if EPS estimates are
displayed as of now, allows clients to compare the EPS estimates as of i.e. 30 days ago.
prev If the previousDates argument is used the ‘fields’ and ‘prev’ should be appended.
display Used with the Broker Detail report. If utilizing HISTO for the historical look an ‘end date’ argument
must be entered. If utilizing the SNAP mode, an ‘end date’ parameter is not needed unless looking
for the current consensus less than 100 days old. Otherwise SNAP will bring back the current
consensus as of the last 100 days.
statistic Used with the Surprise report. There are a number of different statistics that the client can bring
back using the Surprise Report. They have the ability to specify which one they prefer. The list
includes: Mean, Median (MED), High Estimate (HIGH), Low Estimate (LOW), Sigma and Standard
Deviation (STDDEV).
Offset1/offset2 Used with the Surprise report. This parameter is to change the number of days used before and after
the report date to calculate price impact. The argument would be set up as: 'offset1', 'offset2'.
Currency Allows all values to be changed to the specified currency. By default, the currency is the value of the
security.
meanText Displays the Rating Name. The argument would be set up as: 'meanText', 'y' and can be used with
the Consensus Recommendation report.
estCurrency In cases where the security’s local currency does not match the Currency of the estimates the
argument 'estCurrency', 'Y' can be used. This changes the currency field to display the Estimate
Currency of the first security returned. Therefore, if the first security in the list as an Estimate
Currency of EUR, all of the results will return in EUR. Also, the field heading changes to
EST_CURRENCY.
showExcluded Available for BrokerDetail and BrokerSnapshot, specifying this to N will only display the broker
estimates that are included in the consensus; default is to show all values.
universe Screening expression to limit the universe
ison Ison-codes can be used to limit the universe ISON_MSCI_WORLD(0,1) is written as 'ison',
'msci_world', 'isonParams', '0,1'
isonParams The arguments within brackets in the ison-code
OFDB Universe is the constituents of an OFDB file, default directory is Client, if the OFDB is stored in
another location the path must be included
OFDBDate Specific date for the constituents of the OFDB
cal Calendar setting, arguments include:
FIVEDAY: Displays Monday through Friday, regardless of whether there were trading holidays.
SEVENDAY: Displays Monday through Sunday.
entry_datetime Allows a user to screen out the results based on the entry_datetime field in broker detail. Ex,
entry_datetime=2/5/2015.
act Can be set to “HIDE” to add the ability to hide broker actuals in a consensus report. Ex, act=”hide”
estdate Can set the estdate to Input
pev Can set to “Y” to use Post Event Consensus
RT Can set to “Y” to disable realtime
FixedRate Can set to “Y” to set a fixed exchange rate.

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Example
In this example, retrieve for Microsoft the EPS and sales actuals as of now for the current reported fiscal year
that the company is in (denoted with the fiscal period 0 argument in the request syntax below) and the values
for the fiscal year before that (denoted with the -1 fiscal period argument).

data = F.EstimatesOnDemand('msft','eps,sales','actuals','NOW', 'fiscalperiod','-1,0','periodtype','annual');

With the output:

R:
SecId CURRENCY FE.ITEM FE.PER.REL FE.REPORT.FY PUBDATE DATE FE.ACTUAL FE.ACTUAL.FLAG
1 MSFT USD EPS -1 2013-07-19 2013-07-18 2013-06-30 2.58 1
2 MSFT USD EPS 0 2014-07-23 2014-07-22 2014-06-30 2.63 1
3 MSFT USD SALES -1 2013-07-19 2013-07-18 2013-06-30 77849.00 1
4 MSFT USD SALES 0 2014-07-23 2014-07-22 2014-06-30 86833.00 1

MATLAB:
SecId: 'MSFT'
CURRENCY: {'USD' 'USD' 'USD' 'USD'}
FE_ITEM: {'EPS' 'EPS' 'SALES' 'SALES'}
FE_PER_REL: [-1 0 -1 0]
FE_REPORT_FY: [735434 735803 735434 735803]
PUBDATE: [735433 735802 735433 735802]
DATE: [735415 735780 735415 735780]
FE_ACTUAL: [2.5800 2.6300 77849 86833]
FE_ACTUAL_FLAG: [1 1 1 1]
3.3.5.16 F.TickHistory

Note: Requires FactSet plugin version 3.1+

The syntax for the F.TickHistory function is:

Data=F.TickHistory(‘IDs’,’StartDate’,’StartTime’,’EndDate’,’EndTime’,’Interval’,’fields’,’OptionalFields’)

Where,

Data Variable name for the data returned

IDs Identifier for which data will be returned. Maximum of one identifier.
StartDate Start Date of request in format YYYYMMDD
StartTime Start Time of request in format HHMMSS
EndDate End Date of request in format YYYYMMDD
EndTime End Time of request in format HHMMSS
Interval Frequency at which data will be returned
Fields Hardcoded argument to allow for specific field requests

Optional Fields

BID_1 The last bid price or last bid price in an interval

BID_VOL_1 The volume of the last bid or last bid in an interval
BID_EXCH_1 The exchange of the last bid or last bid in an interval
ASK_1 The last ask price or last ask price in an interval
ASK_VOL_1 The volume of the last ask or last ask in an interval

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ASK_EXCH_1 The exchange of the last ask or last ask in an interval
LAST_1 The last trade price or last trade price in an interval
LAST_DATE_1 The date of the last trade or last trade in an interval
LAST_TIME_1 The time of the last trade or last trade in an interval
LAST_VOL_1 The volume of the last trade or last trade in an interval
LAST_EXCH_1 The exchange of the last trade or last trade in an interval
CUM_VOL The daily cumulative volume or the cumulative volume for trades inside an interval
VWAP The volume weighted average price for the trades inside an interval
OPEN_1 The first trade of an interval
HIGH_1 The highest trade price in an interval
LOW_1 The lowest trade price in an interval
TRADE_CONDITION Trade condition of the last trade or last trade price in an interval
GMT_OFFSET GMT Offset in Minutes
PRICE_CURRENCY Currency of Quotes and Prices

Intervals

Interval Description Max Days

Requested
0 Every Tick 1
1S 1 Second 1
5S 5 Seconds 1
10S 10 Seconds 1
15S 15 Seconds 1
30S 30 Seconds 15
1M 1 Minute 30
2M 2 Minutes 60
5M 5 Minutes 60
10M 10 Minutes 60
15M 15 Minutes 60
30M 30 Minutes 60
1H 1 Hour 60

Limitations and Notes

- If the number of days requested exceeds the “Max Days Requested” listed above, MATLAB and R will only return
data for 1 day.
- A maximum of 10 TickHistory requests can be made in any one-minute period.
- If more than 100,000 rows of data are requested in any one-minute period, the next request will be delayed until
the next minute.
- Only one ticker may be specified in each request

Example
In this example, retrieve the Last Price, Last Time and Last Date for IBM every minute for the day of 9/25/2014.

