topic Re: Forming Portfolios in SAS Programming

Forming Portfolios

bukky09 — Thu, 03 Mar 2016 20:34:29 GMT

Hi,

I am having some difficulty trying to ceate portfolios in sas. So I have a funds data and i ant to ceate 3 separate portfolios based on

(1)funds with no lockup (lockup=0), and

(2) funds with lockup (lockup >0)

Re: Forming Portfolios

ballardw — Thu, 03 Mar 2016 21:03:24 GMT

We need more details to provide much help.

What does your current data look like?

What do you need the result to look like?

You only mention two rules, where would the third group come from?

Re: Forming Portfolios

bukky09 — Thu, 03 Mar 2016 21:57:29 GMT

Hi,

I have a data set on hedge funds (a combination of the reuturns and the characteristics)

I meant to say 2 instead of 3.

So I am trying to form to different portfolios from the data.

The first portfolio will containe funds with lock up

And the second will contain funds with no lock up

Re: Forming Portfolios

ballardw — Thu, 03 Mar 2016 22:42:00 GMT

"Portfolio" is not a native SAS term, so you need to express it in terms SAS can understand. Do you want to add a variable to a dataset to indicate which "portfolio" a record belongs to?

Do you want to separate a single dataset into two datasets?

Do you have a variable named LOCKUP in the data? If not, how is "lock up" determined from values of one or more variables in the data?

Re: Forming Portfolios

bukky09 — Thu, 03 Mar 2016 22:49:53 GMT

I have something like this. For instance;

Code Mainstrategy Aum Lockup ....

T112 Emerging market 12343 0

T119 Event driven 23432 1

T564 CTA 45667 0

So I want to separate this data set into two based on the lockup. So one will be for lockup=1 and the other for lockup=0

Re: Forming Portfolios

bukky09 — Thu, 03 Mar 2016 22:51:04 GMT

So I have provision for lockup already

Re: Forming Portfolios

ballardw — Thu, 03 Mar 2016 23:08:38 GMT

Assuming the name of your existing dataset is HAVE, you can do something similar to:

data Portfolio_1 Portfolio_2;

set have;

if lockup=0 then output Portfolio_1;

else output Portfolio_2;

run;

But with that variable lockup you could much analysis leaving the data in set, sort by the lockup variable and then process with BY statements using the lockup variable.

Re: Forming Portfolios

bukky09 — Fri, 04 Mar 2016 14:14:25 GMT

Thank you very much. This was helpful. I am pretty new at this.