Calculate Value-weighted RETURN after classified into Max portfolio by small size

Irenelee — Sat, 04 May 2024 15:24:24 GMT

How may I CALCULATE THE EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) COMPOUND DAILY RETURN FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO BY SMALL, MEDIUM, BIG SIZE. Thx a lot!!!

AVERAGE DAILY PORTFOLIO BUY-AND-HOLD RETURNS (IN %) ARE MEASURED FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO.

DM'LOG; CLEAR; OUT; CLEAR; ODSRESULTS; CLEAR;';
%LET FOLDER=%STR(C:\USERS\ALAIN\ONEDRIVE\桌面\HIGH);
LIBNAME HIGH "&FOLDER";

DATA HH;
 SET HIGH.HH;
 IF CFACPR=0 THEN DELETE;
RUN;

DATA HH;
	SET	HH;
	IF _N_ <=1000;
RUN;

PROC SORT 
  DATA=HH (KEEP  =SHRCD EXCHCD PERMNO DATE PRC CFACPR SHROUT CFACSHR
                      WHERE =( SHRCD IN (10,11) AND EXCHCD IN (1,2,3,31,32,33) )
                      ) 

OUT=HL(DROP=SHRCD EXCHCD );
  BY PERMNO DATE;
RUN;

DATA HL; 
    SET HL; 
    BY PERMNO DATE; 
    RETAIN H L 0; 
    P=ABS(DIVIDE (PRC, CFACPR));
    IF FIRST.PERMNO THEN H = P; 
    IF FIRST.PERMNO THEN L = P;
    H = MAX(H, P); 
    L = MIN(L, P);
 DROP  PRC CFACPR;
   RUN; /* PERMNO DATE  SHROUT CFACSHR H L P */

DATA MK (DROP=_:);
  SET HL;
  BY PERMNO DATE; 

  RETAIN _FIRST_DATE_QUALIFIED . 
         _H   .                 
         _H_DATE .              
         _L   .                 
         _L_DATE .              
          PORTFOLIO 
;             
LENGTH  PORTFOLIO $11;

  IF FIRST.PERMNO THEN DO;
    CALL MISSING(OF _:);
    _FIRST_DATE_QUALIFIED=INTNX('YEAR',DATE,1,'SAME')+1;
  END;

  IF _H=. THEN _H=P;
  IF _L=. THEN _L=P;

  IF P ^=. THEN DO;
    IF P > _H AND DATE >= INTNX('MONTH', _H_DATE, 1, 'SAME') THEN DO;
      _H=P;
      _H_DATE=DATE;
      PORTFOLIO='MAX';
    END;

    ELSE IF P < _L AND DATE >= INTNX('MONTH', _L_DATE, 1, 'SAME') THEN DO;
      _L=P;
      _L_DATE=DATE;
      PORTFOLIO='MIN';
    END;

    ELSE PORTFOLIO='COMPARISON';
  END;

  IF DATE >= _FIRST_DATE_QUALIFIED THEN DO;
      H = _H;
      H_DATE = _H_DATE;
      L = _L;
      L_DATE = _L_DATE;
  END;

  IF DATE < _FIRST_DATE_QUALIFIED THEN DO;
    PORTFOLIO = 'UNQUALIFIED';
  END;

  FORMAT H_DATE L_DATE YYMMDD10. ;

RUN;


DATA MV;
 SET MK;
 BY PERMNO DATE; 

 RETAIN 
 MV
 LAST_MONTH_END; 

 LAST_MONTH_END = INTNX('MONTH', DATE, -1, 'END');
 FORMAT LAST_MONTH_END YYMMDD10. ;

 MV = P * (SHROUT*CFACSHR) ;

RUN;

data LMV;
  set MV ;
  by permno date ;
  lag_MV = lag(MV);
  if first.permno then call missing(lag_MV,previous_MV);
  else if month(date) ne month(lag(date)) then previous_MV=lag_MV;
  retain previous_MV;
  drop lag_MV;
run;

PROC SORT DATA=LMV;
    BY DATE PERMNO DESCENDING previous_MV;
RUN;

PROC RANK DATA=LMV OUT=RANKED_DATA GROUPS=4TIES=LOW;
  BY DATE;
  VAR previous_MV;
  RANKS QUARTILE;
RUN;

DATA SMB;
    SET RANKED_DATA;
	RETAIN 
    SIZE
	;             
    LENGTH  SIZE $5;
   
    IF QUARTILE=1THEN SIZE= 'SMALL';
    ELSE IF QUARTILE=2 THEN SIZE= 'MID';
    ELSE SIZE = 'BIG';
RUN;

DATA SMB;
  SET SMB(OBS=500);
  PUT (_ALL_) (+0);
RUN;

PROC SORT DATA = SORTED;
  BY DATE SIZE_GROUP PORTFOLIO;
RUN;

DATA EW_RETURNS VW_RETURNS;
  SET SORTED;
  BY DATE SIZE_GROUP PORTFOLIO;
  
  RETAIN EW_RET VW_RET 0;
  
  IF FIRST.FLAG THEN DO;
    EW_RET = 1;
    VW_RET = 1;
    SUM_MV = 0;
  END;
  
  EW_RET = EW_RET * (1 + RET);
  SUM_MV = SUM_MV + LAST_MONTH_MV;
  VW_RET = VW_RET * (1 + RET * LAST_MONTH_MV / SUM_MV);
  
  IF LAST.PORTFOLIO THEN DO;
    EW_RETURN = EW_RET - 1;
    VW_RETURN = VW_RET - 1;
    OUTPUT EW_RETURNS;
    OUTPUT VW_RETURNS;
  END;
RUN;

PROC REGRESS DATA = EW_RETURNS;
  MODEL EW_RETURN = MKT_RF SMB HML UMD / NOINT;
  OUTPUT OUT = EW_ALPHA 
         P = EW_ALPHA;
RUN;

PROC REGRESS DATA = VW_RETURNS;
  MODEL VW_RETURN = MKT_RF SMB HML UMD / NOINT;
  OUTPUT OUT = VW_ALPHA
         P = VW_ALPHA;
RUN;

EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) PORTFOLIO RETURNS ARE CALCULATED DAILY, AND THE PORTFOLIO IS REBALANCED AT THE END EACH DAY.
EW RETURNS ARE COMPOUNDED TO REDUCE BID ASK BIAS.

https://drive.google.com/file/d/1grx_6p-yVMVzrzvVjdtfwyFUjRpq10W6/view?usp=drive_link

topic Calculate Value-weighted RETURN after classified into Max portfolio by small size in SAS Programming

Calculate Value-weighted RETURN after classified into Max portfolio by small size