Quarterly return from monthly return.

[nzrdufiu]

fyear	gvkey	month	trt1m
2010	1004	1	0.826806
2010	1004	2	-2.1148
2010	1004	3	9.43563
2010	1004	4	-1.77276
2010	1004	5	-19.1961
2010	1004	6	-15.0254
2010	1004	7	0.358423
2010	1004	8	-8.57143
2010	1004	9	21.4844
2010	1004	10	18.1136
2010	1004	11	11.4338
2010	1004	12	11.8485
2011	1004	1	-2.47543
2011	1004	2	1.86637
2011	1004	3	1.57567
2011	1004	4	-5.79004
2011	1004	5	1.34409
2011	1004	6	2.65252
2011	1004	7	8.5825
2011	1004	8	-19.5978
2011	1004	9	-29.3345
2011	1004	10	20.006
2011	1004	11	-8.37933
2011	1004	12	4.98357
2012	1004	1	10.9285
2012	1004	2	4.05852
2012	1004	3	-17.2336
2012	1004	4	-14.9315
2012	1004	5	-22.0065
2012	1004	6	11.8672
2012	1004	7	5.97181
2012	1004	8	4.71499
2012	1004	9	10.3495
2012	1004	10	-7.64312
2012	1004	11	1.78926
2012	1004	12	21.6146
2013	1004	1	1.31156
2013	1004	2	-6.79045
2013	1004	3	4.66705
2013	1004	4	-2.47417
2013	1004	5	12.318
2013	1004	6	9.57129
2013	1004	7	10.6233
2013	1004	8	3.5066
2013	1004	9	8.92786
2013	1004	10	7.40944
2013	1004	11	6.62568
2013	1004	12	-10.2819
2014	1004	1	-4.58765
2014	1004	2	8.44278
2014	1004	3	-10.2076
2014	1004	4	0.096339
2014	1004	5	-6.17761
2014	1004	6	13.4156
2014	1004	7	-2.12264
2014	1004	8	2.97398
2014	1004	9	-12.8159
2014	1004	10	10.0414
2014	1004	11	-3.28302
2014	1004	12	8.38861
2015	1004	1	3.43772
2015	1004	2	2.582
2015	1004	3	4.42177
2015	1004	4	-1.25407
2015	1004	5	-2.31481
2015	1004	6	7.88761
2015	1004	7	-15.2024
2015	1004	8	-9.72171
2015	1004	9	-22.0304
2015	1004	10	20.0053
2015	1004	11	8.24152
2015	1004	12	7.04397
2016	1004	1	-19.7984
2016	1004	2	1.3327
2016	1004	3	9.30014
2016	1004	4	3.63128
2016	1004	5	1.5391
2016	1004	6	-4.38345
2016	1004	7	3.83462
2016	1004	8	1.86258
2016	1004	9	27.2653
2016	1004	10	2.95338
2016	1004	11	14.6721
2016	1004	12	-10.4093
2010	1013	1	-14.4928
2010	1013	2	19.3974
2010	1013	3	15.2997
2010	1013	4	9.43912
2010	1013	5	3.25
2010	1013	6	-10.2906
2010	1013	7	71.7949
2010	1013	8	-0.39277
2010	1013	9	-0.07886
2010	1013	10	0.157853
2010	1013	11	0.236407
2010	1013	12	0.235849
2010	1045	1	-10.4787
2010	1045	2	32.8035
2010	1045	3	-0.87051
2010	1045	4	-18.9901
2010	1045	5	3.92954
2010	1045	6	-11.6037
2010	1045	7	4.42478
2010	1045	8	-13.5593
2010	1045	9	2.45098
2010	1045	10	25.8373
2010	1045	11	8.49176
2010	1045	12	-8.99533

I want to calculate cumulative quarterly return from this monthly return data. Please let me know which sas code I should use. For example, I want calculate 4 quarter return for a year. 

q1ret= (1+trt1m1)*(1+trt1m2)*(1+trt1m3)

Thank you.

[Patrick]

@nzrdufiu

Please provide sample data via a SAS data step so we don't have to do this work for you. 

Members in this forum really like to help but you're expected to also demonstrate some own work. This doesn't need to be fully working code. Just show us what you've tried so far (may be some not yet working code) so we can better understand where you are at and take you from there.

I believe this is now already your 4th consecutive post where you've just posted data, stated the problem and then expect people to serve you. Please change this approach.

To give you a hint for your current question:

1. Use the mdy() function using your year and month variable and create a SAS date value

2. Use this SAS date value for grouping (i.e. by applying format YYQ.)

[Reeza]

Once you've made the changes suggested via @Patrick you can look into PROC EXPAND and/or TIMESERIES to do the conversion.

[mkeintz]

Do you want rolling quarterly returns, or calendar quarters?