When using summary functions with group by, only the summarized columns and the group columns should be in the select, otherwise you will get a "remerge" : proc sql; create table sampledecember1 as select i.month_bucket, sum(EW*ret) as EW_ret, /*create annualized volatility*/ sum((sqrt(12)*(volatility))*100) as vol_annual, /*create annualized return*/ sum(((1+ret)**12)-1) as ret_annual, sum(EW*L_beta) as ex_ante_beta from Sampledecember i group by month_bucket;   ... View more

If all you want is the end date from the next month:   end_date = intnx("month", date, 1, "end"); ... View more

If the formation window is t-12 through t-2 (an eleven month window), shouldn't your criterion be where a.permno=b.permno and &K< intck("month", b.date, a.date) <=&J ... having count(b.ret) = %eval(&J-&K) I take K is the size of the gap (in months) between the end of the formation window and the current date.  I.e. with J=12 and K=1, then  to form a window in December, use the months of then prior December through current October.   You can use the macro function %eval(&J=&K) to generalize the program. ... View more