creating a long/short portfolio

zcmcderm — Wed, 21 Feb 2018 16:43:37 GMT

First time asking for help with SAS (not much experience using it). I pulled cumulative returns on the industries within the Consumer Discretionary Sector and not wish to make a long/short portfolio going long in the best performing industry while going short in the worst performing industry. The code I made is

data SLPort;
	merge Textile3(in=a rename=_freq_=L_N) Automobile3(in=b rename=_freq_=S_N) class.ff_factors(in=c);
	by date;

	if a and b and c;
	S_L = gind252030_ewret - gind251020_ewret;
	format gind252030_ewret gind251020_ewret S_L percentn8.2;
run;

proc reg data=SLPort;
	model S_L=mktrf smb hml umd;
run;

however when I try to run the code, I receive and error saying that, The variable _NAME_ or _TYPE_ exists in a data set that is not TYPE=CORR, COV, SSCP, etc

Any help would be terrific! Also apologies if I posted this in the wrong location with the wrong subject

Re: creating a long/short portfolio

Reeza — Wed, 21 Feb 2018 16:44:26 GMT

That's not an error that seems to align with the code you've posted. Can you please post your full log and code. Use the { i } to post your code to ensure it's formatted and not garbled in the web page.

topic creating a long/short portfolio in SAS Programming

creating a long/short portfolio

Re: creating a long/short portfolio