Hey,
Second time writing on this forum.
I am looking to find a way to create an equally weighted stock return for a portfolio of a particular industry to later use a regression returns of two different industry portfolios. Previous example I have seen have create portfolios using percentiles but this would be condition on firm "i" belongs to industrygroup=1 etc. This would later on have to be compared to another portfolio.
Anyone have any tips?
Second time writing on this forum.
I am looking to find a way to create an equally weighted stock return for a portfolio of a particular industry to later use a regression returns of two different industry portfolios. Previous example I have seen have create portfolios using percentiles but this would be condition on firm "i" belongs to industrygroup=1 etc. This would later on have to be compared to another portfolio.
Anyone have any tips?
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long permno str8 date str5 ticker float(prc end) double(MktRF SMB HML RF Mom) float(return RetRF IndustryGroup) 87432 "20000131" "A" 66.1875 480 -4.74 4.95 -.29 .41 1.86 . . 38 87432 "20000229" "A" 103.875 481 2.45 21.7 -9.93 .43 18.36 .5694051 .13940507 38 87432 "20000331" "A" 104 482 5.2 -16.86 7.38 .47 -6.39 .0012033695 -.4687966 38 87432 "20000428" "A" 88.625 483 -6.4 -7.73 8.61 .46 -8.58 -.14783654 -.6078365 38 87432 "20000531" "A" 73.625 484 -4.42 -5.11 2.56 .5 -9.08 -.16925247 -.6692525 38 87432 "20000630" "A" 73.75 485 4.64 13.85 -9.86 .4 16.59 .001697793 -.3983022 38 87432 "20000731" "A" 40.75 486 -2.51 -2.76 8.06 .48 -.11 -.4474576 -.9274576 38 87432 "20000831" "A" 60.3125 487 7.03 -1.15 -.66 .5 5.7 .48006135 -.01993865 38 87432 "20000929" "A" 48.9375 488 -5.45 -1.32 6.13 .51 2.2 -.18860103 -.698601 38 87432 "20001031" "A" 46.3125 489 -2.76 -3.8 5.64 .56 -4.63 -.05363985 -.6136398 38 87432 "20001130" "A" 52.1875 490 -10.72 -2.77 11.26 .51 -2.4 .1268556 -.3831444 38 87432 "20001229" "A" 54.75 491 1.19 .96 7.37 .5 6.7 .0491018 -.4508982 38 87432 "20010131" "A" 54.55 492 3.13 6.54 -4.86 .54 -25.05 -.003652982 -.543653 38 87432 "20010228" "A" 36 493 -10.05 -.72 12.87 .38 12.51 -.340055 -.720055 38 87432 "20010330" "A" 30.73 494 -7.26 .34 6.46 .42 8.35 -.1463889 -.5663889 38 87432 "20010430" "A" 39.01 495 7.94 .54 -4.72 .39 -7.97 .2694435 -.12055649 38 87432 "20010531" "A" 33.54 496 .72 2.59 3.18 .32 2.12 -.14022039 -.4602204 38 87432 "20010629" "A" 32.5 497 -1.94 6.03 -1.03 .28 .34 -.03100778 -.3110078 38 87432 "20010731" "A" 28.61 498 -2.13 -4.35 5.57 .3 5.47 -.11969229 -.4196923 38 87432 "20010831" "A" 26.5 499 -6.46 2.5 2.51 .31 5.54 -.07375046 -.3837505 38 87432 "20010928" "A" 19.55 500 -9.25 -6.12 1.6 .28 11.54 -.2622642 -.54226416 38 87432 "20011031" "A" 22.27 501 2.46 7.63 -8.1 .22 -8.41 .1391305 -.0808695 38 87432 "20011130" "A" 27.27 502 7.54 -.41 2.01 .17 -8.58 .2245173 .05451728 38 87432 "20011231" "A" 28.51 503 1.61 4.57 1.1 .15 -.02 .04547121 -.1045288 38 87432 "20020131" "A" 30.35 504 -1.44 