The S.D. of returns calculated using a trailing twelve monthly returns

ivanpersie — Thu, 28 May 2015 07:54:45 GMT

Hi guys,

I have stock returns data for so many stocks/Tickers. Out of these returns, i want to compute standard deviation using trailing twelve months returns. What code can i use to get this?

ticker	date	Return
MC:AFI	01/02/2012	0.119293
MC:AFI	01/03/2012	-0.04931
MC:AFI	02/04/2012	0.003213
MC:AFI	01/05/2012	0.058013
MC:AFI	01/06/2012	0.081692
MC:AFI	02/07/2012	-0.01738
MC:AFI	01/08/2012	0.031073
MC:AFI	03/09/2012	-0.04876
MC:AFI	01/10/2012	-7.7E-18
MC:AFI	01/11/2012	-0.00358
MC:AFI	03/12/2012	-1.7E-18
MC:AFI	01/01/2013	-0.01807
MC:AFI	01/02/2013	-0.01294
MC:AFI	01/03/2013	0.016577
MC:AFI	01/04/2013	-3.4E-19
MC:AFI	01/05/2013	-0.01843
MC:AFI	03/06/2013	0.071997
MC:AFI	01/07/2013	-0.01888
MC:AFI	01/08/2013	0.000167
MC:AFI	02/09/2013	-0.01898
MC:AFI	01/10/2013	0.030281
MC:AFI	01/11/2013	-0.0113
MC:AFI	02/12/2013	0.062201
MC:AFI	01/01/2014	-0.03606
MC:AFI	03/02/2014	-0.00744
MC:AFI	03/03/2014	0.027423
MC:AFI	01/04/2014	0.028399
MC:AFI	01/05/2014	0.049554
MC:AFI	02/06/2014	0.021179
MC:ALM	02/11/1998	-0.06051
MC:ALM	01/12/1998	0.086504
MC:ALM	01/01/1999	-0.08341
MC:ALM	01/02/1999	-0.0093
MC:ALM	01/03/1999	-0.01582
MC:ALM	01/04/1999	-0.04226
MC:ALM	03/05/1999	0.003297
MC:ALM	01/06/1999	0.026105
MC:ALM	01/07/1999	0.094456
MC:ALM	02/08/1999	0.03068
MC:ALM	01/09/1999	-0.00608
MC:ALM	01/10/1999	0.006082
MC:ALM	01/11/1999	5.25E-19
MC:ALM	01/12/1999	-0.03381
MC:ALM	03/01/2000	-6.9E-18
MC:ALM	01/02/2000	-0.07148
MC:ALM	01/03/2000	0.105293
MC:ALM	03/04/2000	-0.0544
MC:ALM	01/05/2000	0.03913
MC:ALM	01/06/2000	-0.05202
MC:ALM	03/07/2000	-0.02296
MC:ALM	01/08/2000	0.076617
MC:ALM	01/09/2000	0.040158
MC:ALM	02/10/2000	-0.00632
MC:ALM	01/11/2000	-0.12292
MC:ALM	01/12/2000	0.126085
MC:ALM	01/01/2001	-0.07033
MC:ALM	01/02/2001	0.081329
MC:ALM	01/03/2001	0.11498
MC:ALM	02/04/2001	-0.12282
MC:ALM	01/05/2001	0.020262
MC:ALM	01/06/2001	-0.09375
MC:ALM	02/07/2001	0.008857
MC:ALM	01/08/2001	0.001888
MC:ALM	03/09/2001	-0.06694
MC:ALM	01/10/2001	-0.1578
MC:ALM	01/11/2001	0.114995
MC:ALM	03/12/2001	-0.07123
MC:ALM	01/01/2002	-0.0996
MC:ALM	01/02/2002	7.54E-18
MC:ALM	01/03/2002	-0.12672
MC:ALM	01/04/2002	-0.05835
MC:ALM	01/05/2002	0.039278
MC:ALM	03/06/2002	0.005442
MC:ALM	01/07/2002	-0.00833
MC:ALM	01/08/2002	0.066769
MC:ALM	02/09/2002	0.017166
MC:ALM	01/10/2002	0.065583
MC:ALM	01/11/2002	-0.00793
MC:ALM	02/12/2002	-0.04925
MC:ALM	01/01/2003	0.113764
MC:ALM	03/02/2003	0.106617
MC:ALM	03/03/2003	4.69E-18
MC:ALM	01/04/2003	0.03095
MC:ALM	01/05/2003	0.120911
MC:ALM	02/06/2003	0.070482
MC:ALM	01/07/2003	0.040185
MC:ALM	01/08/2003	0.073979
MC:ALM	01/09/2003	0.0591
MC:ALM	01/10/2003	-4E-18
MC:ALM	03/11/2003	0.016197
MC:ALM	01/12/2003	-0.01129
MC:ALM	01/01/2004	0.14689
MC:ALM	02/02/2004	0.141561
MC:ALM	01/03/2004	0.014553
MC:ALM	01/04/2004	0.133983
MC:ALM	03/05/2004	-0.04194
MC:ALM	01/06/2004	0.00085
MC:ALM	01/07/2004	0.032334
MC:ALM	02/08/2004	0.006762
MC:ALM	01/09/2004	-0.11341
MC:ALM	01/10/2004	-0.07478
MC:ALM	01/11/2004	0.021581
MC:ALM	01/12/2004	0.070716
MC:ALM	03/01/2005	0.037824
MC:ALM	01/02/2005	0.056945
MC:ALM	01/03/2005	0.030057
MC:ALM	01/04/2005	-0.02669
MC:ALM	02/05/2005	0.024505
MC:ALM	01/06/2005	0.002185
MC:ALM	01/07/2005	0.066808
MC:ALM	01/08/2005	0.04384
MC:ALM	01/09/2005	-0.02118
MC:ALM	03/10/2005	0.045959
MC:ALM	01/11/2005	0.059406
MC:ALM	01/12/2005	0.026583
MC:ALM	02/01/2006	0.241707
MC:ALM	01/02/2006	0.027552
MC:ALM	01/03/2006	-0.0079
MC:ALM	03/04/2006	0.038869

