Equity Screening Manual

Transcription

1 Equity Screening Manual

2 Equity Screening The following table lists Universal Screening s features and their corresponding page numbers in the manual: If you are looking at... Find out how to: See page number: Equity Screening Test and confirm investment strategies across all databases simultaneously, screen on your own investable universe or tens 1 of thousands of companies worldwide, or develop your own proprietary screening criteria. Universe Builder Define your universe, apply logic to your limitations, and save your universe limitations. 2 Parameter Wizard Create parameters using a utility that walks you through each step. 3 Formula Lookup Search for and create parameters. 4 Functions Learn how to apply functions to parameters. 5 Column Options Format columns in your report, including modifying column names, editing a column display, and applying summary 6 statistics. Sorting and Grouping Reports Use the sorting option to reorder the securities or funds in your report by symbol, name, or parameter. Use the grouping 7 option to arrange the securities or funds in your report into various groups. Options and Universe Menu Create global variables, apply global options, set your trading calendar, use research companies, and more. 8 Multi-Factor Ranking Apply multi-factor rankings and evaluate the combined effect of multiple variables. 9 Save and/or Archive Screen Results Save the limits and screening parameters and/or save the universe of identifiers that pass specified screening parameters to an online portfolio, private database, OFDB file, or online spreadsheet report. 10 Parameter View and Report View View details about the report parameters and the number of securities or funds passing your screen parameters and view the results of your report parameters. Screen Summary View View a snapshot of your screen and all of its elements. 12 Debt Screening Access fixed income databases and screen on specific coupon rates, credit ratings, and change reasons on over 135, active and 225,000 inactive securities, including U.S. Governments, U.S. Corporates, and international bond issues. Holder Screening Combine ownership data with the Universal Screening application to find institutions, mutual funds, or insiders that pass 14 certain criteria. Screen on a holder s state, holder s type, or an equity s sector to create a custom report. Fund Screening Compare funds and construct strategies within the application and create fund lists and universes for use in the SPAR application (i)

3 Using Equity Screening Universal Screening s Equity Screening tab allows you to test and confirm investment strategies across all databases simultaneously. You can screen on your own investable universe or on tens of thousands of companies worldwide. FactSet has a vast library of predefined items and you can also develop your own proprietary screening criteria using any data available. The information below introduces you to some of the key components of Equity Screening that you will learn more about in this manual. The Sample Screens tab provides predefined screens that demonstrate the main features of the Universal Screening application and serve as building blocks when creating your own custom screens. Click the Limit button to narrow the list of companies in your screening report. You can limit your screen based on a number of factors, both qualitative and quantitative. The View section allows you to switch between the Parameters, Summary, and Report views. The Report view shows the companies that passed your screening criteria. Click the Format button to sort and group your report, apply multi-factor rankings, and more. The Parameters section allows you to find formulas in FactSet s formula libraries, and create or edit your own formulas to either display or further limit your report. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab (1) 249

4 Limiting the Universe Use Universe Builder to construct a universe of companies defined by one or more limitations. Limitations are grouped on category tabs by industry, index, geography, security type, exchange, and database. Select Preferences to modify the category tabs and to specify Use Research Companies and Allow Non- Company Identifiers. Define your universe by selecting universe limitations from the category tabs. See Online Assistant page for more information on each category. To select the entire contents of a folder, select the row containing the folder. To select a limitation within a folder, select the folder, then click the Expand button. Choose the Custom tab to limit your universe using a FactSet formula. For example, you can use an ISON formula to limit your screen to benchmark constituents on a specific date. Click the Include button to limit the universe to that selection or the Exclude button to limit the universe to everything except that selection. The universe limitation(s) will appear in the Current Limitations list below. Click the Preview button to display a list of companies that pass your current limitations. Click the Logic button to modify the logical relationships between your universe limitations. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Limit button 333 (2)

5 Using Parameter Wizard You can further limit the number of companies by using parameters. There are two types of parameters: a display parameter and a screening parameter. A display parameter allows you to return data without affecting the number of companies in your universe. A screening parameter serves as the second cut at narrowing your limited universe by allowing you to integrate additional criteria. One way to create a parameter is to use the Parameter Wizard utility. 1. Click the Wizard button to launch Parameter Wizard, which helps you build parameters to further limit your screening results (if desired). 2. Find a formula by typing a keyword or phrase into the search box and clicking the Search button. To find a formula from a specific data source, click the Sources button and select a source from the drop-down menu. 3. Select a relational operator (e.g., greater than, less than) from the drop-down menu or select Shown in Report to just display formula results and not limit the securities in your report. 4. Enter a value to define the relation you chose in the previous step. You can enter a numerical value or click the Lookup button to use the formula results as your value. When you use an operator with a financial non-ratio item, the value is in millions. For nonfinancial items, the value refers to the actual number as determined by the database. 5. Click the Format button to format the parameter. You can change the number of decimal places, change the column width, apply statistics, and more. MENU > Screening/Report Writing > Universal Screening > Equity Screening > Wizard button 303 (3)

