How to Create Portfolios and Calculate Portfolio Return in Stata
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- Опубліковано 5 вер 2024
- In this video, we explain how to create a portfolio in Stata. There are different types of portfolios like one-dimensional portfolios where you make portfolios based on only one variable, then there are two-dimensional portfolios, where you make portfolios based on two variables. Further, we also discuss how to estimate equal-weighted and value-weighted stock returns.
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Great video! Could you also show how to calculate the standard deviation of the value-weighted portfolios?
Thank you for this detailed explanation. For univariate and bivariate portfolio sorting, please can you also show how to combine and export multiple sorting results (E.g Raw Return, FF3 Factor model and FF5) into one table.
Thanks for watching the video. There is already a command called asdocx that can be used to export FF tables. There is already an article on their website explaining it. If that doesn't solve the issue, please feel free to contact me at info@thedatahall.com and i will look into it. We do wish to discuss this topic on our channel but it might be sometime before we can do that.
@@thedatahall Thanks for your kind response and help🙂.
Yes please!! I would love to hear about how I can calculate Fama French factors 😍😍 Would you like to show how one can calculate them so they are up to date/in real time with daily values?
Email me at info@thedatahall.com if you are interested in stata code that can create fama and French factors
@@thedatahall awesome! 😍