Dear Clyde,
at the end I have this dataset and I almost got what I would like to obtain from my data.
input double permno long date str2 primexch double(dlstcd shrout altprc year) float(month datem id size Bm rett mc) double(BMquintile SizeBM1 SizeBM2 SizeBM3 SizeBM4 SizeBM5)
10000 9527 "Q" . 3680 4.375 1986 1 312 1 . . . . . . . . . .
10000 9555 "Q" . 3680 3.25 1986 2 313 1 . . -.25714287 . . . . . . .
10000 9586 "Q" . 3680 4.4375 1986 3 314 1 . . .3653846 16100 . . . . . .
10000 9616 "Q" . 3793 4 1986 4 315 1 . . -.09859155 11960 . . . . . .
10000 9646 "Q" . 3793 3.109375 1986 5 316 1 . . -.22265625 16330 . . . . . .
10000 9677 "Q" . 3793 3.09375 1986 6 317 1 2.462541 . -.005025126 15172 . . . . . .
10000 9708 "Q" . 3793 2.84375 1986 7 318 1 2.462541 . -.08080808 11793.86 . . . . . .
10000 9737 "Q" . 3793 1.09375 1986 8 319 1 2.462541 . -.6153846 11734.594 . . . . . .
10000 9769 "Q" . 3793 1.03125 1986 9 320 1 2.462541 . -.05714286 10786.344 . . . . . .
10000 9800 "Q" . 3843 .78125 1986 10 321 1 2.462541 . -.24242425 4148.5938 . . . . . .
10000 9828 "Q" . 3843 .828125 1986 11 322 1 2.462541 . .06 3911.531 . . . . . .
10000 9861 "Q" . 3843 .515625 1986 12 323 1 2.462541 . -.3773585 3002.344 . . . . . .
10001 9527 "Q" . 985 6.125 1986 1 312 2 . . . 3182.4844 . . . . . .
10001 9555 "Q" . 985 6.25 1986 2 313 2 . . .020408163 1981.547 . . . . . .
10001 9586 "Q" . 985 6.3125 1986 3 314 2 . . .025200004 6033.125 . . . . . .
10001 9616 "Q" . 985 6.375 1986 4 315 2 . . .00990099 6156.25 . . . . . .
10001 9646 "Q" . 985 6.3125 1986 5 316 2 . . -.009803922 6217.813 . . . . . .
10001 9677 "Q" . 985 6.125 1986 6 317 2 1.797265 . -.013069307 6279.375 . . . . . .
10001 9708 "Q" . 985 6.0625 1986 7 318 2 1.797265 . -.010204081 6217.813 . . . . . .
10001 9737 "Q" . 985 6.5 1986 8 319 2 1.797265 . .072164945 6033.125 . . . . . .
10001 9769 "Q" . 991 6.375 1986 9 320 2 1.797265 . -.0030769235 5971.563 . . . . . .
10001 9800 "Q" . 991 6.625 1986 10 321 2 1.797265 . .03921569 6402.5 . . . . . .
10001 9828 "Q" . 991 7 1986 11 322 2 1.797265 . .05660377 6317.625 . . . . . .
10001 9861 "Q" . 991 7 1986 12 323 2 1.797265 . .015 6565.375 . . . . . .
10001 9891 "Q" . 991 6.75 1987 1 324 2 1.797265 . -.035714287 6937 . . . . . .
10001 9919 "Q" . 991 6.25 1987 2 325 2 1.797265 . -.074074075 6937 . . . . . .
10001 9951 "Q" . 991 6.375 1987 3 326 2 1.797265 . .0368 6689.25 . . . . . .
10001 9981 "Q" . 991 6.125 1987 4 327 2 1.797265 . -.03921569 6193.75 . . . . . .
10001 10010 "Q" . 991 5.6875 1987 5 328 2 1.797265 . -.071428575 6317.625 . . . . . .
10001 10042 "Q" . 991 5.875 1987 6 329 2 1.7616653 .014312587 .05142857 6069.875 4 . . . 1 .
10001 10073 "Q" . 991 6 1987 7 330 2 1.7616653 .014312587 .021276595 5636.313 4 . . . 1 .
10001 10104 "Q" . 991 6.5 1987 8 331 2 1.7616653 .014312587 .08333334 5822.125 4 . . . 1 .