Data=F.TickHistory('IBM','20140925','093000','20140925','160000','1M','fields','LAST_1,LAST_TIME_1,LAST_DATE_1')

With the output:

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R:
LAST_1 LAST_TIME_1 LAST_DATE_1
1 192.270 93055968 20140925
2 191.930 93159708 20140925
3 191.900 93257886 20140925
4 191.910 93359856 20140925
5 191.970 93446543 20140925
6 192.120 93548632 20140925
…

MATLAB:
LAST_1: [1x390 double]
LAST_TIME_1: [1x390 double]
LAST_DATE_1: [1x390 double]

3.3.5.17 F.RealTime

The realtime function allows users to stream realtime exchange data. Multiple securities can be streamed at
once and the streaming data can be referenced through the variables that are created. The FactSet
Workstation must be running for this function to work and the FactSet Datafeed Toolkit must be installed
when using MATLAB.

Note: Requires an additional subscription and FactSet plugin version 3.0+ for MATLAB and 3.1+ for
R/Developer’s Toolkit

http://www.factset.com/download/statlink/Docs%203.0/Streaming

Sample MATLAB Results

Sample R Syntax and Results

Data=F.RealTime('FDS') , where “FDS” is the ticker.

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R Results:

Note: There is no streaming interface in R. Results must be pulled by re-running the F.RealTime command.

3.3.5.17 F.Snapshot

Note: Requires an additional subscription and FactSet plugin version 3.1+

The Snapshot service provides access to streaming exchange data and allows the “snap” of real-time prices at
the user’s request. When the command is run, a list of all available exchange data items will be returned by
default.

Syntax:

Data=F.Snapshot('Ticker')

Requests can be made for multiple tickers as well in a comma delimited format.

Data=F.Snapshot('Ticker1,Ticker2,Ticker3')

Fields can be selectively returned at a user’s request to limit the results.

Data=F.Snapshot('Ticker','Fields','Fields Requested')

Sample Request with Result (Single Ticker)

Data=F.Snapshot('FDS')

Data = LAST_EXCH_1: 3 UPPER_TRADING_BAND: 163.0600

CLOSE_1: 154.0400 NYSE_BUY_IMBALANCE: 0
REQ_SYM: {'FDS'} CLOSE_TIME_1: 161507000 NYSE_SELL_IMBALANCE: 0
KEY: {'FDS-USA:D'} LAST_EXCH: 10050 NAS_BUY_IMBALANCE: 0
EXCHANGE: 11099 LAST_UNOFF_1: 155.2800 NAS_SELL_IMBALANCE: 0
ORIG_SEQUENCE: 1525089 LAST_UNOFF_DATE_1: 20150218 OPEN_1: 153.7300
BID_1: 155.1800 LAST_UNOFF_TIME_1: 135711897 HIGH_1: 155.7000
BID_DATE_1: 20150218 LAST_UNOFF_VOL_1: 30 HIGH_TIME_1: 120617000
BID_TIME_1: 135757694 LAST_UNOFF_COND_1: {'01 2 94 24'} LOW_1: 153.0102
BID_VOL_1: 1 LAST_UNOFF_EXCH_1: 14 LOW_TIME_1: 93217000
BID_TICK_1: 1 LAST_PREMKT_1: 0 VENUE: {'FINN'}
BID_EXCH_1: 1 LAST_PREMKT_TIME_1: 0 CORR_LAST: NaN
BID_EXCH: 11100 LAST_PREMKT_VOL_1: 0 CORR_LAST_VOL: NaN
ASK_1: 155.3300 LAST_UNOFF_EXCH: 10075 SECURITY_TYPE: 1
ASK_DATE_1: 20150218 LAST_PREMKT_CUM_VOL: 0 CUSIP: 30307510

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 ASK_TIME_1: 135757694 LAST_POSTMKT_1: 0 DESCRIPTION: {'FactSet
ASK_VOL_1: 1 LAST_POSTMKT_TIME_1: 0 Research Systems Inc.'}
ASK_EXCH_1: 9 LAST_POSTMKT_VOL_1: 0 SHARES_OUTSTANDING: 41.7070
ASK_EXCH: 11103 LAST_POSTMKT_CUM_VOL: 0 PRICE_CURRENCY: {'USD'}
SHORT_SALE_INDICATOR: 0 OFFBOOK_CUM_VOL: 0 SECURITY_STATUS: 0
QUOTE_COND: 0 CUM_VOL: 84347 GMT_OFFSET: -300
LAST_1: 155.3700 TURNOVER: 1.3060e+04 FINANCIAL_STATUS: 4
LAST_DATE_1: 20150218 VWAP: 154.8462 HALT_INFO: 0
LAST_TIME_1: 135344317 TRD_CNT: 1284 AVG_30DAY_VOL: 0.2473
LAST_VOL_1: 30 BLK_TRD_CNT: 0 AVG_5DAY_VOL: 0.2121
LAST_COND_1: 6 BLK_CUM_VOL: 0 TRADE_CONDITION: {'01 2 94 24'}
LAST_TICK_1: 3 PREV_CLOSE: 154.0400
PREV_CLOSE_DATE: 20150217
LOWER_TRADING_BAND: 147.5300

Sample Request with Result (Selected Fields)

Data=F.Snapshot('FDS','Fields','PREV_CLOSE,VWAP,HIGH_1,LOW_1')

Data =

REQ_SYM: {'FDS'}
KEY: {'FDS-USA:D'}
PREV_CLOSE: 154.0400
VWAP: 154.8709
HIGH_1: 155.7000
LOW_1: 153.0102

3.3.5.17 F.Documents

Note: Requires an additional subscription and FactSet plugin version 3.1+

The Documents service provides access for the retrieval of news stories, investment research reports, filings,
and transcripts. When requested, summary information of the documents will be returned, including an http
URL to access the resulting documents.

Note: This service requires an additional subscription to access this data.

There are 5 Documents functions:

Function Description
F.DocumentsSearch() This function returns headlines and http URL’s, linking to the documents
returned by the search.

F.DocumentsCount() This function returns the count of headlines returned by the search, grouped
by source.

F.DocumentsSources() This request returns a list of possible sources that can be used as arguments in
the “Search” function.
F.DocumentsCategories() This request returns a list of possible categories that can be used as arguments
in the “Search” function.
F.DocumentsTimezones() This request returns a list of possible time zones that can be used as
arguments in the “Search” function.

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 Search Arguments

Note: The only functions above that require arguments are the “Search” and “Count” reports. They both
accept the same arguments and the syntax can be seen below:

Search and Count Arguments

Argument Description
Ids Requested symbols or securities. This is a comma-separated list with a maximum of 1000. Each
symbol can be a FactSet exchange symbol, CUSIP, or SEDOL.
e.g. Ids=IBM,GOOG-USA,GSK-GB
sd Start Date – format is YYYYMMDD or relative +/- days (0,-1,etc)
e.g. SD=20121221 or SD=0
Default = today (0)
Note – this parameter is ignored if the relative time (rt) parameter is used.
ed End Date – format is YYYYMMDD or relative +/- days (0,-1,etc)
e.g. ED=20121221 or ED=-10
Default = today (0)
Note – this parameter is ignored if the relative time (rt) parameter is used.
st Start Time – format is HHMMSS
e.g. ST=09000
Default = 000000
Note – this parameter is ignored if the relative time (rt) parameter is used.
et End Time – Format is HHMMSS
e.g. ET=230000
Default = 235959
Note – this parameter is ignored if the relative time (rt) parameter is used.
rt Relative Tme – format is –HHMMSS
RT is always between the time specified and “now”.
e.g. rt=-120000 (fetch headlines from between 12 hours ago and now)
When using RT, all of the other date and time parameters (ST, ET) will be ignored
24 hours is the maximum historical time to specify (-235959).
N Number of Results to return (SEARCH only)
Maximum Limit = 1000 (for more results, combine with the PAGE parameter)
e.g N=40
Default = 25
page Page Number of Results to return (SEARCH only)
Limit = 50
e.g. Page=2
Default = 1
timezone Time zone to return story dates and times.
e.g. Timezone=<field>
Use timezones from F.DocumentsTimezones()
Time zones are automatically adjusted for daylight savings. No toggling option is available.
Default = “America/New_York”
sources Code for document source to include. This is a comma-separated list.
Use sources from F.DocumentsSources()
e.g. Sources=SA,EDG
Default = ALL
Note: This will be all document sources the client is permissioned to receive, not all available
document sources thru FactSet.
categories Code for categories to include. This is a comma-separated list.
Use categories from F.DocumentsCategories()
e.g. categories=SB:ANLC,IN:OIL
Default = ALL
primary_id Type of Identifier Search to do
Y – will only return headlines of stories that have the search ID(s) as the Primary Id
N – will return headlines of stories that mention/refer to the ID(s)
Default = N
search_text Restricts the search to include any document stories which include the text searched.

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 e.g. search_text=GREECE
For a full listing of Boolen Text Search Operators, see Appendix C.
sym_type Specifies the format of the symbol(s) returned in the ALL_IDS field.
e.g. sym_type=sedol
Values = cusip, sedol, isin, entity_id, tick, tick_region,
If this parameter is not used, default symbols will result in the ALL_IDS field.
Note – agreements with CUSIP and SEDOL are required to receive these symbol types.

Specialized Arguments
Argument Description
StreetAccount Specific sa_categories Code for StreetAccount specific categories to include. This is a comma-
separated list.
e.g. sa_categories=98,106
Default = ALL
Investment Research Specific industries One or more FactSet industry codes separated by commas. For
company reports, the industry code represents the industry of the
company that the report is about. For industry reports, the industry
code represents the industry that the report is about. Industry codes
are not particularly relevant for other types of documents (e.g.,
economic reports).
Investment Research Specific contributors One or more contributor codes. A list of contributors can be obtained
via downloading a file from an FTP site at FactSet. This process will be
outlined at the time of account setup. See section 2.3 for more
information.
Investment Research Specific authors One or more analyst codes of authors who were the primary or
secondary authors of the documents.

Sample Requests

Requests with No Arguments

Data=F.DocumentsSources()

Data=F.DocumentsCategories()

Data=F.DocumentsTimezones()

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Search and Count Functions

Data=F.DocumentsSearch('SD','0','ED','-2','IDS','FDS','N','5','sources','EDG')

Data=F.DocumentsSearch('SD','0','ED','-2','IDS','FDS','N','5','sources','EDG','categories','CN:US')

Data=F.DocumentsCount('SD','0','ED','-2','IDS','FDS','N','5','categories','CN:US')

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Special Use Case Scenarios

Upload Data into an OFDB

The UploadToOFDB functionality allows clients to upload data into an OFDB file stored in Data Central in the
FactSet workstation.

OFDB, which stands for Open FactSet Database, is a high-performance multi-dimensional database system
used to securely store proprietary numeric and textual data on FactSet. OFDB is ideal for users who manage
large portfolios or maintain extensive historical proprietary databases. OFDB optimizes large, multi-
dimensional databases, giving FactSet users highly flexible, fast access to large volumes of complex data that
can be used in many different applications.

Note: The optimal use of the UploadToOFDB functionality from MATLAB or R is for ad-hoc and smaller
scale data uploads and would not replace a client’s needs for FTP processes or production services,
for larger scale or holdings uploads into FactSet.

Requirements for UploadToOFDB

The following are the necessary requirements to upload data into an OFDB:
+ Data set must have at least ID, Date and Items field;
+ Fields uploaded can be iterated of any frequency or non-iterated;
+ Date types can be High Precision, Integer, or Text;
+ MATLAB - Dates need to be uploaded as integers in YYYYMMDD format for MATLAB or a MATLAB native
date format
+ R – Dates can be uploaded as yyyymmdd and mm/dd/yyyy formats.
+ Data Central subscription in the FactSet workstation is necessary;

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 + Basic data storage access available to all clients with a premium FactSet workstation in Data Central
is 1GB of storage space. Additional data storage is available and should be discussed with a FactSet
sales representative.
+ If attempting to upload data to a full OFDB file and thus exceeding data storage space access, there
will be an error message, "Client Data Space is Full", after running an upload from MATLAB/R.
+ FactSet does not need to be launched when uploading data into an OFDB.
Creating a New OFDB

The following details are regarding the behavior of an OFDB file that is created through UploadToOFDB:

+ If the OFDB does not already exist, it will be created.

+ OFDBs created by UploadToOFDB have all fields iterated with Daily Frequency and data type High
Precision for numbers and Text(32) for strings.
+ OFDB schemas define the database. If another schema is required for the OFDB file, it should first be
created in Data Central. For more details regarding creating or editing schemas refer to Online Assistant
page 11502.
+ Once an OFDB is created, no changes to the schema can be made through the UploadToOFDB
functionality. A new OFDB would need to be created to make the necessary changes.

Modifying an Existing OFDB

The following details are regarding modifying an OFDB file through UploadToOFDB, when adding additional
dates or values to that file:

+ Data for an additional date can be appended for existing securities in an OFDB file.
+ Data for additional securities can be appended to an OFDB file for the existing dates in the file or for a
new date range.
+ The headers of the data uploaded must match the existing column names.
+ New Data items cannot be appended to an existing OFDB through the UploadtoOFDB functionality.

F.UploadToOFDB Syntax
Before uploading data into an OFDB file, it is necessary to first create a structure, similar to the structure of the
results returned by a factlet request.

The syntax for the F.UploadToOFDB functionality is:

F.UploadToOFDB(OFDB, data)
where,

OFDB The name of the OFDB file to which the data is getting uploaded (default directory is Personal,
for other locations the path must be specified).
data The Data structure that is uploaded to the OFDB.

MATLAB Example:
In this example a MATLAB data structure is created, using price and volume projections for the securities FDS
and XOM, for the dates 4/10/2014-4/12/2014.

data_up(1).Id = 'FDS';
data_up(1).Date = [datenum('4/10/13') datenum('4/11/13') datenum('4/12/13')];
data_up(1).my_price = [93.23 nan 92.65];

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data_up(1).my_volume = [388.205 0 359.396];
data_up(2).Id = 'XOM';
data_up(2).Date = [datenum('4/10/13') datenum('4/11/13') datenum('4/12/13')];
data_up(2).my_price = [88.68 nan 89.22];
data_up(2).my_volume = [14826.0 0 14980.0];

Once the MATLAB structure is created, using the UploadToOFDB syntax, the data structure titled data_up is
uploaded to an OFDB file titled Analyst Forecast, saved in the Personal directory.