Re: The S.D. of returns calculated using a trailing twelve monthly returns

AskoLötjönen — Thu, 28 May 2015 10:21:50 GMT

I added also other calculated statistics just to check that program is working as supposed:

proc sql;

create table want as

select h1.ticker,

h1.date,

std(h2.return) as return_Std,

mean(h2.return) as return_mean,

min(h2.return) as return_min,

max(h2.return) as return_max,

n(h2.return) as return_n

from have h1 ,

have h2

where h1.ticker = h2.ticker

and h2.date ge h1.date

and h1.date ge h2.date-365

group by h1.ticker, h1.date;

quit;

Re: The S.D. of returns calculated using a trailing twelve monthly returns

ivanpersie — Thu, 28 May 2015 12:10:54 GMT

Hi. i dont get the same result when i cross check in Excel sheet. I want to use the past 12 months returns to compute the standard deviation. So for each month the trailing standard deviation = S.D of previous 12 months.

Re: The S.D. of returns calculated using a trailing twelve monthly returns

AskoLötjönen — Thu, 28 May 2015 12:38:07 GMT

Sorry that program calculated 12 forthcoming months:

This should calculate 12 previous:

proc sql;

create table want as

select h1.ticker,

h1.date,

std(h2.return) as return_Std,

mean(h2.return) as return_mean,

min(h2.return) as return_min,

max(h2.return) as return_max,

n(h2.return) as return_n

from have h1 ,

have h2

where h1.ticker = h2.ticker

and h1.date ge h2.date

and h1.date le h2.date+365.25

group by h1.ticker, h1.date;

quit;

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The S.D. of returns calculated using a trailing twelve monthly returns

Re: The S.D. of returns calculated using a trailing twelve monthly returns

Re: The S.D. of returns calculated using a trailing twelve monthly returns

Re: The S.D. of returns calculated using a trailing twelve monthly returns