10001 10134 "Q" . 992 6.25 1987 9 332 2 1.7616653 .014312587 -.02230769 5946 4 . . . 1 .
10001 10164 "Q" . 992 6.375 1987 10 333 2 1.7616653 .014312587 .02 6441.5 4 . . . 1 .
10001 10195 "Q" . 992 6.1875 1987 11 334 2 1.7616653 .014312587 -.029411765 6200 4 . . . 1 .
10001 10226 "Q" . 992 5.875 1987 12 335 2 1.7616653 .014312587 -.033535354 6324 4 . . . 1 .
10001 10255 "Q" . 992 6.25 1988 1 336 2 1.7616653 .014312587 .06382979 6138 4 . . . 1 .
10001 10286 "Q" . 992 6.75 1988 2 337 2 1.7616653 .014312587 .08 5828 4 . . . 1 .
10001 10317 "Q" . 992 6.125 1988 3 338 2 1.7616653 .014312587 -.0762963 6200 4 . . . 1 .
10001 10346 "Q" . 992 6.3125 1988 4 339 2 1.7616653 .014312587 .030612245 6696 4 . . . 1 .
10001 10378 "Q" . 992 6.4375 1988 5 340 2 1.7616653 .014312587 .01980198 6076 4 . . . 1 .
10001 10408 "Q" . 992 6.25 1988 6 341 2 1.8245493 .1886501 -.012038835 6262 4 . . . 2 .
10001 10437 "Q" . 992 6.4375 1988 7 342 2 1.8245493 .1886501 .03 6386 4 . . . 2 .
10001 10470 "Q" . 992 6.625 1988 8 343 2 1.8245493 .1886501 .029126214 6200 4 . . . 2 .
10001 10500 "Q" . 998 6.375 1988 9 344 2 1.8245493 .1886501 -.021132076 6386 4 . . . 2 .
10001 10531 "Q" . 998 6.625 1988 10 345 2 1.8245493 .1886501 .03921569 6572 4 . . . 2 .
10001 10561 "Q" . 998 6.625 1988 11 346 2 1.8245493 .1886501 0 6362.25 4 . . . 2 .
10001 10591 "Q" . 998 6.375 1988 12 347 2 1.8245493 .1886501 -.021132076 6611.75 4 . . . 2 .
10001 10623 "Q" . 998 6.5 1989 1 348 2 1.8245493 .1886501 .019607844 6611.75 4 . . . 2 .
10001 10651 "Q" . 998 6.75 1989 2 349 2 1.8245493 .1886501 .03846154 6362.25 4 . . . 2 .
10001 10682 "Q" . 998 6.75 1989 3 350 2 1.8245493 .1886501 .017777778 6487 4 . . . 2 .
10001 10710 "Q" . 998 7.25 1989 4 351 2 1.8245493 .1886501 .074074075 6736.5 4 . . . 2 .
10001 10743 "Q" . 998 7 1989 5 352 2 1.8245493 .1886501 -.03448276 6736.5 4 . . . 2 .
10001 10773 "Q" . 1001 7 1989 6 353 2 1.9469097 .13557264 .017142856 7235.5 4 . . . 2 .
10001 10804 "Q" . 1001 7.25 1989 7 354 2 1.9469097 .13557264 .035714287 6986 4 . . . 2 .
10001 10835 "Q" . 1001 9.25 1989 8 355 2 1.9469097 .13557264 .27586207 7007 4 . . . 2 .
10001 10864 "Q" . 1019 8.875 1989 9 356 2 1.9469097 .13557264 -.02702703 7257.25 4 . . . 2 .
10001 10896 "Q" . 1019 9.5 1989 10 357 2 1.9469097 .13557264 .07042254 9259.25 4 . . . 2 .
10001 10926 "Q" . 1019 9.875 1989 11 358 2 1.9469097 .13557264 .03947368 9043.625 4 . . . 2 .
10001 10955 "Q" . 1022 10.125 1989 12 359 2 1.9469097 .13557264 .03797468 9680.5 4 . . . 2 .
10001 10988 "Q" . 1022 9.9375 1990 1 360 2 1.9469097 .13557264 -.018518519 10062.625 4 . . . 2 .
10001 11016 "Q" . 1022 9.875 1990 2 361 2 1.9469097 .13557264 -.006289308 10347.75 4 . . . 2 .
