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  • #1

    Annual return from monthly return.

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
clear input double
 permno date str8(ncusip cusip)          vwretd
10001 10255 "39040610" "36720410"    .04488041
10001 10286 "39040610" "36720410"    .05169475
10001 10317 "39040610" "36720410"   -.01659759
10001 10346 "39040610" "36720410"    .01099083
10001 10378 "39040610" "36720410"   .000447785
10001 10408 "39040610" "36720410"    .05145973
10001 10437 "39040610" "36720410"  -.007271962
10001 10470 "39040610" "36720410"   -.02800588
10001 10500 "39040610" "36720410"    .03720232
10001 10531 "39040610" "36720410"    .01764623
10001 10561 "39040610" "36720410"   -.01641204
10001 10591 "39040610" "36720410"    .02107465
10001 10623 "39040610" "36720410"    .06610259
10001 10651 "39040610" "36720410"   -.01644639
10001 10682 "39040610" "36720410"    .02146523
10001 10710 "39040610" "36720410"    .04820446
10001 10743 "39040610" "36720410"    .03933809
10001 10773 "39040610" "36720410"  -.004866142
10001 10804 "39040610" "36720410"    .07713073
10001 10835 "39040610" "36720410"     .0221267
10001 10864 "39040610" "36720410"  -.001474362
10001 10896 "39040610" "36720410"   -.02928529
10001 10926 "39040610" "36720410"     .0178139
10001 10955 "39040610" "36720410"    .01829512
10001 10988 "39040610" "36720410"   -.07011517
10001 11016 "39040610" "36720410"    .01490096
10001 11046 "39040610" "36720410"    .02414006
10001 11077 "39040610" "36720410"    -.0282857
10001 11108 "39040610" "36720410"    .08893429
10001 11137 "39040610" "36720410"  -.004196256
10001 11169 "39040610" "36720410"  -.009402919
10001 11200 "39040610" "36720410"   -.09190542
10001 11228 "39040610" "36720410"   -.05384322
10001 11261 "39040610" "36720410"   -.01250398
10001 11291 "39040610" "36720410"    .06574359
10001 11322 "39040610" "36720410"    .02951265
10001 11353 "39040610" "36720410"    .04907785
10001 11381 "39040610" "36720410"    .07584678
10001 11409 "39040610" "36720410"    .02892273
10001 11442 "39040610" "36720410"   .003314882
10001 11473 "39040610" "36720410"     .0407327
10001 11501 "39040610" "36720410"   -.04402925
10001 11534 "39040610" "36720410"    .04679512
10001 11564 "39040610" "36720410"     .0268165
10001 11595 "39040610" "36720410"   -.01097486
10001 11626 "39040610" "36720410"    .01781452
10001 11655 "39040610" "36720410"   -.03727527
10001 11687 "39040610" "36720410"     .1067778
10001 11718 "39040610" "36720410"  -.001182341
10001 11746 "39040610" "36720410"    .01335434
10001 11778 "39040610" "36720410"   -.02369961
10001 11808 "39040610" "36720410"    .01341884
10001 11837 "39040610" "36720410"   .006438549
10001 11869 "39040610" "36720410"   -.01927053
10001 11900 "39040610" "36720410"    .03989998
10001 11931 "39040610" "36720410"   -.02081965
10001 11961 "39040610" "36720410"    .01244722
10001 11991 "39040610" "36720410"    .01098552
10001 12022 "39040610" "36720410"    .04019304
10001 12053 "39040610" "36720410"    .01776835
10001 12082 "39040610" "36720410"    .01264374
10001 12110 "39040610" "36720410"   .005402277
10001 12143 "39040610" "36720410"     .0251157
10001 12173 "39040610" "36720410"   -.02540042
10001 12201 "39040610" "36720410"    .02959926
10001 12234 "39040610" "36720410"   .005440016
10001 12264 "39040610" "36720410" -.0007919354
10001 12296 "39040610" "36720410"    .03947853
10001 12326 "39040610" "36720410"  .0006406767
10001 12355 "39040610" "36720410"    .01806427
10001 12387 "29274A10" "36720410"   -.01760636
10001 12418 "29274A10" "36720410"    .01951495
10001 12449 "29274A10" "36720410"    .03146612
10001 12477 "29274A10" "36720410"   -.02422607
10001 12508 "29274A10" "36720410"   -.04579477
10001 12537 "29274A10" "36720410"   .009477681
10001 12569 "29274A10" "36720410"   .009360213
10001 12599 "29274A10" "36720410"   -.02790886
10001 12628 "29274A10" "36720410"    .03063324
10001 12661 "29274A10" "36720410"    .04259737
10001 12691 "29274A10" "36720410"   -.01836337
10001 12722 "29274A10" "36720410"    .01451999
10001 12752 "29274A10" "36720410"   -.03721879
10001 12782 "29274A10" "36720410"    .01260929
10001 12814 "29274A10" "36720410"    .02039915
10001 12842 "29274A10" "36720410"    .03961473
10001 12873 "29274A10" "36720410"    .02704092
10001 12901 "29274A10" "36720410"    .02504808
10001 12934 "29274A10" "36720410"    .03400705
10001 12964 "29274A10" "36720410"    .03117276
10001 12995 "29274A10" "36720410"    .04078258
10001 13026 "29274A10" "36720410"   .009303724
10001 13055 "29274A10" "36720410"     .0363627
10001 13087 "29274A10" "36720410"   -.01131678
10001 13117 "29274A10" "36720410"    .04280756
10001 13146 "29274A10" "36720410"    .01519028
10001 13179 "29274A10" "36720410"     .0281413
10001 13208 "29274A10" "36720410"    .01631008
10001 13237 "29274A10" "36720410"    .01092697
10001 13269 "29274A10" "36720410"    .02551078
end
format %td date
    I want to calculate annual cumulative return. For example, Annual_return=(1+vwretx_m1)*(1+vwretx_m2)*........ ...........(1+vwretx_m12)-1
    I have tried the following code:

    gen year=year(date)
    bysort permno year: gen anret=log(vwretx+1)
    What I get from this code does not match with cumulative value calculated from excel. Please suggest me.
    Tags: None
  • #2
    Code:
    * Example generated by -dataex-. To install: ssc install dataex
clear
input double permno date str8(ncusip cusip)          vwretd
10001 10255 "39040610" "36720410"    .04488041
10001 10286 "39040610" "36720410"    .05169475
10001 10317 "39040610" "36720410"   -.01659759
10001 10346 "39040610" "36720410"    .01099083
10001 10378 "39040610" "36720410"   .000447785
10001 10408 "39040610" "36720410"    .05145973
10001 10437 "39040610" "36720410"  -.007271962
10001 10470 "39040610" "36720410"   -.02800588
10001 10500 "39040610" "36720410"    .03720232
10001 10531 "39040610" "36720410"    .01764623
10001 10561 "39040610" "36720410"   -.01641204
10001 10591 "39040610" "36720410"    .02107465
10001 10623 "39040610" "36720410"    .06610259
10001 10651 "39040610" "36720410"   -.01644639
10001 10682 "39040610" "36720410"    .02146523
10001 10710 "39040610" "36720410"    .04820446
10001 10743 "39040610" "36720410"    .03933809
10001 10773 "39040610" "36720410"  -.004866142
10001 10804 "39040610" "36720410"    .07713073
10001 10835 "39040610" "36720410"     .0221267
10001 10864 "39040610" "36720410"  -.001474362
10001 10896 "39040610" "36720410"   -.02928529
10001 10926 "39040610" "36720410"     .0178139
10001 10955 "39040610" "36720410"    .01829512
10001 10988 "39040610" "36720410"   -.07011517
10001 11016 "39040610" "36720410"    .01490096
10001 11046 "39040610" "36720410"    .02414006
10001 11077 "39040610" "36720410"    -.0282857
10001 11108 "39040610" "36720410"    .08893429
10001 11137 "39040610" "36720410"  -.004196256
10001 11169 "39040610" "36720410"  -.009402919
10001 11200 "39040610" "36720410"   -.09190542
10001 11228 "39040610" "36720410"   -.05384322
10001 11261 "39040610" "36720410"   -.01250398
10001 11291 "39040610" "36720410"    .06574359
10001 11322 "39040610" "36720410"    .02951265
10001 11353 "39040610" "36720410"    .04907785
10001 11381 "39040610" "36720410"    .07584678
10001 11409 "39040610" "36720410"    .02892273
10001 11442 "39040610" "36720410"   .003314882
10001 11473 "39040610" "36720410"     .0407327
10001 11501 "39040610" "36720410"   -.04402925
10001 11534 "39040610" "36720410"    .04679512
10001 11564 "39040610" "36720410"     .0268165
10001 11595 "39040610" "36720410"   -.01097486
10001 11626 "39040610" "36720410"    .01781452
10001 11655 "39040610" "36720410"   -.03727527
10001 11687 "39040610" "36720410"     .1067778
10001 11718 "39040610" "36720410"  -.001182341
10001 11746 "39040610" "36720410"    .01335434
10001 11778 "39040610" "36720410"   -.02369961
10001 11808 "39040610" "36720410"    .01341884
10001 11837 "39040610" "36720410"   .006438549
10001 11869 "39040610" "36720410"   -.01927053
10001 11900 "39040610" "36720410"    .03989998
10001 11931 "39040610" "36720410"   -.02081965
10001 11961 "39040610" "36720410"    .01244722
10001 11991 "39040610" "36720410"    .01098552
10001 12022 "39040610" "36720410"    .04019304
10001 12053 "39040610" "36720410"    .01776835
10001 12082 "39040610" "36720410"    .01264374
10001 12110 "39040610" "36720410"   .005402277
10001 12143 "39040610" "36720410"     .0251157
10001 12173 "39040610" "36720410"   -.02540042
10001 12201 "39040610" "36720410"    .02959926
10001 12234 "39040610" "36720410"   .005440016
10001 12264 "39040610" "36720410" -.0007919354
10001 12296 "39040610" "36720410"    .03947853
10001 12326 "39040610" "36720410"  .0006406767
10001 12355 "39040610" "36720410"    .01806427
10001 12387 "29274A10" "36720410"   -.01760636
10001 12418 "29274A10" "36720410"    .01951495
10001 12449 "29274A10" "36720410"    .03146612
10001 12477 "29274A10" "36720410"   -.02422607
10001 12508 "29274A10" "36720410"   -.04579477
10001 12537 "29274A10" "36720410"   .009477681
10001 12569 "29274A10" "36720410"   .009360213
10001 12599 "29274A10" "36720410"   -.02790886
10001 12628 "29274A10" "36720410"    .03063324
10001 12661 "29274A10" "36720410"    .04259737
10001 12691 "29274A10" "36720410"   -.01836337
10001 12722 "29274A10" "36720410"    .01451999
10001 12752 "29274A10" "36720410"   -.03721879
10001 12782 "29274A10" "36720410"    .01260929
10001 12814 "29274A10" "36720410"    .02039915
10001 12842 "29274A10" "36720410"    .03961473
10001 12873 "29274A10" "36720410"    .02704092
10001 12901 "29274A10" "36720410"    .02504808
10001 12934 "29274A10" "36720410"    .03400705
10001 12964 "29274A10" "36720410"    .03117276
10001 12995 "29274A10" "36720410"    .04078258
10001 13026 "29274A10" "36720410"   .009303724
10001 13055 "29274A10" "36720410"     .0363627
10001 13087 "29274A10" "36720410"   -.01131678
10001 13117 "29274A10" "36720410"    .04280756
10001 13146 "29274A10" "36720410"    .01519028
10001 13179 "29274A10" "36720410"     .0281413
10001 13208 "29274A10" "36720410"    .01631008
10001 13237 "29274A10" "36720410"    .01092697
10001 13269 "29274A10" "36720410"    .02551078
end
format %td date

