If you need the upper case that you listed in the request, I'd suggest a calculated field with this logic:
upper(left(datename('month', [Fiscal Period]), 3)) + " -" + right(DATENAME('year', [Fiscal Period]), 2)
Thanks for the reply. But i want to change the month names if i set it up as a filter.
When i put the Fiscal Period in the filter and change to MY(Fiscal Period) it still shows me full month name.
I also took your approach to convert it in a measure then changing it to discrete however when i click on discrete the filter still shows the full month name.
Please refer to the screenshot attached.