10001 11046 "Q" . 1027 9.875 1990 3 362 2 1.9469097 .13557264 .012658228 10156.125 4 . . . 2 .
10001 11077 "Q" . 1027 9.875 1990 4 363 2 1.9469097 .13557264 0 10092.25 4 . . . 2 .
10001 11108 "Q" . 1027 9.75 1990 5 364 2 1.9469097 .13557264 -.012658228 10141.625 4 . . . 2 .
10001 11137 "Q" . 1031 9.75 1990 6 365 2 2.3077965 -.200711 .014102564 10141.625 3 . . 2 . .
10001 11169 "Q" . 1031 10 1990 7 366 2 2.3077965 -.200711 .025641026 10013.25 3 . . 2 . .
10001 11200 "Q" . 1031 9.5 1990 8 367 2 2.3077965 -.200711 -.05 10052.25 3 . . 2 . .
10001 11228 "Q" . 1044 9.75 1990 9 368 2 2.3077965 -.200711 .04078947 10310 3 . . 2 . .
10001 11261 "Q" . 1044 9.625 1990 10 369 2 2.3077965 -.200711 -.012820513 9794.5 3 . . 2 . .
10001 11291 "Q" . 1044 9.625 1990 11 370 2 2.3077965 -.200711 0 10179 3 . . 2 . .
10001 11322 "Q" . 1054 9.5 1990 12 371 2 2.3077965 -.200711 .0012987016 10048.5 3 . . 2 . .
10001 11353 "Q" . 1054 9.625 1991 1 372 2 2.3077965 -.200711 .013157895 10048.5 3 . . 2 . .
10001 11381 "Q" . 1054 9.75 1991 2 373 2 2.3077965 -.200711 .012987013 10013 3 . . 2 . .
10001 11409 "Q" . 1054 9.5 1991 3 374 2 2.3077965 -.200711 -.01153846 10144.75 3 . . 2 . .
10001 11442 "Q" . 1054 9.875 1991 4 375 2 2.3077965 -.200711 .03947368 10276.5 4 . . . 3 .
10001 11473 "Q" . 1054 9.875 1991 5 376 2 2.3077965 -.200711 0 10013 4 . . . 3 .
10001 11501 "Q" . 1073 10.5 1991 6 377 2 2.421834 -.05914013 .078481 10408.25 3 . . 2 . .
10001 11534 "Q" . 1073 10.125 1991 7 378 2 2.421834 -.05914013 -.035714287 10408.25 3 . . 2 . .
10001 11564 "Q" . 1073 11.5 1991 8 379 2 2.421834 -.05914013 .13580246 11266.5 3 . . 2 . .
10001 11595 "Q" . 1073 11.5 1991 9 380 2 2.421834 -.05914013 .01304348 10864.125 3 . . 2 . .
10001 11626 "Q" . 1073 13 1991 10 381 2 2.421834 -.05914013 .13043478 12339.5 3 . . 2 . .
10001 11655 "Q" . 1073 14.75 1991 11 382 2 2.421834 -.05914013 .13461539 12339.5 3 . . 2 . .
10001 11687 "Q" . 1075 14.5 1991 12 383 2 2.421834 -.05914013 -.00677966 13949 3 . . 2 . .
10001 11718 "Q" . 1075 13.75 1992 1 384 2 2.421834 -.05914013 -.05172414 15826.75 3 . . 2 . .
10001 11746 "Q" . 1075 11 1992 2 385 2 2.421834 -.05914013 -.2 15587.5 3 . . 2 . .
10001 11778 "Q" . 1075 11.75 1992 3 386 2 2.421834 -.05914013 .08181819 14781.25 3 . . 2 . .
10001 11808 "Q" . 1075 11.875 1992 4 387 2 2.421834 -.05914013 .010638298 11825 3 . . 2 . .
10001 11837 "Q" . 1075 12 1992 5 388 2 2.421834 -.05914013 .010526316 12631.25 3 . . 2 . .
10001 11869 "Q" . 1075 11.75 1992 6 389 2 2.536174 -.4036063 -.007708333 12765.625 3 . . 2 . .
10001 11900 "Q" . 1075 12.5 1992 7 390 2 2.536174 -.4036063 .06382979 12900 3 . . 2 . .
10001 11931 "Q" . 1075 13 1992 8 391 2 2.536174 -.4036063 .04 12631.25 3 . . 2 . .