F.UploadToOFDB('Analyst_Forecast',data_up);

R Example:
In this example an R data frame is created, using price and volume projections for the securities FDS and XOM,
for the dates 4/10/2014-4/12/2014.

dates = c('4/10/14','4/11/14','4/12/14')
my_price = c(93.23,NA,92.65)
my_volume = c(388.205,0,359.396)
fds_data = data.frame(Id='FDS',Date=dates,my_price=my_price,my_volume=my_volume)
my_price = c(88.68,NA,89.22)
my_volume = c(14826.0,0,14989.0)
xom_data = data.frame(Id='XOM',Date=dates,my_price=my_price,my_volume=my_volume)
data_up = rbind(fds_data,xom_data)

The R data frame is uploaded into an OFDB file titled Analyst_Forecast.

F.UploadToOFDB('Analyst_Forecast',data_up)

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FactSet’s Supply Chain Data
FactSet’s supply chain data is used to view the complex networks of companies' key customers, suppliers,
competitors, and strategic partners, including both direct (named by company) and reverse (named by other
companies) relationships in your custom reports and templates with select formulas.

A subscription to FactSet Supply Chain data is required to retrieve company relationship data.

To access this data through ExtractVectorFormula, the FQL code FF_COMPANY_RELATIONSHIP is used. This
returns relationship companies and related information for a given company based on your selections.

Note: FactSet’s Supply Chain data requires an additional subscription. Please contact your local support team
to gain access.

Syntax:

FF_COMPANY_RELATIONSHIP(relationship_type,company_type,identifier_output,data_output,relationship_di
rection)

Where:

Relationship_Type can be specified as:

+ Competitors (COMP)
+ Suppliers (SUPL)
+ Clients/Customers (CUST)
+ Partners (PRTR)
Company_Type can be specified as:

+ Public Companies Only (PUB)

+ Private Companies Only (PVT)
+ Public and Private Companies (ALL)

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Identifier_Type can be specified as:

+ FactSet Entity Identifier (Public or Private Companies) (FEID)

+ Regional Ticker (Public Companies Only) (TICKER)
+ CUSIP/SEDOL (Public Companies Only) (CUSIP)
+ CUSIP/SEDOL/FactSet Entity Identifier (Public and Private Companies Only) (CUSIP_FEID)
+ Regional Ticker/FactSet Entity Identifier (Public and Private Companies Only) (TICKER_FEID)
Data_Output can be specified as:

+ Identifier Only (IDONLY)

+ Identifier and Name (IDNAME)
+ All Data (ALL)
Relationship_Direction can be specified as:

+ All (ALL)
+ Direct (CDEF)
+ Reverse (ODEF)

Note: Competitor and Partner relationships are the same type of stated relationship for any direction. “Other”
Customer relationships are when the other company mentions the source company as a distinct supplier.
"Other" Supplier relationships are when the other company mentions the source company as a distinct
customer

More detailed information for FF_COMPANY_RELATIONSHIP is available on OA 17503

Example 1:
In this example the below earnings statement from Mattel is investigated through the
FF_COMPANY_RELATIONSHIP code.

“On Thursday July 17th, Mattel is scheduled to report its earnings. Mattel's relationship with Walmart
accounts for 18% of its total Barbie doll and Hot Wheels toy car sales.”

To extract this data the Supplier (SUPL) report for Walmart (WMT) is retrieved.

data = F.ExtractVectorFormula('WMT','FF_COMPANY_RELATIONSHIP(SUPL,ALL, FEID,ALL,ALL)');

Output:

This is considered a REVERSE relationship – Mattel has determined this relationship although the search is
from WMT .

Mattel also is a supplier to TGT, which accounts for 7.7 % of sales.

data = F.ExtractVectorFormula('TGT','FF_COMPANY_RELATIONSHIP(SUPL,ALL, FEID,ALL,ALL)');

Output:

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Customer (CUST) relationships from MAT

From the MATTEL perspective, their relationship to TGT and WMT is as a customer (CUST).

data = F.ExtractVectorFormula('000PK1-E','FF_COMPANY_RELATIONSHIP(CUST,ALL,FEID,ALL,ALL)');

Output:

This is considered a DIRECT relationship – Mattel has determined this relationship.

Example 2:
In this example the Partners of Facebook is extracted, the symbol type here is set as Ticker.

data = F.ExtractVectorFormula('FB','FF_COMPANY_RELATIONSHIP(PRTR,ALL, TICKER,ALL,ALL)');

Output:

Example 3:
In this example the Private companies that are Competitors to Microsoft are extracted.

data = F.ExtractVectorFormula('MSFT','FF_COMPANY_RELATIONSHIP( COMP,PVT,FEID,ALL,ALL)');

Output:

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FactSet’s Geo Rev Data
Based on the methodology developed by Revere Data, LLC, FactSet Geographic Revenue Exposure provides a
normalized and robust display of companies’ revenues by geography. With the FactSet Geographic Revenue
Exposure database, you can access a comprehensive database that maps disparate geographic revenue of
companies to a proprietary four-level classification system containing more than 280 countries, areas, regions,
and super-regions.

Geographic revenue represents the percent of geographic revenue derived from customer locations of a
company. This data is further accompanied by confidence scores to provide additional insight on the estimates
of revenue percentage.

Empowered by a normalized data set mapped to a hierarchical structure, FactSet Revere Geographic Revenue
Exposure algorithms have been built to allocate geographic revenues to regions and countries that companies
did not explicitly disclose. These estimates are accompanied by a confidence score, which is a ranking score
gauging the trustworthiness of the estimates.

Note: FactSet’s Geo Rev data requires an additional subscription. Please contact your local support team to
gain access.

Formulas:

Super-Regions
+ FF_GEOREV_SUPER_REGION_PCT: Returns the percentage of estimated revenue for a super-region.
+ FF_GEOREV_SUPER_REGION_REV: Returns the amount of estimated revenue for a super-region. This is
calculated as the percentage of estimated revenue for a super-region
(FF_GEOREV_SUPER_REGION_PCT) multiplied by the FactSet Fundamentals sales value (FF_SALES) for
the corresponding fiscal year.
+ FF_GEOREV_SUPER_REGION_CONF: Represents the confidence score for revenue percentage for a
super-region.

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Regions
+ FF_GEOREV_REGION_PCT: Returns the percentage of estimated revenue for a region.
+ FF_GEOREV_REGION_REV: Returns the amount of estimated revenue for a region. This is calculated as
the percentage of estimated revenue for a region (FF_GEOREV_REGION_PCT) multiplied by the FactSet
Fundamentals sales value (FF_SALES) for the corresponding fiscal year.
+ FF_GEOREV_REGION_CONF: Represents the confidence score for revenue percentage for a region.
Areas
+ FF_GEOREV_AREA_PCT: Returns the percentage of estimated revenue for an area.
+ FF_GEOREV_AREA_REV: Returns the amount of estimated revenue for an area. This is calculated as the
percentage of estimated revenue for an area (FF_GEOREV_AREA_PCT) multiplied by the FactSet
Fundamentals sales value (FF_SALES) for the corresponding fiscal year.
+ FF_GEOREV_AREA_CONF: Represents the confidence score for revenue percentage for an area.

