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Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
Factor Research and FactSet’s Integration with MATLAB
Christopher Thomas Content & Technology Solutions Sales Specialist Joe Importico, CFA, FRM Vice President, Quantitative Product Specialist
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 2
Agenda
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Introduction + FactSet Overview
+ FactSet Content
+ MATLAB Integration
+ Creating a Factor Allocation Model
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 3 April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Founded in 1978
+ Public since 1996
+ Dual listed on NYSE & NASDAQ (FDS)
+ 6,399 employees worldwide
+ FY 2013 was FactSet’s 17th consecutive year of positive earnings growth
About FactSet
+ 2,525 clients
+ 51,014 users
+ 95% Client Retention
Client Base
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 4
Trusted by the Industry’s Best
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Top media players trust FactSet as a reliable source for financial information
+ Every day, FactSet data is used by thousands of professionals – and cited in leading publications
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
FactSet DataFeed Solutions
5 April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
Fundamentals
Estimates
Ownership
Benchmarks
Economics
Events & Transcripts
People
Private Equity
M&A
Pricing
Debt Capital Structure
Corporate Governance
Corporate Activism
Industry & Sector Classifications
Entity Hierarchy
Supply Chain
Geographical Revenue
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 6
FactSet and MATLAB Integration
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Access full scope and coverage of FactSet content
+ Eliminate the need to download/upload files manually + Outsource data management
+ Retrieve FactSet data in a MATLAB-friendly format
+ Take advantage of quick and easy setup + www.factset.com/download/statlink
+ Seamless integration with other FactSet applications
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 7
Extract Data in MATLAB
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
^=FF_ENTRPR_VAL_EBITDA_OP
ER(QTR,-20AY,0)
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
MATLAB Request Output
8 PRESENTATION FROM FACTSET RESEARCH SYSTEMS April 3, 2014
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
Help Menu and Documentation
9 PRESENTATION FROM FACTSET RESEARCH SYSTEMS April 3, 2014
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 10
FactSet Plugin Integration Requirements
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ MATLAB Datafeed Toolbox®
+ MATLAB version 2007a or higher
+ FactSet subscription
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. April 3, 2014 11 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
Factor Modeling & Evaluating Results
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
Quantitative Workflow
12 April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
Benefits of Backtesting on FactSet
+ Historical screening and data management + Historical CUSIP/SEDOL stitching across databases
+ Avoid look-head and survivorship bias + Point-in-Time databases
+ Lagging Fundamental Content
+ Integrate commercial and proprietary data
+ Seamless integration with other FactSet applications + Optimization/Simulation
+ PA
+ SPAR
+ Intraday Views
1
3 April 3, 2014
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 14
Factor Construction
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Choose Factors + FCF Yield
+ Relative Strength Index
+ Accruals Ratio
+ FY1 EPS Growth
+ Import Factor Data into MATLAB
+ Standardize Data + Z-Score
+ Develop Factor Allocations + Run a series of cross-sectional regressions
+ Extract Factor Betas
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 15
Import Factor Data into MATLAB
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 16
Standardized Data – Free Cash Flow Yield
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
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Factor Betas
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
Copyright © 2014 FactSet Research Systems Inc. All rights reserved.
Factor Construction Continued
18 PRESENTATION FROM FACTSET RESEARCH SYSTEMS April 3, 2014
+ Upload factor Betas to FactSet
+ Assign Betas (weights) to factors within Alpha Testing
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 19
Analyzing Performance
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Can dynamically allocating amongst factors improve performance?
'99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12
-50050
100150200
250300
F1 vs. Benchmark12/31/1998 - 12/31/2012
First Fractile Return (Alpha) Benchmark Return First Fractile Return (Alpha Timing)
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 20
Risk and Return Profile
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Can time-varying weights improve the risk and return profile?
10.5 11 11.5 12 12.5 13 13.5 14Standard Deviation Return - 1
5
6
7
8
9
10
11
Univ
ers
e R
etu
rn -
1
14 Day RSI
Alpha
Alpha Timing
CF Accruals
Ratio
FCF Yield
FY1 EPS Growth
Factor Risk vs. Return
Universe Return - 1 (Positive) Universe Return - 1 (Negative)
Copyright © 2014 FactSet Research Systems Inc. All rights reserved. 21
FactSet Integration with MATLAB Workflow
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
MATLAB
Upload analyzed
data
FactSet
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Questions?
April 3, 2014 PRESENTATION FROM FACTSET RESEARCH SYSTEMS
+ Christopher Thomas + [email protected]
+ Joe Importico, CFA, FRM + [email protected]
Thank you.
