Portfolio construction/regression coding
Posted: Mon Jun 29, 2015 7:29 am
So I have monthly data on firm`s returns and their sustainability performance. I now wanna contruct top vs. bottom portfolio on a monthly basis based on their
sustainability performance. Following I need to regress Fama&French factors on the average return of these seperate portfolios in order to see whether there outperform (alpha).
Since I dont wonna construct these portfolios manually on excel which takes ages given that i am looking at a 15 year period I was wondering whether somebody could give me some
advise whether this is possible in eview via a coding a program.
Any advise is appreciated
sustainability performance. Following I need to regress Fama&French factors on the average return of these seperate portfolios in order to see whether there outperform (alpha).
Since I dont wonna construct these portfolios manually on excel which takes ages given that i am looking at a 15 year period I was wondering whether somebody could give me some
advise whether this is possible in eview via a coding a program.
Any advise is appreciated