Countries
+ FF_GEOREV_COUNTRY_PCT: Returns the percentage of estimated revenue for a country.
+ FF_GEOREV_COUNTRY_REV: Returns the amount of estimated revenue for a country. This is calculated
as the percentage of estimated revenue for a country (FF_GEOREV_COUNTRY_PCT) multiplied by the
FactSet Fundamentals sales value (FF_SALES) for the corresponding fiscal year.
+ FF_GEOREV_COUNTRY_CONF: Represents the confidence score for revenue percentage for a country.
The following table outlines the geographic classification system with region levels, examples, and codes for
each:

# Level Example Codes (FactSet Revere Levels,

Country ISO)
1 Super-Region Africa and Middle East, Americas, Asia- R1, R101, R170, R274
Pacific, Europe
2 Region Latin America, Oceania, European Union R102, R233, R275
3 Area Pacific Islands, Caribbean, Western R237, R103, R45
Africa
4 Country Brazil, United States, Thailand, Germany 76, 840, 764, 276

Formula Syntax:

The following section lists the formula syntax and an example for the _PCT and _CONF formulas available from
the FactSet Revere Geographic Revenue Exposure database.

Time Series (FQL) Syntax for _PCT and _CONF Formulas:

+ Data = F.ExtractFormulaHistory(‘Ticker’,‘Code’,‘Date Argument’)

+ Where Code:
+ formula(Region Code, Periodicity, Start Date, End Date, Frequency, Alignment)

Sample for IBM’s Geographic Revenue (%) in Africa and the Middle East Super-Region for the last 4 fiscal years
+ data = F.ExtractFormulaHistory('IBM-US', 'FF_GEOREV_SUPER_REGION_PCT(\"R1\",ANN,0,-3Y,FY,RF)', '0:-
3Y:FY')
--------------------------------------------------------------------------------------------------------------------------------------

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Time Series (FQL) Syntax for _REV Formulas:

+ Data = F.ExtractFormulaHistory(‘Ticker’,‘Code’,‘Date Argument’)

+ Where Code:
+ formula(Region Code, Periodicity, Start Date, End Date, Frequency, Alignment, Currency)
Sample for IBM’s Geographic Revenue in Africa and the Middle East Super-Region for the last 4 fiscal years.

+ data = F.ExtractFormulaHistory('IBM-US', 'FF_GEOREV_SUPER_REGION_REV(\"R1\",ANN,0,-3Y,FY,RF,USD)',

'0:-3Y:FY')
--------------------------------------------------------------------------------------------------------------------------------------
Snapshot (Screening) Syntax for _PCT and _CONF Formulas:

+ Data = F.ExtractFormulaHistory(‘Ticker’,‘Code’,‘Date Argument’)

+ Where Code:
+ formula(Region Code, Periodicity, Start Date, Alignment)
Sample for IBM’s Geographic Revenue (%) in Africa and the Middle East Super-Region for the latest completed
fiscal year.

+ data = F.ExtractDataSnapshot('IBM-US', 'FF_GEOREV_SUPER_REGION_PCT(R1,ANN,0,RF)', '0Y')

--------------------------------------------------------------------------------------------------------------------------------------
Snapshot (Screening) Syntax for _REV Formulas:

+ Data = F.ExtractFormulaHistory(‘Ticker’,‘Code’,‘Date Argument’)

+ Where Code:
+ formula(Region Code, Periodicity, Start Date, Alignment,Currency)
Sample for IBM’s Geographic Revenue in Africa and the Middle East Super-Region for the latest completed
fiscal year.

+ data = F.ExtractDataSnapshot('IBM-US', 'FF_GEOREV_SUPER_REGION_REV(R1,ANN,0,RF,USD)', '0Y')

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 FactSet GeoRev Use Case for MATLAB/R

Macro to Micro GeoRev Factor to Predict Stock Performance

Full Global Sample – Country GDP Domestic Firms – Country GDP Domestic Firms – Alternative
Growth Growth Country Factor
16.8% 22.2% 14.2%
Annual Excess Return Annual Excess Return Annual Excess Return
0.93 0.93 N/A
Sharpe Sharpe Sharpe

AQR Study Title Strategy Universe Time Horizon Author Published

Journal of
London
Macro to Expected Country Global – 198,315 12 Years Richardson, Accounting &
Business
Micro Momentum firm years (1998 – 2010) Li & Tuna Economics
School
2014

Signal = Incorporating Macroeconomic Information to Firm Level Forecasting

Hypothesis: Stock prices do not efficiently incorporate fundamental information related to country level
exposures and expectations of country level performance.

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 Macrot Calculation with an Example of Intel

MACROt = Sum Product of firm’s geographic revenue exposure and GDP Growth

Geographic Region Geographic Revenue Geographic GDP Growth GRE * GGF

Exposure (GRE) Forecast (GGF)
United States 17.6% 3.18% .0055
China 19.5% 7.01% .0137
Rest of the World 62.9% 1.5% .0094

MACROt (Intel) = .0287

MACROt Application in Forecasting Returns – Step 1 & 2

1) Start with a global equity universe

2) Identify geographic revenue exposure to regions and GDP growth forecasts for each stock on a
monthly basis

MACROt Application in Forecasting Returns – Step 3

3) Calculate Sum Product of GDP growth forecast to geographic revenue exposure, then rank from
highest to lowest.

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 Geo-Exposure % to United Stock Universe MACROt Ranking
States, China, Rest of World
17.6% | 19.5% | 62.9% Intel .0287
47.5% | 6.8% | 45.7% GE
68.4% | 3.4% | 28.2% Disney
71.1% | 9.8% | 19.0% Wal-Mart
35.0% | 35.0% | 30.0% Company N .0290

MACROt Application in Forecasting Returns – Step 4 & 5

4) Based on MACROt ranking, break companies into quintile, then long top quintile (cap-weighted) &
short bottom quintile (cap-weighted)

5) Repeat steps 2-4 on a monthly basis, adjusting for any changes in GDP growth forecasts and
geographic revenue exposure.

R Script

# Note: GRE = Geographic Revenue Exposure

# Note: GGF = Geographic GDP Growth Forecast

# Pull Universe Identifiers and Names

CompanyNameRaw = F.ExtractFormulaHistory('', 'PROPER_NAME',

'0','universe','ISON_MSCI_REGION(990100,0,CLOSE,OFF)=1')
IDS = CompanyNameRaw[1]
Date=CompanyNameRaw[2]
CompanyName=CompanyNameRaw[3]

# Pull Geographic GRE Data by Country for the MSCI World Index

USCountryGREPctRaw = F.ExtractFormulaHistory('',
'FF_GEOREV_COUNTRY_PCT(\\"840\\",ANN,0,,,RF)',
'0','universe','ISON_MSCI_REGION(990100,0,CLOSE,OFF)=1')
USCountryGREPct = USCountryGREPctRaw[3]/100
ChinaCountryGREPctRaw = F.ExtractFormulaHistory('',
'FF_GEOREV_COUNTRY_PCT(\\"156\\",ANN,0,,,RF)',
'0','universe','ISON_MSCI_REGION(990100,0,CLOSE,OFF)=1')
ChinaCountryGREPct = ChinaCountryGREPctRaw[3]/100
OtherCountryGREPct = 1-USCountryGREPct-ChinaCountryGREPct

# Pull Geographic GGF Forecast Data by Country for the MSCI World Index

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USCountryGGFRaw =
F.ExtractEconData('','CNS_ECON_DATA(\'RGDPRCY1@US\',0M,0M,M,STEP,AVERAGE,1)')
USCountryGGF = USCountryGGFRaw[3]/100
ChinaCountryGGFRaw =
F.ExtractEconData('','CNS_ECON_DATA(\'RGDPRCY1@CN\',0M,0M,M,STEP,AVERAGE,1)')
ChinaCountryGGF = ChinaCountryGGFRaw[3]/100
OtherCountryGGF = .015

