Cumulative Returns

AmirSari — Fri, 18 Nov 2016 20:26:01 GMT

Hi everyone,

I have the below SAS code for calculating cumulative returns. The code works fine for one period but I need to get it worked for multiple periods.

proc sql;
create table returns as
select *
from amirkhan.mydata
order by permno, date
;
create table cum_returns as
select permno , exp(sum(log(1+ret))) - 1 as cum_return
, min(ret) as minret , max(ret) as maxret
, n(ret) as n_periods , nmiss(ret) as n_miss
, sum(ret=.P) as n_dot_p , min(date) as first_date
, max(date) as last_date
from returns
where ('01apr1991'd <= date <= '31mar1992'd)
group by permno
;
quit;

This code generates the cumulative returns for the period April 01, 1991 to March 31, 1992. I need to modify the code so that it could give me the results for multiple periods. I need cumulative returns for the following periods as well:

April 01, 1992 to March 31, 1993

April 01, 1993 to March 31, 1994

April 01, 1994 to March 31, 1995

.....

Thanks for your time and help.

Re: Cumulative Returns

Shmuel — Fri, 18 Nov 2016 20:49:34 GMT

Add to your data, according to dates, a period code as new variable (the fiscal_year),

then run your SQL with a light change:

/* where ('01apr1991'd <= date <= '31mar1992'd) <<< drop this line */

group by fiscal_year, permno

Re: Cumulative Returns

AmirSari — Fri, 18 Nov 2016 21:43:50 GMT

Thank you for your reply!
That solved the problem!

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Cumulative Returns

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