10001 11961 "Q" . 1075 15 1992 9 392 2 2.536174 -.4036063 .16596153 13437.5 3 . . 2 . .
10001 11991 "Q" . 1075 14.625 1992 10 393 2 2.536174 -.4036063 -.025 13975 3 . . 2 . .
10001 12022 "Q" . 1075 14.375 1992 11 394 2 2.536174 -.4036063 -.017094018 16125 3 . . 2 . .
10001 12053 "Q" . 1080 14 1992 12 395 2 2.536174 -.4036063 -.015130435 15721.875 3 . . 2 . .
10001 12082 "Q" . 1080 14 1993 1 396 2 2.536174 -.4036063 0 15453.125 3 . . 2 . .
10001 12110 "Q" . 1080 14.25 1993 2 397 2 2.536174 -.4036063 .017857144 15120 3 . . 2 . .
10001 12143 "Q" . 1075 14.25 1993 3 398 2 2.536174 -.4036063 .011052632 15120 3 . . 2 . .
10001 12173 "Q" . 1075 15.25 1993 4 399 2 2.536174 -.4036063 .07017544 15390 3 . . 2 . .
end
format %d date
[/CODE]
The different quintiles are calculated from june of year t until May of year t+1, but the problem is that I would like to calculate the portfolio value-weighted returns from July of year t untile June of year t+1.
If I run the following code to calculate the value-weighted returns I obtain portfolio returns from June of year t and non from July of year t.
forvalues i= 1(1)5{
forvalues j= 1(1)10{
bys datem : egen mkval`i'`j' = sum(mc) if (BMquintile == `i' & SizeBM`i'==`j')
bys datem : gen weight`i'`j' = mc/mkval`i'`j'
}
}
forvalues i = 1(1)5{
forvalues j = 1(1)10{
egen vw_return_bmsize`i'_`j' = sum(rett*weight`i'`j') if (SizeBM`i'==`j' & BMquintile==`i'), by (datem)
}
}
What I would like to have, as I already mentioned above, is calculating portfolios value weighted returns in each July of year t to June of year t+1.
Thank for your help
best regards
at the end I have this dataset and I almost got what I would like to obtain from my data.
input double permno long date str2 primexch double(dlstcd shrout altprc year) float(month datem id size Bm rett mc) double(BMquintile SizeBM1 SizeBM2 SizeBM3 SizeBM4 SizeBM5)
10000 9527 "Q" . 3680 4.375 1986 1 312 1 . . . . . . . . . .
10000 9555 "Q" . 3680 3.25 1986 2 313 1 . . -.25714287 . . . . . . .
10000 9586 "Q" . 3680 4.4375 1986 3 314 1 . . .3653846 16100 . . . . . .
10000 9616 "Q" . 3793 4 1986 4 315 1 . . -.09859155 11960 . . . . . .
10000 9646 "Q" . 3793 3.109375 1986 5 316 1 . . -.22265625 16330 . . . . . .
10000 9677 "Q" . 3793 3.09375 1986 6 317 1 2.462541 . -.005025126 15172 . . . . . .
10000 9708 "Q" . 3793 2.84375 1986 7 318 1 2.462541 . -.08080808 11793.86 . . . . . .
10000 9737 "Q" . 3793 1.09375 1986 8 319 1 2.462541 . -.6153846 11734.594 . . . . . .
10000 9769 "Q" . 3793 1.03125 1986 9 320 1 2.462541 . -.05714286 10786.344 . . . . . .
10000 9800 "Q" . 3843 .78125 1986 10 321 1 2.462541 . -.24242425 4148.5938 . . . . . .
10000 9828 "Q" . 3843 .828125 1986 11 322 1 2.462541 . .06 3911.531 . . . . . .
10000 9861 "Q" . 3843 .515625 1986 12 323 1 2.462541 . -.3773585 3002.344 . . . . . .
10001 9527 "Q" . 985 6.125 1986 1 312 2 . . . 3182.4844 . . . . . .
10001 9555 "Q" . 985 6.25 1986 2 313 2 . . .020408163 1981.547 . . . . . .
10001 9586 "Q" . 985 6.3125 1986 3 314 2 . . .025200004 6033.125 . . . . . .
