create table mntRet as 

 select stk, year(date) as year, month(date) as month, exp(sum(log(1+drtn)))-1 as ret_monthly

  from daily

  group by stk, calculated year, calculated month;

quit;

参考： http://bbs.pinggu.org/thread-847261-1-1.html

以下是年平均 。。相求日平均 月平均收益率如何编程。求高手
data a1; 
set r_year; 
where 1995 <= year(date) <= 2005;
proc print; 
run; 
 
proc transpose data=a1 out=a2; 
var r_pct; 
proc print; 
run; 

data a5 ; 
set bb;
if last_y=1 and 1997<= year(date) <= 2005;
run; 
data a6;
retain begin end; 
set a5 end=lastobs;
if _n_=1 then begin=clpr;  
if lastobs then do; 
end=clpr;  
output; 
end; 
data a6(keep=gm);
set a6;
t=2005-1997+1;
gm=(end/begin)**(1/t)-1; 
proc print; 
run;

日收益计算

data r_day (keep=date r_pct r_log label="日收益");

set stoindif.a1a0001;

r_pct=dif(clpr_r)/lag(clpr_r);

r_log=log(clpr_r)-log(lag(clpr_r));

run;

周收益计算

程序一：

data a;

set stoindif.a1a0001;

wd=weekday(date);

dif=dif(wd);

dif2=dif(date);

if (dif<0 and dif^=.)or dif2>=7 then

index=1;else index=0;

 

data a(keep=date clpr_r index);

set a;

date=lag(date);

clpr_r=lag(clpr_r);

if index=1;

 

data r_week(keep=date r_pct r_log);

set a;

r_pct=dif(clpr_r)/lag(clpr_r);

r_log=log(clpr_r)-log(lag(clpr_r));

if r_log=. then delete;

run;

 

程序二：

data b;

set stoindif.a1a0001;

wk=int((date-3)/7+2);

 

proc sort;

by date;

run;

 

data b;

set b;

last_wk=last.wk;

by wk;

run;

 

data b(keep=date r_pct1 r_log1);

set b;

if last_wk=1;

r_pct1=dif(clpr)/lag(clpr);

r_log1=log(clpr)-log(lag(clpr));

run;

 

data c;

merge r_week b;

by date;

if r_pct=r_pct1 then aa=1;

else aa=0;

run;