I need to create portfolios by sorting past 1 month returns (past_ret_1) and standard deviation (volatility_1) and portfolios should be generated every month. And, I need to calculate the mean future returns(ri1) of portfolios.
In other words, sort stocks by sorting past 1 month returns (past_ret_1) and standard deviation (volatility_1). And group top 20% and SD top 50% stocks, portfolios should be created and replaced every month and calculate the portfolios' 1 month mean future return (ri1).
I have sorted stocks by past returns and price standard deviation. And, I tried to create portfolios using xtile. I want to create portfolios with double sorting; the first is top 20% past 1month returns stocks and top 50% standard deviation; the second is that bottom past 1month 20% return stocks and bottom 50% standard deviation ( portfolios should be generated every month)
I know if I have one sorting standard I could have used
bys mdate : egen portfolios = xtile(past_ret_1), nq(5)
But I cannot create portfolio with two sorting standards.
I have to create portfolios which
1. have top 20% 1month past returns and top 50% past 1 month volatility(standard deviation)
2. have bottom 20% past 1month returns and bottom 50% past 1 month volatility(standard deviation)
Could anyone help me?
I describe the variables which I need to code this.
permno is stock code,
date is date, prc is price of stock,
ast_ret_1 is past 1 month return,
volatility_1 is past 1 month volatility (standard deviation)
r1r is 5 quantiles of past_ret_1,
vol_grade1 is 2 quantiles of volatility_1
ri1 is 1 month future return of
I tried
// devide stocks by 20% quintiles with respect to past 1, 3, 6, month returns
. xtile r1r = past_ret_1, n(5)
. xtile r3r = past_ret_3, n(5)
. xtile r6r = past_ret_6, n(5)
// devide stocks by 50% quintiles with respect to past 1, 3, 6, month volatility
. xtile vol_grade1 = volatility_1, n(2)
. xtile vol_grade3 = volatility_3, n(2)
. xtile vol_grade6 = volatility_6, n(2)
//To generate portfolios which have top 20% returns and top 50% standard deviation - consctruct portfolios every month
bys mdate : gen winner1 = ri1 if r1r==5 & vol_grade1==2
(ri1 is the following month return)
//To get mean of winner1's following month return
bys mdate : egen meanwinner1 = mean(winner1)
But I cannot get the following month returns of portfoilios which include top 20% past return and top 50% standard deviation stocks.
Can anyone help?
My dataex is below
----------------------- copy starting from the next line -----------------------
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double permno long date double(shrcd exchcd siccd prc ret) int mdate double volatility_1 float past_ret_1 double volatility_3 float past_ret_3 double volatility_6 float(past_ret_6 ri1 ri3 ri6) byte(r1r r3r r6r vol_grade1 vol_grade3 vol_grade6) 10001 18266 11 2 4925 10.25 -.004854387138038874 600 . . . . . . -.025365876 0 .05951216 . . . . . . 10001 18294 11 2 4925 9.989999771118164 -.006958314683288336 601 .18640435354468468 -.025365876 .18640435354468468 -.025365876 .18640435354468468 -.025365876 .0010010239 .1811812 .20620625 2 2 3 1 1 1 10001 18322 11 2 4925 10 -.0008392913150601089 602 .07973949391474112 .0010010239 .15942680476776733 -.024390243 .15942680476776733 -.024390243 .025 .137 .04350004 3 2 3 1 1 1 10001 18353 11 2 4925 10.25 .007866266183555126 603 .07564392234132054 .025 .13787852330894748 0 .13787852330894748 0 .15121953 .05951216 .07317073 4 3 3 1 1 1 10001 18385 11 2 4925 11.800000190734863 .03599647432565689 604 .40177915615148524 .15121953 .44905645667481014 .1811812 .40594366205503735 .15121953 -.036440704 .02118644 -.03898305 5 5 4 1 1 1 10001 18414 11 2 4925 11.369999885559082 -.0026315555442124605 605 .39753444140417754 -.036440704 .5543317709609373 .137 .5137325483141435 .10926828 -.0448549 -.0822339 -.10729994 2 5 4 1 1 1 10001 18444 11 2 4925 10.859999656677246 0 606 .3195789827141747 -.0448549 .5530637553214912 .05951216 .7111912906637656 .05951216 .10957648 .012891376 -.03775321 2 4 4 1 1 1 10001 18476 11 2 4925 12.050000190734863 .028156990185379982 607 .38256143087180816 .10957648 .4674535510182806 .02118644 .7228745528019987 .20620625 -.13402487 -.05892117 -.10622405 5 3 5 1 1 1 10001 18506 11 2 4925 10.4350004196167 .00617106631398201 608 .6820635243785057 -.13402487 .5199689092052626 -.0822339 .6988548611401296 .04350004 .05414466 -.027312007 .05414466 1 2 3 2 1 1 10001 18536 11 2 4925 11 -.010791356675326824 609 .23167174266670273 .05414466 .5051961032408528 .012891376 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