Momentum Strategy

[Ian Ingabire]

Hi guys,

I've been doing a project and someone told me about STATA and how its much simpler and has more functionality to excel. The thing is I am having a hard time navigating and executing simple commands let alone the actual task. I basically have daily/monthly return databases and I would like to run a momentum strategy based on jegadeesh and titmans j/k relative strength portfolios, with j=12 and k=3.

The thing is I am more concerned with running t-tests and generating the winner/loser portfolio (winner being top 10% and loser being bottom 10% of previous 12 month returns held for 3 months) is taking up so much time. I have been shown basic syntax and how to run the tests, so I would kindly like any help with forming these two portfolios, with a third column being the difference of the 2.

A sample of my data has been linked in .dta. I managed to sort it but I would like to know the step by step command to forming these portfolios e.g. looping, decile ranking. Any help with this will be greatly appreciated, since I'll use it to learn more about STATA and perform similar simulations on my own. Thanks

[Clyde Schechter]

Do read the Forum FAQ. It contains excellent advice about how to post clear, focused questions that are likely to draw a helpful and timely response from a very diverse population, many of whom do not work in your discipline. Also pay attention in particular to FAQ #12 which explains the helpful way to show example data.