6 Creating and Editing Parameters Click the parameters Add button to launch Formula Lookup, the FactSet utility that helps you find formulas in FactSet s formula libraries, as well as create and edit your own formulas. Using the Add button is another way to add parameters to your screening report. 1. Click the Add button to launch Formula Lookup. You can also edit, delete, move, and change parameter settings in the Parameters section. 2. You can add formulas from the FactSet Global formula library, which includes the most commonly used company analysis formulas, or click the Sources button to change to a specific data source (e.g., Worldscope or FactSet Estimates). 3. Click the Information button to view a detailed description of the selected data source. 4. Search for and select your desired formula. After you select a formula, enter formula arguments to the right. You can edit your parameters to add relational operators and compare one formula to another. To edit formulas, click on the formula in the Workspace and then make your changes. In this example, the parameter will return all companies whose annual total debt is less than 95% of the previous year s annual total debt. 5. Click the Add Selected button to include the formula in your Workspace. 6. Click the OK button to add the new parameter to your report. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Add button 384 (4)

7 Using Functions in Screening You can combine functions and FactSet formulas to research a company s history. Functions calculate logical, mathematical, statistical, growth, and other operations on FactSet formulas. When combined with formulas from a Database Library, functions such as MAX, MIN, AVG, SUM, and MEDIAN can be used to research a company s history. 1. After you click the Add button in the Equity Screening tab, type a keyword or phrase into the search box and click the Search button in Formula Lookup. To find a formula from a specific data source, click the Sources button and narrow your search by selecting a database from the drop-down menu. 3. Choose from the predefined time periods or select More to enter a custom time period that you want to evaluate for the selected formula. In this example, the formula will calculate the 12-month average P/E for your universe of companies. 2. Highlight the desired formula and click the Function button to access a list of the most commonly used functions or select More to see the full list of functions. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Add button 1411 (5)

8 Formatting Your Report Columns To format columns and data in your report, use the Columns dialog box. The Columns dialog box allows you to modify column names/headings, edit a column display, change the number of decimal places displayed, and add summary statistics to view group and overall values. Click the Format button and select Columns to launch the Columns dialog box. Choose the Statistics tab to display summary statistics for the columns in your report. Statistics can be applied to any parameter formula that returns a numeric value. Choose the Format tab in the Columns dialog box to change data settings such as column name, number of decimals, column width, and alignment. To display group and/or overall statistics for a column, select the desired statistic from the Statistics list. If you choose a weighted statistic, click the Change Weight button to change the weighting from Market Cap (the default) to weight by another column in your report or by a formula in Formula Library. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Format button > Columns 311 (6)

9 Sorting and Grouping Your Report You can organize your report using the Sorting and Grouping options available in Universal Screening. In the Sorting dialog box (Format button > Sorting), reorder the securities or funds in your report by symbol, name, or a parameter in your screen. In the Grouping dialog box (Format button > Grouping), arrange the securities or funds in your report into groups. Select the report column(s) you want to sort by and then click the Add button. If you ve selected to group your report, you can also sort your groupings using the Groups tab. Click the OK button to sort your report based on the items in your Current Sorting Options list. Sorting levels are displayed in the order selected. To change the order, click the Move button. To change the order of a specific sort option (i.e., ascending or descending), click the Sort Order button. You can select multiple grouping options from the various tabs in the Grouping dialog box. Click the OK button to group your report based on the order in your Current Grouping Options list. To add a grouping, expand a folder, select the desired grouping, and click the Add button. Grouping levels are displayed in the order they re selected within the Current Grouping options dialog box. Click the Move button to change the grouping order. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Format button > Sorting or Grouping 307 (7)

10 Using the Options and Universe Menus Use the Options menu to edit preferences for your screen, such as selecting whether to automatically calculate parameters, adding global variables, setting backtest dates, and changing the calendar. The Universe menu includes key features such as adding research companies (i.e., companies that are no longer active) to your report. Select Options > Global Variables to set special variables instead of entering dates, formulas, or part(s) of a formula in your parameters. Select Universe > Use Research Companies to include securities that are no longer active or trading. See Online Assistant page 4632 for more information on the Universe menu. Select Options > Calendar to specify your preferred trading calendar. Select Options > Global Options to use $Cash as a company, use U.S. identifiers only, use Canadian identifiers only, or use both identifiers. Using global variables, you can replace the date arguments in your formulas with a variable such as #Y. Then you can control the dates for your report using the Global Variables dialog box. See Online Assistant page 293 for more information on global variables. Edit the variable to include the desired information. In this example, the #Y variable represents the date for the annual data in the report (e.g., 2007). MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Options menu 292 (8)

11 Applying Multi-Factor Rankings Multi-Factor Ranking lets you evaluate the combined effect of multiple variables. Based on your inputs, a rank is computed for each parameter/column you include and the rankings for all the variables are then averaged to arrive at an overall score for each security or fund. Select the first column that you d like to include as a variable in your multi-factor rank. Select how you want the rankings assigned for that column. For example, for a growth rate, select Higher Values Rank Better. Choose the Shared Settings tab to specify the group of securities to apply the ranking to and the type of ranking (e.g., percentile, decile). Specify a ranking weight based on the importance of that column. The weight you assign should be relative to the other columns. For example, if column A is 3 times more important than column B and 5 times more important than column C, assign A a weight of 15, B a weight of 5, and C a weight of 3. Select how you want not available (@NA) values to be ranked in the report. Your report now shows each company s ranking for the individual columns and the overall average score, sorted by those companies with the best average score. The average score is calculated using the company s column rankings and the ranking weight. See Online Assistant page 310 for more information on the calculation. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Format button > Multi-Factor Ranking 310 (9)

