Improved FactSet and Visible Alpha functions

Building upon our new company calendar function, we have improved our DSL functions for FactSet and Visible Alpha to allow smart retrieval of quarterly or semi-annual data, depending on the company.

Changes

• New freq parameter for specifying desired frequency of FactSet / Visible Alpha KPI data, with options similar to the new company_calendar().

  This defaults to FQ/FS, which returns either quarterly or semi-annual data depending on the company. You may also specify FQ for quarterly only, FS for semi-annual only, and FY for annual data.

• Deprecated the existing period parameter. Existing expressions that specify this will continue to work for backwards-compatibility, but will come with a deprecation warning and suggestion to change to using the freq parameter.

  • Deprecation date: March 2023 (period parameter still available, but returns a deprecation warning in the Exabel app)
  • Planned removal date: 31 March 2024 (period parameter will no longer work)

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Changes are backwards-compatible

These changes have been designed to be backwards-compatible. If you had previously specified a period, this will still continue to work during the deprecation period, and there are equivalent freq options to migrate to that will give you the same result.

If you had previously not specified any period, your signal expression previously returned quarterly data but only for companies with quarterly reporting. After these changes, quarterly data is still returned for such companies, but additionally your signal will now also work on companies reporting semi-annually.

Affected functions

• actual() and estimate(): for retrieving comparable KPI actuals and consensus estimates from the FactSet Estimates data set (see FactSet reference; Exabel DSL reference)
• fundamental(): for retrieving a broader set of reported financial statement KPIs from the FactSet Fundamentals data set (see FactSet reference; Exabel DSL reference)
• va_actual() and va_consensus(): for retrieving comparable KPI actuals and consensus estimates from Visible Alpha (see Exabel DSL reference)

Examples & migration path

# New
actual('sales')                 # Quarters or semi-annuals, depending on company
actual('sales', freq='FQ/FS')   # Quarters or semi-annuals, depending on company
actual('sales', freq='FQ')      # Quarterly only
actual('sales', freq='FS')      # Semi-annual only
actual('sales', freq='FY')      # Annual

# Old
actual('sales')                 # Previously was quarterly only; now may also return semi-annuals, depending on company
actual('sales', period='q')     # Quarterly only - switch to freq='FQ'
actual('sales', period='s')     # Semi-annual only - switch to freq='FS'
actual('sales', period='a')     # Annual only - switch to freq='FY'

The examples above apply similar to all 5 affected functions.