Compute yearly returns from monthly returns

[Guest]

Hello all,

I am having problems aggregating my monthly return data in panelformat, so that I will end up with yearly returns for each firm instead ( taking compound interest into account)

Currently I have my data in the following format:

gvkey return ccmbegdt
001004 11.8485 01jan2010
001004 -2.47543 01feb2010
001004 1.86637 01mar2010
001004 1.57567 01apr2010
001004 -5.79004 01may2010
....

I want to end up having following :

gvkey Yearly Return fyear
001004 xxx 2010



obs: 337,323
vars: 3
size: 6,071,814
------------------------------------------------------------------------------------------------------------------------------
storage display value
variable name type format label variable label
------------------------------------------------------------------------------------------------------------------------------
gvkey str6 %6s Standard and Poor's Identifier
return double %8.0g Monthly Total Return
ccmbegdt long %d

Thank you !!

[Enrico Zorzi]

Hi,

clear
input str10(gvkey Return ccmbegdt)
001004 11.8485 01jan2010
001004 -2.47543 01feb2010
001004 1.86637 01mar2010
001004 1.57567 01apr2010
001004 -5.79004 01may2010
end
gen date = date(ccmbegdt , "DMY")
gen fyear = year(date)
list  gvkey date Return fyear in 1/3

[Phil Bromiley]

You'll increase your chances of a a useful answer if you follow the FAQ on asking questions - provide Stata code in code delimiters, Stata output, and sample data.

Are you trying to move from monthly data to yearly data? What formula do you want to use to calculate the compound interest?