//    EXTRACT MONTH AND YEAR FROM DATE
gen year = yofd(date)
gen month = mofd(date)
format month %tm

gen log_monthly_factor = log(1+vwretd)
by permno year, sort: egen double log_yearly_factor = total(log_monthly_factor)
gen double yearly_return = exp(log_yearly_factor) - 1
    By the way, in copying the -dataex- output into the Forum editor you somehow got the spacing mangled. I've fixed it in this response.

    Comment

    • #3
      Originally posted by Clyde Schechter View Post
      Code:
      * Example generated by -dataex-. To install: ssc install dataex
clear
input double permno date str8(ncusip cusip) vwretd
10001 10255 "39040610" "36720410" .04488041
10001 10286 "39040610" "36720410" .05169475
10001 10317 "39040610" "36720410" -.01659759
10001 10346 "39040610" "36720410" .01099083
10001 10378 "39040610" "36720410" .000447785
10001 10408 "39040610" "36720410" .05145973
10001 10437 "39040610" "36720410" -.007271962
10001 10470 "39040610" "36720410" -.02800588
10001 10500 "39040610" "36720410" .03720232
10001 10531 "39040610" "36720410" .01764623
10001 10561 "39040610" "36720410" -.01641204
10001 10591 "39040610" "36720410" .02107465
10001 10623 "39040610" "36720410" .06610259
10001 10651 "39040610" "36720410" -.01644639
10001 10682 "39040610" "36720410" .02146523
10001 10710 "39040610" "36720410" .04820446
10001 10743 "39040610" "36720410" .03933809
10001 10773 "39040610" "36720410" -.004866142
10001 10804 "39040610" "36720410" .07713073
10001 10835 "39040610" "36720410" .0221267
10001 10864 "39040610" "36720410" -.001474362
10001 10896 "39040610" "36720410" -.02928529
10001 10926 "39040610" "36720410" .0178139
10001 10955 "39040610" "36720410" .01829512
10001 10988 "39040610" "36720410" -.07011517
10001 11016 "39040610" "36720410" .01490096
10001 11046 "39040610" "36720410" .02414006
10001 11077 "39040610" "36720410" -.0282857
10001 11108 "39040610" "36720410" .08893429
10001 11137 "39040610" "36720410" -.004196256
10001 11169 "39040610" "36720410" -.009402919
10001 11200 "39040610" "36720410" -.09190542
10001 11228 "39040610" "36720410" -.05384322
10001 11261 "39040610" "36720410" -.01250398
10001 11291 "39040610" "36720410" .06574359
10001 11322 "39040610" "36720410" .02951265
10001 11353 "39040610" "36720410" .04907785
10001 11381 "39040610" "36720410" .07584678
10001 11409 "39040610" "36720410" .02892273
10001 11442 "39040610" "36720410" .003314882
10001 11473 "39040610" "36720410" .0407327
10001 11501 "39040610" "36720410" -.04402925
10001 11534 "39040610" "36720410" .04679512
