Momentum regression, portfolio forming

[JonetZki]

Hi,

I need to do a momentun regression in Eviews. I got data consisting of 100 stocks and i have their daily returns over the past 20 years.

I want to form 5 portfolios so that each portfolio contains 20% of the stocks based on the past 12 months performance and hold it for the next 12 months after which the portfolios are reformed based on the past 12 months again (portfolio 1 containing the best 20%, portfolio 5 containing the worst 20% and so on).

The regression should be something like Y = c + portf1 + portf2 +portf3 + portf4 + portf5, where Y is the total return from the 100 stocks.

My question is that do i need to calculate manually these portfolios in Excel (which takes a long time) before importing them into Eviews or is there a way in Eviews to form each portfolio so that it calculates the portfolios all over again after the 12 months holding period?

Thanks for any advices!

Eviews version7

[EViews Gareth]

There isn't anything built into EViews that will make them for you, but it should be relatively straight forward to write an EViews program to do it. Whether it is easier for you to do it in Excel or EViews depends upon your level of Excel and EViews expertise.

[JonetZki]

Thanks for the reply. I will be using excel then since my skill level is much higher in excel than eviews.