# Calculate GRE * GGF and SUM for MACROt

USGREGGF = USCountryGREPct*USCountryGGF[1,1]
ChinaGREGGF = ChinaCountryGREPct*ChinaCountryGGF[1,1]
OtherGREGGF = OtherCountryGREPct*OtherCountryGGF

SUMGREGGF = USGREGGF+ChinaGREGGF+OtherGREGGF

#Combine All Data and Rename Headers

FullAnalysis =
data.frame(IDS,Date,CompanyName,USCountryGREPct,ChinaCountryGREPct,OtherCountryGREPct,USCoun
tryGGF,ChinaCountryGGF,OtherCountryGGF,USGREGGF,ChinaGREGGF,OtherGREGGF,SUMGREGGF,st
ringsAsFactors = FALSE)

names(FullAnalysis)[1]<-paste("Id")

names(FullAnalysis)[3]<-paste("Company_Name")
names(FullAnalysis)[4]<-paste("United_States_Exposure")
names(FullAnalysis)[5]<-paste("China_Exposure")
names(FullAnalysis)[6]<-paste("Rest_of_World_Exposure")
names(FullAnalysis)[7]<-paste("US_GDP_Forecast")
names(FullAnalysis)[8]<-paste("China_GDP_Forecast")
names(FullAnalysis)[9]<-paste("Rest_of_World_GDP_Forecast")
names(FullAnalysis)[10]<-paste("United_States_GRE_GGF_Calc")
names(FullAnalysis)[11]<-paste("China_GRE_GGF_Calc")
names(FullAnalysis)[12]<-paste("Rest_of_World_GRE_GGF_Calc")
names(FullAnalysis)[13]<-paste("MACROt_Sum_Product")

# Sort Data by MACROt (Sum Product of firm's geographic revenue exposure and GDP growth)

FullAnalysis=FullAnalysis[order(FullAnalysis$MACROt_Sum_Product),]

# Based on MACROt ranking, break companies into quintile, then long top quintile (cap-weighted) &
short bottom quintile (cap-weighted)

QuintileFullAnalysis=quantile(FullAnalysis$MACROt_Sum_Product,probs=seq(0,1,0.20),na.rm=TRUE)

#-----------------------------------------------------------------------------

i=1
Fractiles=NULL
for (i in i:NROW(FullAnalysis)) {

if(is.nan(FullAnalysis[i,13])) {
Fractile=NaN
} else {
if (FullAnalysis[i,13]>=QuintileFullAnalysis[1] && FullAnalysis[i,13]<QuintileFullAnalysis[2]) {
Fractile=1
} else {
if (FullAnalysis[i,13]>=QuintileFullAnalysis[2] && FullAnalysis[i,13]<QuintileFullAnalysis[3]) {

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Fractile=2
} else {
if (FullAnalysis[i,13]>=QuintileFullAnalysis[3] && FullAnalysis[i,13]<QuintileFullAnalysis[4]) {
Fractile=3
} else {
if (FullAnalysis[i,13]>=QuintileFullAnalysis[4] && FullAnalysis[i,13]<QuintileFullAnalysis[5]) {
Fractile=4
} else {
if (FullAnalysis[i,13]>=QuintileFullAnalysis[5] && FullAnalysis[i,13]<=QuintileFullAnalysis[6]) {
Fractile=5
} else {
Fractile=0
}
}
}
}
}
}
Fractiles=rbind(Fractiles,Fractile)
}

#-----------------------------------------------------------------------------

# Create Updated DataFrame

FullAnalysis = cbind(FullAnalysis,Fractiles)

# Upload Data to FactSet for Further Analysis

F.UploadToOFDB('GeoRev_R_FullAnalysis',FullAnalysis)

# Output Data to C: Drive

write.table(FullAnalysis, "c:/users/dsheldon/desktop/GeoRev_UseCase", sep="\t", col.names=NA)

# Create Quintile Portfolios

# Pull Quintile 1

i=1
Quintile1=NULL

for (i in i:NROW(FullAnalysis)) {

if(is.nan(FullAnalysis[i,14])) {
} else {

if (FullAnalysis[i,14]==1){

Quintile1=rbind(Quintile1,FullAnalysis[i,])

} else {

}
}
}

F.UploadToOFDB('GeoRev_R_Sample_Quintile1',Quintile1)

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# Pull Quintile 5

i=1
Quintile5=NULL

for (i in i:NROW(FullAnalysis)) {

if(is.nan(FullAnalysis[i,14])) {
} else {

if (FullAnalysis[i,14]==5){

Quintile5=rbind(Quintile5,FullAnalysis[i,])

} else {

}
}
}

F.UploadToOFDB('GeoRev_R_Sample_Quintile5',Quintile5)

MATLAB Script

% Note: GRE = Geographic Revenue Exposure

% Note: GGF = Geographic GDP Growth Forecast

% Pull Universe Identifiers and Names

disp('% Pull Universe Identifiers and Names')

CompanyNameRaw = F.ExtractFormulaHistory('', 'PROPER_NAME',

'0','universe','ISON_MSCI_REGION(990100,-1,CLOSE,OFF)=1');
IDs = {CompanyNameRaw.Id};
Date = [CompanyNameRaw.Date];
CompanyName=[CompanyNameRaw.proper_name];

% Pull Geographic GRE Data by Country for the MSCI World Index
disp('% Pull Geographic GRE Data by Country for the MSCI World Index')

USCountryGREPctRaw = F.ExtractFormulaHistory('',
'ZAV(FF_GEOREV_COUNTRY_PCT(\"840\",ANN,0,,,RF)/100)',
'0','universe','ISON_MSCI_REGION(990100,-1,CLOSE,OFF)=1');
USCountryGREPct = [USCountryGREPctRaw.zav];
ChinaCountryGREPctRaw = F.ExtractFormulaHistory('',
'ZAV(FF_GEOREV_COUNTRY_PCT(\"156\",ANN,0,,,RF)/100)',
'0','universe','ISON_MSCI_REGION(990100,-1,CLOSE,OFF)=1');
ChinaCountryGREPct = [ChinaCountryGREPctRaw.zav];
OtherCountryGREPct = 1-USCountryGREPct-ChinaCountryGREPct;

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% Pull Geographic GGF Forecast Data by Country for the MSCI World Index
disp('% Pull Geographic GGF Forecast Data by Country for the MSCI World Index')

USCountryGGFRaw =
F.ExtractEconData('','CNS_ECON_DATA(''RGDPRCY1@US'',0M,0M,M,STEP,AVERAGE,1)/100');
USCountryGGFPct = USCountryGGFRaw.cns_econ_data;
ChinaCountryGGFRaw =
F.ExtractEconData('','CNS_ECON_DATA(''RGDPRCY1@CN'',0M,0M,M,STEP,AVERAGE,1)/100');
ChinaCountryGGFPct = ChinaCountryGGFRaw.cns_econ_data;
OtherCountryGGFPct = .015;

USCountryGGF(1:length(IDs))=USCountryGGFPct;
ChinaCountryGGF(1:length(IDs))=ChinaCountryGGFPct;
OtherCountryGGF(1:length(IDs))=OtherCountryGGFPct;

%Calculate GRE * GGF and SUM for MACROt

disp('%Calculate GRE * GGF and SUM for MACROt')

