Calculatiing cumulative return

[Subhan Ahmad]

Hello Everyone,

I have daily stock returns data of 370 companies from the period 2000 to 2014. The data is in long form that contains firm ID, date and its respective return. I want to create 1 year momentum porfolio. For that, I want to calculate cumulative total return for the last one year excluding the last month (month t-12 to t-2) for each stock.
I have collapsed the daily stock returns to months using the code

gen m_date = mofd(date)
format m_date %tm
collapse (sum) return, by( ID m_date year date)

I am stuck at calculating comulative returns of 11 months exculding the last month

Kindly suggest the code to compute the comulative returns and also let me know is a way to directly compute comulative returns through daily stock returns?

Thank you

[Kazi Bacsi]

For monthly returns maybe it's not a big deal use the lag operator:

gen return_cumulated = return * return[_n-1]

Then put it in a loop with temporary variables to cumulate it for all months. However, this is a bit awkward if you have daily data...