10001 11564 "39040610" "36720410" .0268165
10001 11595 "39040610" "36720410" -.01097486
10001 11626 "39040610" "36720410" .01781452
10001 11655 "39040610" "36720410" -.03727527
10001 11687 "39040610" "36720410" .1067778
10001 11718 "39040610" "36720410" -.001182341
10001 11746 "39040610" "36720410" .01335434
10001 11778 "39040610" "36720410" -.02369961
10001 11808 "39040610" "36720410" .01341884
10001 11837 "39040610" "36720410" .006438549
10001 11869 "39040610" "36720410" -.01927053
10001 11900 "39040610" "36720410" .03989998
10001 11931 "39040610" "36720410" -.02081965
10001 11961 "39040610" "36720410" .01244722
10001 11991 "39040610" "36720410" .01098552
10001 12022 "39040610" "36720410" .04019304
10001 12053 "39040610" "36720410" .01776835
10001 12082 "39040610" "36720410" .01264374
10001 12110 "39040610" "36720410" .005402277
10001 12143 "39040610" "36720410" .0251157
10001 12173 "39040610" "36720410" -.02540042
10001 12201 "39040610" "36720410" .02959926
10001 12234 "39040610" "36720410" .005440016
10001 12264 "39040610" "36720410" -.0007919354
10001 12296 "39040610" "36720410" .03947853
10001 12326 "39040610" "36720410" .0006406767
10001 12355 "39040610" "36720410" .01806427
10001 12387 "29274A10" "36720410" -.01760636
10001 12418 "29274A10" "36720410" .01951495
10001 12449 "29274A10" "36720410" .03146612
10001 12477 "29274A10" "36720410" -.02422607
10001 12508 "29274A10" "36720410" -.04579477
10001 12537 "29274A10" "36720410" .009477681
10001 12569 "29274A10" "36720410" .009360213
10001 12599 "29274A10" "36720410" -.02790886
10001 12628 "29274A10" "36720410" .03063324
10001 12661 "29274A10" "36720410" .04259737
10001 12691 "29274A10" "36720410" -.01836337
10001 12722 "29274A10" "36720410" .01451999
10001 12752 "29274A10" "36720410" -.03721879
10001 12782 "29274A10" "36720410" .01260929
10001 12814 "29274A10" "36720410" .02039915
10001 12842 "29274A10" "36720410" .03961473
10001 12873 "29274A10" "36720410" .02704092
10001 12901 "29274A10" "36720410" .02504808
10001 12934 "29274A10" "36720410" .03400705
10001 12964 "29274A10" "36720410" .03117276
10001 12995 "29274A10" "36720410" .04078258
10001 13026 "29274A10" "36720410" .009303724
10001 13055 "29274A10" "36720410" .0363627
10001 13087 "29274A10" "36720410" -.01131678
10001 13117 "29274A10" "36720410" .04280756
10001 13146 "29274A10" "36720410" .01519028
10001 13179 "29274A10" "36720410" .0281413
10001 13208 "29274A10" "36720410" .01631008
10001 13237 "29274A10" "36720410" .01092697
10001 13269 "29274A10" "36720410" .02551078
end
format %td date

