topic Re: Monthly average returns in SAS Programming

Monthly average returns

Manos — Mon, 01 Apr 2013 23:12:34 GMT

Hi to all,

I am new in SAS and I really would appreciate your help in how to continue with my data.

I have monthly average returns of an index for 20 years in two columns the one is the date column with the additional month and the other column is the return for the month.

So now my data is something like this:

date return

1925/01 2,34

1925/02 3,76

1925/03 2,69

This keeps going until 12/1945. However I care about the average return of each month (January, February,..., December) for the whole period of the 20 years. So i want to transform my data in this form.

Month Average Monthly return 1925-1945

Jan 2,98

Feb 3,67

March 3,29

Jun 2,43

Jul .....

Aug .....

Sept .....

Οct ......

Nov .....

Dec 2,86

So i want know the average return individually for each for this period. I hope I am clear in what I am asking.

Thank you in advance

Re: Monthly average returns

Haikuo — Tue, 02 Apr 2013 02:26:25 GMT

Question: How is your date variable constructed? Is it a SAS date (numeric variable) or just a char as "1925/01"?

Re: Monthly average returns

Manos — Tue, 02 Apr 2013 09:30:46 GMT

Its numeric variable, (you are right, should specify that.)

dates	return
19260130	0.023174
19260227	-0.053510
19260331	-0.096824
19260430	0.032946
19260528	0.001035
19260630	0.050487
19260731	0.013076
19260831	0.031002
19260930	-0.006499
19261030	-0.034630

Re: Monthly average returns

Haikuo — Tue, 02 Apr 2013 14:01:52 GMT

This hopefully can get you started:

proc sql;

create table want as

select put(input(put(dates,8.),yymmdd8.),monname3.) as month, mean(return) as Average_1925_1945 from have

group by month

;quit;

Haikuo

Re: Monthly average returns

TomKari — Tue, 02 Apr 2013 15:07:16 GMT

Another option:

PROC MEANS DATA=have MEAN;

VAR return;

CLASS date;

FORMAT date MONNAME9.;

RUN;

Tom

Re: Monthly average returns

Manos — Thu, 04 Apr 2013 00:06:47 GMT

Thank you both you have been really helpful, I managed to proceed!