USGREGGF=USCountryGREPct.*USCountryGGF;
ChinaGREGGF=ChinaCountryGREPct.*ChinaCountryGGF;
OtherGREGGF=OtherCountryGREPct.*OtherCountryGGF;

SumGREGGF = USGREGGF+ChinaGREGGF+OtherGREGGF;

% Combine All Data

disp('% Combine All Data ')

FullAnalysis.Id = IDs;
FullAnalysis.Date = Date;
FullAnalysis.Company_Name = CompanyName;
FullAnalysis.UnitedStatesExposure = USCountryGREPct;
FullAnalysis.China_Exposure=ChinaCountryGREPct;
FullAnalysis.Rest_of_World_Exposure=OtherCountryGREPct;
FullAnalysis.US_GDP_Forecast=USCountryGGF;
FullAnalysis.China_GDP_Forecast=ChinaCountryGGF;
FullAnalysis.Rest_of_World_GDP_Forecast=OtherCountryGGF;
FullAnalysis.United_States_GRE_GGF_Calc=USGREGGF;
FullAnalysis.China_GRE_GGF_Calc=ChinaGREGGF;
FullAnalysis.Rest_of_World_GRE_GGF_Calc=OtherGREGGF;
FullAnalysis.MACROt_Sum_Product=SumGREGGF;

% Based on MACROt ranking, break companies into quintile, then long top quintile (cap-weighted) &
short bottom quintile (cap-weighted)
disp('% Based on MACROt ranking, break companies into quintile, then long top quintile (cap-weighted) &
short bottom quintile (cap-weighted)')

Quintile=quantile(FullAnalysis.MACROt_Sum_Product,5);

i=1;
for i = 1:length(FullAnalysis.Id)

if ((FullAnalysis.MACROt_Sum_Product(i)>=Quintile(1)) &&
((FullAnalysis.MACROt_Sum_Product(i)<Quintile(2))));
Fractile(i)=1;
else
if ((FullAnalysis.MACROt_Sum_Product(i)>=Quintile(2)) &&
((FullAnalysis.MACROt_Sum_Product(i)<Quintile(3))));

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 Fractile(i)=2;
else
if ((FullAnalysis.MACROt_Sum_Product(i)>=Quintile(3)) &&
((FullAnalysis.MACROt_Sum_Product(i)<Quintile(4))));
Fractile(i)=3;
else
if ((FullAnalysis.MACROt_Sum_Product(i)>=Quintile(4)) &&
((FullAnalysis.MACROt_Sum_Product(i)<Quintile(5))));
Fractile(i)=4;
else
if ((FullAnalysis.MACROt_Sum_Product(i)>=Quintile(5)));
Fractile(i)=5;
else
Fractile(i)=NaN;
end
end
end
end
end

end

FullAnalysis.Quintile=Fractile;
Quintile1 = [];
Quintile5 = [];

% Create Quintile 1 & 5 Portfolios

disp('% Create Quintile 1 & 5 Portfolios')

i=1;

for i = 1:length(FullAnalysis.Id)

if (isnan(FullAnalysis.Quintile(i)))

continue

else

if (FullAnalysis.Quintile(i)==1)

tempQuintile.Id = FullAnalysis.Id(i);
tempQuintile.Date = FullAnalysis.Date(i);
tempQuintile.Company_Name = FullAnalysis.Company_Name(i);
tempQuintile.UnitedStatesExposure = FullAnalysis.UnitedStatesExposure(i);
tempQuintile.China_Exposure=FullAnalysis.China_Exposure(i);
tempQuintile.Rest_of_World_Exposure=FullAnalysis.Rest_of_World_Exposure(i);
tempQuintile.US_GDP_Forecast=FullAnalysis.US_GDP_Forecast(i);
tempQuintile.China_GDP_Forecast=FullAnalysis.China_GDP_Forecast(i);
tempQuintile.Rest_of_World_GDP_Forecast=FullAnalysis.Rest_of_World_GDP_Forecast(i);
tempQuintile.United_States_GRE_GGF_Calc=FullAnalysis.United_States_GRE_GGF_Calc(i);
tempQuintile.China_GRE_GGF_Calc=FullAnalysis.China_GRE_GGF_Calc(i);
tempQuintile.Rest_of_World_GRE_GGF_Calc=FullAnalysis.Rest_of_World_GRE_GGF_Calc(i);
tempQuintile.MACROt_Sum_Product=FullAnalysis.MACROt_Sum_Product(i);
tempQuintile.Quintile=FullAnalysis.Quintile(i);
Quintile1 = [Quintile1 tempQuintile];

else

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 if (FullAnalysis.Quintile(i)==5)

tempQuintile.Id = FullAnalysis.Id(i);
tempQuintile.Date = FullAnalysis.Date(i);
tempQuintile.Company_Name = FullAnalysis.Company_Name(i);
tempQuintile.UnitedStatesExposure = FullAnalysis.UnitedStatesExposure(i);
tempQuintile.China_Exposure=FullAnalysis.China_Exposure(i);
tempQuintile.Rest_of_World_Exposure=FullAnalysis.Rest_of_World_Exposure(i);
tempQuintile.US_GDP_Forecast=FullAnalysis.US_GDP_Forecast(i);
tempQuintile.China_GDP_Forecast=FullAnalysis.China_GDP_Forecast(i);
tempQuintile.Rest_of_World_GDP_Forecast=FullAnalysis.Rest_of_World_GDP_Forecast(i);
tempQuintile.United_States_GRE_GGF_Calc=FullAnalysis.United_States_GRE_GGF_Calc(i);
tempQuintile.China_GRE_GGF_Calc=FullAnalysis.China_GRE_GGF_Calc(i);
tempQuintile.Rest_of_World_GRE_GGF_Calc=FullAnalysis.Rest_of_World_GRE_GGF_Calc(i);
tempQuintile.MACROt_Sum_Product=FullAnalysis.MACROt_Sum_Product(i);
tempQuintile.Quintile=FullAnalysis.Quintile(i);
Quintile5 = [Quintile5 tempQuintile];

else

continue

end
end
end
end

% Calculations Complete
disp('% Calculations Complete')

Chapter 4. Integrated Formula Lookup

Sidebar is a formula lookup included in the FactSet workstation that provides a robust way of searching for
FactSet request codes along with formula details and definitions. The integration of Sidebar into Statistical
packages provides a seamless way of finding FQL and Screening request codes directly from MATLAB and R
and also automatically selecting the appropriate factlet.

Note: Minimum FactSet workstation version 2013.A is required to be able to access the SideBar
through the Statistical packages.

4.1 Launching Formula Lookup in MATLAB and R

The command prompt to launch the SideBar formula lookup is:

F.SideBar()

Note: It is necessary to be logged into the FactSet workstation for Sidebar to load. If not already
logged in, will be prompted to log into the FactSet workstation when running the F.SideBar()
command.

4.2 Searching for Data

The FactSet SideBar allows users to streamline the process of creating FactSet formulas. It features targeted
search results, type-ahead search functionality for identifiers and function-building capability.

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4.2.1 Identifier Lookup
The process of searching for and extracting data in Sidebar involves entering identifiers for equities, indices
and bonds, among other categories. The identifier can be entered directly in the Enter ID field which utilizes
type-ahead functionality or searched for by launching the Identifier Lookup, as displayed in the screenshot
below.