10001 9616 "Q" . 985 6.375 1986 4 315 2 . . .00990099 6156.25 . . . . . .
10001 9646 "Q" . 985 6.3125 1986 5 316 2 . . -.009803922 6217.813 . . . . . .
10001 9677 "Q" . 985 6.125 1986 6 317 2 1.797265 . -.013069307 6279.375 . . . . . .
10001 9708 "Q" . 985 6.0625 1986 7 318 2 1.797265 . -.010204081 6217.813 . . . . . .
10001 9737 "Q" . 985 6.5 1986 8 319 2 1.797265 . .072164945 6033.125 . . . . . .
10001 9769 "Q" . 991 6.375 1986 9 320 2 1.797265 . -.0030769235 5971.563 . . . . . .
10001 9800 "Q" . 991 6.625 1986 10 321 2 1.797265 . .03921569 6402.5 . . . . . .
10001 9828 "Q" . 991 7 1986 11 322 2 1.797265 . .05660377 6317.625 . . . . . .
10001 9861 "Q" . 991 7 1986 12 323 2 1.797265 . .015 6565.375 . . . . . .
10001 9891 "Q" . 991 6.75 1987 1 324 2 1.797265 . -.035714287 6937 . . . . . .
10001 9919 "Q" . 991 6.25 1987 2 325 2 1.797265 . -.074074075 6937 . . . . . .
10001 9951 "Q" . 991 6.375 1987 3 326 2 1.797265 . .0368 6689.25 . . . . . .
10001 9981 "Q" . 991 6.125 1987 4 327 2 1.797265 . -.03921569 6193.75 . . . . . .
10001 10010 "Q" . 991 5.6875 1987 5 328 2 1.797265 . -.071428575 6317.625 . . . . . .
10001 10042 "Q" . 991 5.875 1987 6 329 2 1.7616653 .014312587 .05142857 6069.875 4 . . . 1 .
10001 10073 "Q" . 991 6 1987 7 330 2 1.7616653 .014312587 .021276595 5636.313 4 . . . 1 .
10001 10104 "Q" . 991 6.5 1987 8 331 2 1.7616653 .014312587 .08333334 5822.125 4 . . . 1 .
10001 10134 "Q" . 992 6.25 1987 9 332 2 1.7616653 .014312587 -.02230769 5946 4 . . . 1 .
10001 10164 "Q" . 992 6.375 1987 10 333 2 1.7616653 .014312587 .02 6441.5 4 . . . 1 .
10001 10195 "Q" . 992 6.1875 1987 11 334 2 1.7616653 .014312587 -.029411765 6200 4 . . . 1 .
10001 10226 "Q" . 992 5.875 1987 12 335 2 1.7616653 .014312587 -.033535354 6324 4 . . . 1 .
10001 10255 "Q" . 992 6.25 1988 1 336 2 1.7616653 .014312587 .06382979 6138 4 . . . 1 .
10001 10286 "Q" . 992 6.75 1988 2 337 2 1.7616653 .014312587 .08 5828 4 . . . 1 .
10001 10317 "Q" . 992 6.125 1988 3 338 2 1.7616653 .014312587 -.0762963 6200 4 . . . 1 .
10001 10346 "Q" . 992 6.3125 1988 4 339 2 1.7616653 .014312587 .030612245 6696 4 . . . 1 .
10001 10378 "Q" . 992 6.4375 1988 5 340 2 1.7616653 .014312587 .01980198 6076 4 . . . 1 .
10001 10408 "Q" . 992 6.25 1988 6 341 2 1.8245493 .1886501 -.012038835 6262 4 . . . 2 .
10001 10437 "Q" . 992 6.4375 1988 7 342 2 1.8245493 .1886501 .03 6386 4 . . . 2 .
10001 10470 "Q" . 992 6.625 1988 8 343 2 1.8245493 .1886501 .029126214 6200 4 . . . 2 .
10001 10500 "Q" . 998 6.375 1988 9 344 2 1.8245493 .1886501 -.021132076 6386 4 . . . 2 .
10001 10531 "Q" . 998 6.625 1988 10 345 2 1.8245493 .1886501 .03921569 6572 4 . . . 2 .
10001 10561 "Q" . 998 6.625 1988 11 346 2 1.8245493 .1886501 0 6362.25 4 . . . 2 .