// EXTRACT MONTH AND YEAR FROM DATE
gen year = yofd(date)
gen month = mofd(date)
format month %tm

gen log_monthly_factor = log(1+vwretd)
by permno year, sort: egen double log_yearly_factor = total(log_monthly_factor)
gen double yearly_return = exp(log_yearly_factor) - 1
      By the way, in copying the -dataex- output into the Forum editor you somehow got the spacing mangled. I've fixed it in this response.
      Thank you so much. You are awesome. Is there any good book on stata that explains data manipulation technique? I look forward to your advice.

      Comment

      • #4
        Cross-posted at https://stackoverflow.com/questions/...monthly-return

        Our policy on cross-posting is explicit in the FAQ Advice: you are asked to tell us about it.

        Comment

        • #5
          Thank you so much. You are awesome. Is there any good book on stata that explains data manipulation technique? I look forward to your advice.
          There are several available in the Bookstore at stata.com. One that might be particularly helpful for you is C. Baum's Introduction to Stata Programming.

          Comment

          • #6
            You can also use asrol (from SSC) for this task. See
            Code:
            ssc install asrol
gen year = yofd(date)
bys permno year : asrol vwretd, s(product) add(1)
            Regards
            --------------------------------------------------
            Attaullah Shah, PhD.
            Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
            FinTechProfessor.com
            https://asdocx.com
            Check out my asdoc program, which sends outputs to MS Word.
            For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.

            Comment

            • #7
              Not my field at all, but the original data look like log returns to me. That being so, you need to add them, not multiply (modulo adding 1, and so forth).

              Comment

              • #8
                Nick

                I don't think those are log returns. I think they are signed relative changes in values. In what Mr. Islam worte in #1 it appeared that he was looking to calculate not the product of those numbers but the product of (1+those numbers). (Of course, those numbers are also petty small in magnitude and log(1+x) will not differ much from x itself.)



                Comment

                • #9
                  Clyde: It's good to think they make sense. I don't know why they are called returns if they aren't,

                  Comment

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