4.2.2 Search for Data Formulas

Data Items are searched for by entering keywords in the Formula Lookup section. By default, the returned list
of formulas will include matching results from all databases the user has access to use.

To limit the search results it is possible to control which formula libraries are being searched, click the Sources
button. To toggle between screening and FQL mode use the button “To Screening/FQL Mode”

Once a formula is selected, a Formula

Arguments section loads, in which it is possible
to specify the formula specific arguments that
are available for the data item selected.

Using Insert Formula, the formula is then inserted

into MATLAB or R, translated into the appropriate
FactSet function request syntax.

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Example:
The SideBar Window to the right displays the input for bringing back Sales data from FactSet Fundamentals for
Ericson and Nokia for the last five years. This SideBar input would result in the below FactSet OnDemand
syntax to be inserted into MATLAB or R:

data = F.ExtractFormulaHistory( 'ERIC.B-SE, NOK1V-FI', 'FF_SALES( ANN,0,-5AY,FY,,EUR)', '0:-5AY:FY')

Note: The economic data has not yet been integrated into Sidebar and the Series Lookup in the workstation
still needs to be used to search for this data and set up the F.ExtractEconData function. Additionally, multiple
identifiers but one data item only can be selected and inserted at one time.

Chapter 5. Troubleshooting & Error Messages

Error Messages

The following are some possible errors when accessing FactSet data in MATLAB.

5.1.1 Undefined Function Error

An error stating that the Function or Class cannot be found usually indicates that the plugin is not properly
installed.

+ Ensure that the subfolder FactSet3 was created under the root directory of the MATLAB/R version the
plugin will be used with.
+ For MATLAB only. Ensure that the paths below are included in the MATLAB paths:
+ C:\Program Files\MATLAB\R20xxx\FactSet3
5.1.2. Unauthorized error
The unauthorized error can either be due to
+ Not access to the add-on product that is required for OnDemand access1.

1
For access related issues please contact your FactSet Sales representative.

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 + Incorrect OnDemand credentials. The username and password used in OnDemand is different from the
FactSet workstation credentials. Please discuss with your FactSet representative if there are any
questions.
5.1.3 Proxy settings error
By default the proxy settings are imported from Internet Explorer, if this is not the desired option they can also
be entered manually though the advanced settings option in the Configuration Window. Proxy settings are
client specific and questions need to be addressed by the end-user’s IT department.

5.1.4 Timeout errors

The timeout can be changed through Advanced Options in the Configuration Window. By default the value is
930 seconds but can be adjusted. In general it is more efficient to split queries up and run multiple smaller
requests rather than only one large request.

5.1.5 Factlet errors

Errors related to factlet syntax are usually related to either unknown arguments or missing required
arguments.

Error Description
Not enough input arguments. If any of the required arguments as per Chapter 3
is not defined
Argument named <name of arg> does not have a value. If a Name - Value pair is not valid
Data downloaded does not contain full header The data cannot be parsed, check the request code
Types and Column name lines do not match in number of columns. The data cannot be parsed, check the request code
FactSetQueryError|<error message> Check the request code

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Appendix 1 – Breaking up a request

Script 1: Example of MATLAB Script to Split up a Request

% Breakup benchmark into several smaller requests

numChunks = 9; % Edit number of chunks, get CUSIPS
data = F.ExtractBenchmarkDetail('SP50','','');
% Get just the securities
cellArrayOfSecurities = data.SECURITY_ID;
% Figure out how to make a square cell (padding required)
numItemsPerRow = ceil( length(cellArrayOfSecurities)/numChunks );
totalItems = numChunks * numItemsPerRow; % Using ceil to pad
padsNeeded = totalItems - length(cellArrayOfSecurities);
padding = num2cell(nan(1,padsNeeded)); % Make padding matrix
cellArrayOfSecurities = [cellArrayOfSecurities{:} padding]; % Add padding
requestMatrix = reshape( cellArrayOfSecurities, ... % Reshape matrix to rect
numChunks, numItemsPerRow );
removeNansFromCellFn = @(x) all(isnan(x(:))); % Declare function clear NaNs
result = [];
for i=1:numChunks, % Fetch each chunk in order
cellArrayOfIds = requestMatrix( i,1:end ); % Dont forget to strip NaNs
cellArrayOfIds(cellfun(removeNansFromCellFn, cellArrayOfIds)) = [];
currentResult = F.ExtractDataSnapshot(cellArrayOfIds, ...
'p_name,p_price,p_volume,fg_eps','');
result = [result currentResult]; %#ok And concatentate results
end
[sx,sx]=sort([result.p_name]); % Sort on names
result=result(sx); % Arrange
for i = 1:length(result), % Display
fprintf('%30s, Price = %6.2f, Volume = %6.2f, EPS = %6.2f\n', ...
result(i).p_name{:}, result(i).p_price , ...
result(i).p_volume , result(i).fg_eps );
end

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Script 2: Example of R Script to Split up a Request

## Get SP500 benchmark

dfBenchmark = F.ExtractBenchmarkDetail('SP50','','')
## Filter and just get CUSIPS
dfBenchmarkCUSPIPs = dfBenchmark[3]
## Number of CUSIPS
numCUSIPSs = nrow(dfBenchmarkCUSPIPs)
## Decide how many requests to break it up into
numOfRequestChunks = 7
## Create a list of indicies from the benchmark
listOfIndicies = c()
for( i in 1:nrow( dfBenchmarkCUSPIPs ) ){
listOfIndicies = c( listOfIndicies, dfBenchmarkCUSPIPs[[1]][[i]] );
}
## Split up vectors into chunks - keep even as possible
chunks = split(listOfIndicies,
rep(1:numOfRequestChunks,
ceiling(length(listOfIndicies)/numOfRequestChunks),
length.out = length(listOfIndicies)))
dfResult = NULL; # Declare blank data frame
for( i in 1:length(chunks) ){ # For each chunk and get data
currentIDsString = paste(chunks[[i]], collapse = ", "); #Build and ID string
currentDataChunk =
F.ExtractDataSnapshot( currentIDsString, 'p_name,p_price,p_volume,fg_eps','')
if( i != 1 ){ ## Then append all the data together into one final frame
dfResult<-rbind(dfResult, currentDataChunk)
} else {
dfResult<-currentDataChunk
}
}
dfResult = dfResult[order(dfResult$p.name),]
cat('Final result, dfResult, has ', nrow( dfResult ), ' rows and ', ncol(dfResult),' columns.\n',sep='');

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Appendix 2 – Configuration items

All the settings available from the Configuration Window can also be set programmatically.

The command to set an item is:

F.SetConfigurationItem(F.ConfigOptions.ITEM, 'item')

The Command to get the value for an item is:

F.GetConfigurationItem(F.ConfigOptions.ITEM)

where ITEM is replaced with an item from the below list.

+ DataDirectUserName
+ DataDirectPassword
+ Timeout
+ HTTPSRetries
+ ProxyUserName
+ ProxyPassword
+ ProxyServer
+ UseManualProxy
+ SideBarDataName
+ ProxyPort
+ UseBeta

Example:
F.SetConfigurationItem(F.ConfigOptions.DataDirectUserName, 'username')
F.GetConfigurationItem(F.ConfigOptions.DataDirectUserName)

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