10001 10591 "Q" . 998 6.375 1988 12 347 2 1.8245493 .1886501 -.021132076 6611.75 4 . . . 2 .
10001 10623 "Q" . 998 6.5 1989 1 348 2 1.8245493 .1886501 .019607844 6611.75 4 . . . 2 .
10001 10651 "Q" . 998 6.75 1989 2 349 2 1.8245493 .1886501 .03846154 6362.25 4 . . . 2 .
10001 10682 "Q" . 998 6.75 1989 3 350 2 1.8245493 .1886501 .017777778 6487 4 . . . 2 .
10001 10710 "Q" . 998 7.25 1989 4 351 2 1.8245493 .1886501 .074074075 6736.5 4 . . . 2 .
10001 10743 "Q" . 998 7 1989 5 352 2 1.8245493 .1886501 -.03448276 6736.5 4 . . . 2 .
10001 10773 "Q" . 1001 7 1989 6 353 2 1.9469097 .13557264 .017142856 7235.5 4 . . . 2 .
10001 10804 "Q" . 1001 7.25 1989 7 354 2 1.9469097 .13557264 .035714287 6986 4 . . . 2 .
10001 10835 "Q" . 1001 9.25 1989 8 355 2 1.9469097 .13557264 .27586207 7007 4 . . . 2 .
10001 10864 "Q" . 1019 8.875 1989 9 356 2 1.9469097 .13557264 -.02702703 7257.25 4 . . . 2 .
10001 10896 "Q" . 1019 9.5 1989 10 357 2 1.9469097 .13557264 .07042254 9259.25 4 . . . 2 .
10001 10926 "Q" . 1019 9.875 1989 11 358 2 1.9469097 .13557264 .03947368 9043.625 4 . . . 2 .
10001 10955 "Q" . 1022 10.125 1989 12 359 2 1.9469097 .13557264 .03797468 9680.5 4 . . . 2 .
10001 10988 "Q" . 1022 9.9375 1990 1 360 2 1.9469097 .13557264 -.018518519 10062.625 4 . . . 2 .
10001 11016 "Q" . 1022 9.875 1990 2 361 2 1.9469097 .13557264 -.006289308 10347.75 4 . . . 2 .
10001 11046 "Q" . 1027 9.875 1990 3 362 2 1.9469097 .13557264 .012658228 10156.125 4 . . . 2 .
10001 11077 "Q" . 1027 9.875 1990 4 363 2 1.9469097 .13557264 0 10092.25 4 . . . 2 .
10001 11108 "Q" . 1027 9.75 1990 5 364 2 1.9469097 .13557264 -.012658228 10141.625 4 . . . 2 .
10001 11137 "Q" . 1031 9.75 1990 6 365 2 2.3077965 -.200711 .014102564 10141.625 3 . . 2 . .
10001 11169 "Q" . 1031 10 1990 7 366 2 2.3077965 -.200711 .025641026 10013.25 3 . . 2 . .
10001 11200 "Q" . 1031 9.5 1990 8 367 2 2.3077965 -.200711 -.05 10052.25 3 . . 2 . .
10001 11228 "Q" . 1044 9.75 1990 9 368 2 2.3077965 -.200711 .04078947 10310 3 . . 2 . .
10001 11261 "Q" . 1044 9.625 1990 10 369 2 2.3077965 -.200711 -.012820513 9794.5 3 . . 2 . .
10001 11291 "Q" . 1044 9.625 1990 11 370 2 2.3077965 -.200711 0 10179 3 . . 2 . .
10001 11322 "Q" . 1054 9.5 1990 12 371 2 2.3077965 -.200711 .0012987016 10048.5 3 . . 2 . .
10001 11353 "Q" . 1054 9.625 1991 1 372 2 2.3077965 -.200711 .013157895 10048.5 3 . . 2 . .
10001 11381 "Q" . 1054 9.75 1991 2 373 2 2.3077965 -.200711 .012987013 10013 3 . . 2 . .
10001 11409 "Q" . 1054 9.5 1991 3 374 2 2.3077965 -.200711 -.01153846 10144.75 3 . . 2 . .
10001 11442 "Q" . 1054 9.875 1991 4 375 2 2.3077965 -.200711 .03947368 10276.5 4 . . . 3 .
10001 11473 "Q" . 1054 9.875 1991 5 376 2 2.3077965 -.200711 0 10013 4 . . . 3 .
