Hi all,
I have about 8 years daily stock returns that I would like to transform to cumulative returns over a quarters.
I would like to create a variable "rebalancing" that is equal to the portfolio rebalancing date if the variable "date" <= to the next rebalancing date. Rebalancing happens 4 times a year from 2006 to 2014 at the following dates:
- February 15
- May 16th
- August 15th
- Nov 15th
Data look like that now:
date ret
15aug2006 .026666641
16aug2006 .043290105
17aug2006 -.020746967
18aug2006 -.008474569
21aug2006 -.002136699
22aug2006 -.008565302
23aug2006 .03671708
24aug2006 .024999974
I would like to get the following:
date rebalancing ret
9-Nov-10 15-Nov-10 -0.007201
10-Nov-10 15-Nov-10 -0.006551
11-Nov-10 15-Nov-10 -0.006594
12-Nov-10 15-Nov-10 -0.009246
15-Nov-10 15-Nov-10 -0.008615
16-Nov-10 15-Feb-11 -0.005672
17-Nov-10 15-Feb-11 0.003763
18-Nov-10 15-Feb-11 0.02104
19-Nov-10 15-Feb-11 0.008171
Thanks a lot for your help in advance!
I have about 8 years daily stock returns that I would like to transform to cumulative returns over a quarters.
I would like to create a variable "rebalancing" that is equal to the portfolio rebalancing date if the variable "date" <= to the next rebalancing date. Rebalancing happens 4 times a year from 2006 to 2014 at the following dates:
- February 15
- May 16th
- August 15th
- Nov 15th
Data look like that now:
date ret
15aug2006 .026666641
16aug2006 .043290105
17aug2006 -.020746967
18aug2006 -.008474569
21aug2006 -.002136699
22aug2006 -.008565302
23aug2006 .03671708
24aug2006 .024999974
I would like to get the following:
date rebalancing ret
9-Nov-10 15-Nov-10 -0.007201
10-Nov-10 15-Nov-10 -0.006551
11-Nov-10 15-Nov-10 -0.006594
12-Nov-10 15-Nov-10 -0.009246
15-Nov-10 15-Nov-10 -0.008615
16-Nov-10 15-Feb-11 -0.005672
17-Nov-10 15-Feb-11 0.003763
18-Nov-10 15-Feb-11 0.02104
19-Nov-10 15-Feb-11 0.008171
Thanks a lot for your help in advance!