topic Re: How to calculate annual compounding returns based on monthly return data in SAS Programming

How to calculate annual compounding returns based on monthly return data

amanda_cz — Tue, 19 Aug 2014 02:18:17 GMT

Currently I have multiple years' data for multiple firms of the monthly stock returns.

Firm_ID	year	month	return
101	2002	1	0.05
...
101	2014	12	0.03
102	2003	1	0.035
...
102	2007	12	0.045
.....
205	2004	1	0.065
...

If I calculate it by hand then:

annual compounding return=(1+ Ret_month1)*(1+Ret_month2)*(1+Ret_month3)*...*(1+Ret_month11)*(1+Ret_month12)

However, I don't know how to write a sas program to do this Any suggestions?

Haikuo — Tue, 19 Aug 2014 02:28:49 GMT

Not tested:

data want;

do until (last.year);

set have;

by firm_id year;

if first.year then

compound_ret=1;

compound_ret=compound_ret*(1+return);

end;

run;

Haikuo

amanda_cz — Tue, 19 Aug 2014 03:02:47 GMT

Thanks. It works!