10001 11501 "Q" . 1073 10.5 1991 6 377 2 2.421834 -.05914013 .078481 10408.25 3 . . 2 . .
10001 11534 "Q" . 1073 10.125 1991 7 378 2 2.421834 -.05914013 -.035714287 10408.25 3 . . 2 . .
10001 11564 "Q" . 1073 11.5 1991 8 379 2 2.421834 -.05914013 .13580246 11266.5 3 . . 2 . .
10001 11595 "Q" . 1073 11.5 1991 9 380 2 2.421834 -.05914013 .01304348 10864.125 3 . . 2 . .
10001 11626 "Q" . 1073 13 1991 10 381 2 2.421834 -.05914013 .13043478 12339.5 3 . . 2 . .
10001 11655 "Q" . 1073 14.75 1991 11 382 2 2.421834 -.05914013 .13461539 12339.5 3 . . 2 . .
10001 11687 "Q" . 1075 14.5 1991 12 383 2 2.421834 -.05914013 -.00677966 13949 3 . . 2 . .
10001 11718 "Q" . 1075 13.75 1992 1 384 2 2.421834 -.05914013 -.05172414 15826.75 3 . . 2 . .
10001 11746 "Q" . 1075 11 1992 2 385 2 2.421834 -.05914013 -.2 15587.5 3 . . 2 . .
10001 11778 "Q" . 1075 11.75 1992 3 386 2 2.421834 -.05914013 .08181819 14781.25 3 . . 2 . .
10001 11808 "Q" . 1075 11.875 1992 4 387 2 2.421834 -.05914013 .010638298 11825 3 . . 2 . .
10001 11837 "Q" . 1075 12 1992 5 388 2 2.421834 -.05914013 .010526316 12631.25 3 . . 2 . .
10001 11869 "Q" . 1075 11.75 1992 6 389 2 2.536174 -.4036063 -.007708333 12765.625 3 . . 2 . .
10001 11900 "Q" . 1075 12.5 1992 7 390 2 2.536174 -.4036063 .06382979 12900 3 . . 2 . .
10001 11931 "Q" . 1075 13 1992 8 391 2 2.536174 -.4036063 .04 12631.25 3 . . 2 . .
10001 11961 "Q" . 1075 15 1992 9 392 2 2.536174 -.4036063 .16596153 13437.5 3 . . 2 . .
10001 11991 "Q" . 1075 14.625 1992 10 393 2 2.536174 -.4036063 -.025 13975 3 . . 2 . .
10001 12022 "Q" . 1075 14.375 1992 11 394 2 2.536174 -.4036063 -.017094018 16125 3 . . 2 . .
10001 12053 "Q" . 1080 14 1992 12 395 2 2.536174 -.4036063 -.015130435 15721.875 3 . . 2 . .
10001 12082 "Q" . 1080 14 1993 1 396 2 2.536174 -.4036063 0 15453.125 3 . . 2 . .
10001 12110 "Q" . 1080 14.25 1993 2 397 2 2.536174 -.4036063 .017857144 15120 3 . . 2 . .
10001 12143 "Q" . 1075 14.25 1993 3 398 2 2.536174 -.4036063 .011052632 15120 3 . . 2 . .
10001 12173 "Q" . 1075 15.25 1993 4 399 2 2.536174 -.4036063 .07017544 15390 3 . . 2 . .
end
format %d date
[/CODE]
The different quintiles are calculated from june of year t until May of year t+1, but the problem is that I would like to calculate the portfolio value-weighted returns from July of year t untile June of year t+1.
If I run the following code to calculate the value-weighted returns I obtain portfolio returns from June of year t and non from July of year t.
forvalues i= 1(1)5{
forvalues j= 1(1)10{
bys datem : egen mkval`i'`j' = sum(mc) if (BMquintile == `i' & SizeBM`i'==`j')
bys datem : gen weight`i'`j' = mc/mkval`i'`j'
}
}
forvalues i = 1(1)5{
forvalues j = 1(1)10{
egen vw_return_bmsize`i'_`j' = sum(rett*weight`i'`j') if (SizeBM`i'==`j' & BMquintile==`i'), by (datem)
}
}
What I would like to have, as I already mentioned above, is calculating portfolios value weighted returns in each July of year t to June of year t+1.
Thank for your help
best regards
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