12 Saving and Archiving Screens After creating your screen, there are two main options for saving. One option is to save the limits and screening parameters so when you open your screen in the future, it will recalculate. The other option allows you to archive your screen results and save the actual securities that pass the screening/parameter limits at the time you ran the report. Go to File > Save Screen As to save the universe limitations and parameters, but not the actual securities that passed the screen. - and/or - Go to File > Archive Screen Results to save the universe of securities that passed your limitations and screening parameters. In the Save Screen As dialog box you can name your screen and include a short description. In the Archive Screen Results dialog box you can choose to save the securities that pass your screen to an online portfolio, private database, OFDB file, or online spreadsheet report. You can also choose to archive either tickers or CUSIPs (recommended). File names cannot include spaces (e.g., use underscores, MY_DATA). For more information on archiving screen results, see Online Assistant page 286. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > File menu 546 (10)

13 Viewing Report Types Universal Screening offers three report views: the Parameters view (default), the Report view, and the Screen Summary view. The Parameters view is the default view displayed. Click the Parameters button to build your report. This view lists the report parameters, parameter details, and the screen totals (passed and available). Passed displays the number of securities or funds in the universe that pass all of your universe limitations and screening parameters. Available displays the number of securities or funds in the entire screening universe. Click the Report button to view the entire report. Within this view, you can modify the report and edit parameters using the Edit Parameter toolbar. You can sort the report directly in the Report view. Select a column heading and double-click. The first double-click sorts textual data in ascending order and numeric data in descending order. Any successive double-clicks will reverse the order. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Parameter View or Report View 251 (11)

14 Viewing the Screen Summary The Screen Summary view is the final report view and displays a snapshot of your screen and all of its elements. This view contains general information about the screen, including limitations, parameters, and formatting all in one view. Select Screen Summary from the View drop-down menu. View the list of parameters that you added to your screening report. View the number of securities that pass the screening parameters and limitations you set up. View the limitations you added through the Limit button, including the number of securities available in your selected universe. View details on the report formatting, such as grouping, sorting, titles, and more. MENU > Screening/Report Writing > Universal Screening > Equity Screening tab > Screen Summary 251 (12)

15 Using Debt Screening Debt Screening allows you to screen for fixed income securities and equities within the same application, based on your own financial and non-financial criteria. To access Debt Screening, you must subscribe to fixed income data on FactSet. Screen through the entire universe of debt coverage on FactSet, or click the Limit button to limit your bond universe to bonds that fit specific criteria. Click the Link button to use the list of securities generated in one tab to dynamically specify the screening universe in the other tab. In the Debt Screening tab, after you create a screen and view the issues that passed your limitations, you can link your results with the Equity Screening tab and view company-level information. To view a detailed summary of the issue, double-click the issue symbol or name. The Information box contains a description of the issue, related issues, and information on the debt issue s parent company. For more information, see Online Assistant page View fundamental and economic data on a debt issue s parent company by clicking the links in the Information box. You can also view information about the parent company by highlighting a debt issue, and then switching to the desired FactSet equity application or report. MENU > Screening/Report Writing > Universal Screening > Debt Screening tab (13) 1180

16 Using Holder Screening Holder Screening allows you to identify institutions, mutual funds, and insiders/stakeholders that meet your specific criteria. Access to Holder Screening requires a subscription to ownership data from FactSet. Select a holder type from the drop-down menu to specify whether you would like to view institutions, mutual funds, or insiders and stakeholders. Once you create your holder screen and view the holders that meet your criteria, you can link your results with the Equity Screening tab to view holders that own specific securities. For more information, see Online Assistant page Click the Limit button to limit your universe using holder criteria or equity criteria. Click the Holder button to add or remove columns in your report. Click the name of the holder to view a report of the holder s portfolio in the Ownership application. For more information, see Online Assistant page MENU > Screening/Report Writing > Universal Screening > Holder Screening tab (14) 12262

17 Using Fund Screening Fund Screening allows you to compare funds and create funds and universes for use in SPAR. Fund Screening requires a subscription to SPAR. Click the Limit button to limit your universe by vendor-defined category, product, domicile, rating or ranking, or to your own portfolio of funds. To export your results from Fund Screening to SPAR, click the Export to SPAR button in the Fund Screening toolbar. You can export your screen as a universe or a list of portfolios to be used in SPAR reports and charts. For more information, see Online Assistant page To view the distribution of data in a histogram, select the column that you would like to chart, then click the Chart button. To view a detailed summary of the fund, double-click the fund identifier. The Information box includes information about fees, styles, ratings, asset allocations, global distributions, and top ten holding for thousands of funds. MENU > Screening/Report Writing > Universal Screening > Fund Screening tab (15) 13945