1.19 3.33 .14 3.68 .06453876 -.07546124 38 87432 "20020228" "A" 31.15 505 -2.29 -1.1 2.5 .13 6.76 .02635912 -.10364088 38 87432 "20020328" "A" 34.96 506 4.24 4.23 1.1 .13 -1.66 .12231138 -.007688616 38 87432 "20020430" "A" 30.05 507 -5.2 5.94 3.92 .15 7.95 -.14044623 -.29044622 38 87432 "20020531" "A" 26.37 508 -1.38 -3.21 1.68 .14 2.97 -.1224625 -.2624625 38 87432 "20020628" "A" 23.65 509 -7.21 4.27 .12 .13 6.15 -.10314756 -.23314756 38 87432 "20020731" "A" 18.88 510 -8.18 -5.3 -3.44 .15 3.34 -.20169136 -.3516914 38 87432 "20020830" "A" 13.43 511 .5 -2.44 2.52 .14 1.76 -.2886652 -.4286652 38 87432 "20020930" "A" 13.06 512 -10.35 2.57 1.32 .14 9.09 -.02755025 -.16755025 38 87432 "20021031" "A" 13.75 513 7.84 -2.91 -5.45 .14 -5.3 .05283304 -.08716696 38 87432 "20021129" "A" 19.41 514 5.96 2.84 -1.12 .12 -16.17 .41163635 .29163635 38 87432 "20021231" "A" 17.96 515 -5.76 .01 2.23 .11 9.64 -.0747038 -.1847038 38 87432 "20030131" "A" 16.48 516 -2.57 1.39 -.93 .1 1.61 -.08240532 -.18240532 38 87432 "20030228" "A" 13.2 517 -1.88 -.34 -1.45 .09 1.25 -.1990291 -.28902912 38 87432 "20030331" "A" 13.15 518 1.09 .89 -2.08 .1 1.61 -.003787893 -.1037879 38 87432 "20030430" "A" 16.02 519 8.22 .56 1.03 .1 -9.46 .218251 .11825102 38 87432 "20030530" "A" 18.13 520 6.05 4.69 -.29 .09 -10.77 .13171028 .04171028 38 87432 "20030630" "A" 19.55 521 1.42 1.67 .68 .1 -1.06 .07832323 -.02167677 38 87432 "20030731" "A" 21.73 522 2.35 5.24 -1.13 .07 -.31 .11150897 .04150897 38 87432 "20030829" "A" 24.32 523 2.34 2.6 2.03 .07 -.56 .11919007 .04919007 38 87432 "20030930" "A" 22.11 524 -1.24 .8 .01 .08 -.19 -.09087168 -.17087168 38 87432 "20031031" "A" 24.92 525 6.08 2.68 1.77 .07 3.73 .12709178 .05709178 38 87432 "20031128" "A" 28.28 526 1.35 2.02 1.85 .07 1.62 .13483149 .06483149 38 87432 "20031231" "A" 29.24 527 4.29 -3 2.41 .08 -5.71 .03394622 -.04605378 38 87432 "20040130" "A" 36.86 528 2.15 2.8 1.97 .07 2.6 .26060194 .19060194 38 87432 "20040227" "A" 34.19 529 1.4 -1.43 .5 .06 -1.1 -.072436295 -.13243629 38 87432 "20040331" "A" 31.63 530 -1.32 1.75 .22 .09 .21 -.07487568 -.1648757 38 87432 "20040430" "A" 27.01 531 -1.83 -2.06 -2.62 .08 -5.39 -.14606383 -.22606383 38 87432 "20040528" "A" 25.7 532 1.17 -.21 -.39 .06 1.6 -.04850053 -.10850053 38 87432 "20040630" "A" 29.28 533 1.86 2.26 1.39 .08 2.1 .1392996 .0592996 38 87432 "20040730" "A" 23.81 534 -4.06 -3.81 4.12 .1 -2.29 -.18681698 -.28681698 38 87432 "20040831" "A" 20.5 535 .08 -1.62 1.02 .11 -1.55 -.1390172 -.2490172 38 87432 "20040930" "A" 21.57 536 1.6 3.04 -.25 .11 5.25 .05219511 -.05780489 38 87432 "20041029" "A" 25.06 537 1.43 .31 -.62 .11 -1.52 .1617988 .05179879 38 87432 "20041130" "A" 22.89 538 4.54 3.91 1.8 .15 3.23 -.08659218 -.2365922 38 87432 "20041231" "A" 24.1 539 3.43 .12 -.07 .16 -2.84 .05286156 -.10713844 38 87432 "20050131" "A" 22.11 540 -2.76 -1.51 1.96 .16 3.2 -.0825726 -.2425726 38 87432 "20050228" "A" 24 541 1.89 -.51 1.64 .16 3.16 .08548165 -.07451835 38 87432 "20050331" "A" 22.2 542 -1.97 -1.38 1.59 .21 .54 -.07499997 -.28499997 38 87432 "20050429" "A" 20.75 543 -2.61 -3.98 -.35 .21 -.87 -.06531535 -.27531534 38 87432 "20050531" "A" 24.01 544 3.65 2.88 -.81 .24 .44 .15710844 -.08289156 38 87432 "20050630" "A" 23.02 545 .57 2.62 2.63 .23 2.05 -.04123281 -.2712328 38 87432 "20050729" "A" 26.24 546 3.92 2.93 -.51 .24 -.01 .13987833 -.10012167 38 87432 "20050831" "A" 32.16 547 -1.22 -.92 1.27 .3 2.27 .22560976 -.07439023 38 87432 "20050930" "A" 32.75 548 .49 -.58 .76 .29 3.46 .018345775 -.27165422 38 87432 "20051031" "A" 32.01 549 -2.02 -1.21 .23 .27 -1.29 -.02259547 -.29259548 38 87432 "20051130" "A" 35.66 550 3.61 .91 -1.19 .31 .25 .11402692 -.1959731 38 87432 "20051230" "A" 33.29 551 -.25 -.45 .44 .32 .77 -.06646099 -.386461 38 87432 "20060131" "A" 33.91 552 3.04 5.41 1.12 .35 2.68 .018624179 -.3313758 38 87432 "20060228" "A" 36 553 -.3 -.37 -.25 .34 -1.84 .06163374 -.27836627 38 87432 "20060331" "A" 37.55 554 1.46 3.55 .6 .37 1.26 .04305553 -.3269445 38 87432 "20060428" "A" 38.42 555 .73 -1.34 2.6 .36 .61 .02316908 -.3368309 38 87432 "20060531" "A" 34.89 556 -3.57 -3.04 2.55 .43 -3.65 -.0918792 -.5218792 38 87432 "20060630" "A" 31.56 557 -.35 -.35 .88 .4 1.48 -.09544282 -.4954428 38 87432 "20060731" "A" 28.44 558 -.78 -4.07 2.94 .4 -2.22 -.09885928 -.4988593 38 87432 "20060831" "A" 32.16 559 2.03 .9 -1.71 .42 -3.46 .13080166 -.28919834 38 87432 "20060929" "A" 32.69 560 1.84 -1.37 .05 .41 -.94 .016480062 -.3935199 38 87432 "20061031" "A" 35.6 561 3.23 1.72 -.04 .41 -.23 .08901805 -.32098195 38 87432 "20061130" "A" 31.84 562 1.71 .86 .07 .42 -1.01 -.10561793 -.52561796 38 87432 "20061229" "A" 34.85 563 .87 -1.1 3.15 .4 .84 .09453512 -.3054649 38 87432 "20070131" "A" 32 564 1.4 .11 -.11 .44 .21 -.081779 -.521779 38 87432 "20070228" "A" 31.75 565 -1.96 1.32 -.09 .38 -1.35 -.0078125 -.3878125 38 87432 "20070330" "A" 33.69 566 .68 -.05 -.22 .43 2.49 .06110232 -.3688977 38 87432 "20070430" "A" 34.37 567 3.49 -2.07 -1.15 .44 -.16 .02018404 -.419816 38 87432 "20070531" "A" 38.17 568 3.24 .02 -.04 .41 -.27 .11056152 -.2994385 38 87432 "20070629" "A" 38.44 569 -1.96 .78 -1.12 .4 .37 .00707363 -.3929264 38 87432 "20070731" "A" 38.15 570 -3.73 -2.51 -3.33 .4 2.8 -.00754415 -.4075441 38 87432 "20070831" "A" 36.4 571 .92 -.13 -2.24 .42 .11 -.04587156 -.4658716 38 87432 "20070928" "A" 36.88 572 3.22 -2.29 -1.86 .32 4.59 .0131868 -.3068132 38 87432 "20071031" "A" 36.85 573 1.8 .22 -2.6 .32 4.96 -.0008135193 -.3208135 38 87432 "20071130" "A" 37.83 574 -4.83 -2.62 -1.18 .34 .93 .026594393 -.3134056 38 87432 "20071231" "A" 36.74 575 -.87 .2 -.51 .27 6.52 -.028813114 -.2988131 38 87432 "20080131" "A" 33.86 576 -6.36 -.9 3.65 .21 -7.89 -.0783887 -.2883887 38 87432 "20080229" "A" 30.61 577 -3.09 -.24 -.94 .13 6.11 -.09598346 -.22598346 38 87432 "20080331" "A" 29.83 578 -.93 .95 -.14 .17 4.1 -.02548189 -.1954819 38 87432 "20080430" "A" 30.21 579 4.6 -1.64 -.95 .18 -.2 .012738826 -.16726117 38
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