SAS annualized value

Lukito — Wed, 20 May 2020 07:20:11 GMT

Hi,

I have a database with monthly observation.

i want to annualize volatility and Sharpe ratio, i used this piece of code for each month:

proc sql;
create table sampledecember1 as
select i.*, sum(EW*ret) as EW_ret,
/*create annualized volatility*/
sum((sqrt(12)*(volatility))*100) as vol_annual,
/*create annualized return*/
sum(((1+ret)**12)-1) as ret_annual,
sum(EW*L_beta) as ex_ante_beta
from Sampledecember i
group by month_bucket;

data sampledecember1a;
set sampledecember1;
/*create annualized Sharpe ratio*/
SP_annual= sum(ret_annual/vol_annual);
by month_bucket;
run;

The result value are too higher.

Is correct this code?

Re: SAS annualized value

Kurt_Bremser — Wed, 20 May 2020 07:56:32 GMT

When using summary functions with group by, only the summarized columns and the group columns should be in the select, otherwise you will get a "remerge" :

proc sql;
create table sampledecember1 as
select i.month_bucket, sum(EW*ret) as EW_ret,
/*create annualized volatility*/
sum((sqrt(12)*(volatility))*100) as vol_annual,
/*create annualized return*/
sum(((1+ret)**12)-1) as ret_annual,
sum(EW*L_beta) as ex_ante_beta
from Sampledecember i
group by month_bucket;

topic SAS annualized value in New SAS User

SAS annualized value

Re: SAS annualized value