If your financial year doesn't end on December 31st and you want to set it up on a different date, there is a way to cater for it in Power BI.
The DAX code for The Australian version, for a Fiscal year that ends on June 30th:
(According to https://msdn.microsoft.com/en-us/library/ee634245.aspx)
=ENDOFYEAR(DateTime[DateKey],"06/30/2004")
Having said that, I believe that if we're in Australia (or any other place which isn't US for that matter), maybe the code should be more in the lines of:
=ENDOFYEAR(DateTime[DateKey],"30/06/2004")