Re: st: Portfolio returns per month, drop return duplicates

[Sergiy Radyakin <serjradyakin@gmail.com>]

On Mon, Nov 25, 2013 at 7:27 AM, M@rk <krap_m@hotmail.com> wrote:
> Dear Users,
>
> For my research I need to have portfolio returns for each month from 1926
> till 2012. I already calculated the weighted returns for each portfolio and
> summed them up (by date) by creating a  new variable (PRB1). The only
> problem is that this sum is not given once for each month, but is given for
> each stock observation in a month. So if the total of the weighted returns
> is, let's say, 0.026 in March 2006 its mentioned for each stock observation
> in March 2006. I tried to downsize this by using the duplicates drop [in]
> command, but I get the error message 'invalid obs no'. Does anyone know how
> I can get the portfolio returns once per month, as for my research I only

Besides what Nick has already suggested:

#1
sort year month
by year month: keep if _n==1

#2
sort year month
collapse PRB1, by(year month)

note that you need year unless your month is cmc.


In the command that you quoted "duplicates drop PRB1" you are relying
on a random fact that your portfolio returns would vary uniquely by
time, which is commonly true, but not necessary (e.g. in the period of
stability you could have returns for e.g. 3 months being same).You
should seek duplicates in terms of time, not values!

Best, Sergiy

> need portfolio returns per month from 1926 till 2012 in order to do the
> regressions. I am using Stata 12 SE (Windows 7 64-bit).
>
> I look forward to the reactions.
>
>
> Kind Regards,
>
> Mark Krap
>
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