/***************************************************************************/
/*                                                                         */
/*   Title: GRAPHMSD.GPG                                                   */
/*                                                                         */
/* Written: John H. Cochrane                                               */
/*      by: University of Chicago Graduate School of Business              */
/*          1101 E. 58th Street, Rosenwald 2xx                             */
/*          Chicago, Ill 60637                                             */
/*          ph#: (312) 702-3059                                            */
/*          e-mail: fac_jhc@gsbacd.uchicago.edu                            */
/*                                                                         */
/*Modified: Caleb C. Wong                                                  */
/*      by: University of Chicago Department of Economics                  */
/*          1126 East 59th St.                                             */
/*          Chicago, Ill 60637                                             */
/*          ph#: (312) 702-8254                                            */
/*          e-mail: wongcc@sam.spc.uchicago.edu                            */
/*                                                                         */
/* Purpose: graphs mean vs. standard deviation:                            */
/*          (1) individual stock returns                                   */
/*          (2) vw, ex, and 10 decile portfolios                           */
/*                                                                         */
/*    Data: Quarterly averaged returns created by redodat.gpg and GAUSS    */
/*          formatted (indicated by .fmt extension)                        */
/*                                                                         */
/*                                                                         */
/*                                                                         */
/***************************************************************************/

/*----------------------------------*/
/* Part I. (1) GAUSS library calls  */
/*         (2) reset globals        */
/*         (3) identify datapaths   */
/*         (4) load data            */
/*----------------------------------*/

library pgraph,gmm;
dpath(1);                                           /* 0: John's datapath */
                                                    /* 1: Caleb's datapath */
load avdecret,avvwret,avewret,avustret,aindstrt,avdecret;
load avew10,avew20,avvw10y,avvw20y,avvw10m,avvw20m;
/*
graphset;

/*-----------------------------------------*/
/* Part II. Setting common graph settings  */
/*-----------------------------------------*/

xlabel("Std. Dev. excess return (% per qtr.)")
ylabel("Mean excess return (% per qtr.)");
_Plctrl = -1;
_pstype = 9|3|2|13;
_Psymsiz = 4;
_protate = 1;
_plegstr = "CRSP-Deciles\000VW, EW\000Individ\000Vintiles";
_plegctl = { 2 4 4.75 3.5 };
margin(0,0,0,2);

/*-------------------------------------------------------*/
/* Part III. Compute excess returns and std. deviations  */
/*-------------------------------------------------------*/

r = (avdecret~avvwret~avewret~aindstrt~avvw20y)-avustret;
py = 100*meanc(r);
px = 100*stdc(r);
/*xtics(0,18,1,0);
ytics(0,4.5,.5,1);*/

/*-------------------------------------------------------*/
/* Part IV. Match decile data w/ individual data         */
/*          NOTE: THERE'S MORE INDIVIDUAL STOCK DATA     */
/*                THAN DECILE DATA                       */
/*-------------------------------------------------------*/

title("All Returns\L Portfolios + Individual Returns");
pxx = px[1:10]|zeros(44,1);
pyy = py[1:10]|zeros(44,1);
pxxx = zeros(10,1)|px[11:12]|zeros(42,1);
pyyy = zeros(10,1)|py[11:12]|zeros(42,1);
pxxxx = zeros(12,1)|px[13:34]|zeros(20,1);
pyyyy = zeros(12,1)|py[13:34]|zeros(20,1);
pxxxxx = zeros(34,1)|px[35:54];
pyyyyy = zeros(34,1)|py[35:54];

xy(pxx~pxxx~pxxxx~pxxxxx,pyy~pyyy~pyyyy~pyyyyy);

dos copy graphic.tkf graphmsd.tkf;

/* ----------------------------------------------------- */
/* Part V. Compare among K.French made decile portfolios */
/* ----------------------------------------------------- */

/* Comparing the decile portfolios */
r = (avdecret~avew10~avvw10y~avvw10m)-avustret;
py = 100*meanc(r);
px = 100*stdc(r);
pyy = py[1:10]|zeros(30,1);
pxx = px[1:10]|zeros(30,1);
pyyy = zeros(10,1)|py[11:20]|zeros(20,1);
pxxx = zeros(10,1)|px[11:20]|zeros(20,1);
pyyyy = zeros(20,1)|py[21:30]|zeros(10,1);
pxxxx = zeros(20,1)|px[21:30]|zeros(10,1);
pyyyyy = zeros(30,1)|py[31:40];
pxxxxx = zeros(30,1)|px[31:40];

_plegstr = "Deciles-CRSP\000EW-DEC\000VW-BRkPT\000VW-MRET";
_pstype = 2|9|4|12;
/*xtics(0,12,1,0);
ytics(0,4.5,.5,1);*/
xy(pxx~pxxx~pxxxx~pxxxxx,pyy~pyyy~pyyyy~pyyyyy);

output file = graph.out reset;

"        CRSPmeans          EWmeans      VW-10ymeans      VW-10mmeans";
py[1:10]~py[11:20]~py[21:30]~py[31:40];
"        CRSPstddv          EWstddv      VW-10ystddv      VW-10mstddv";
px[1:10]~px[11:20]~px[21:30]~px[31:40];

/* Compare Vintiles */
r = (avdecret~avew20~avvw20y~avvw20m)-avustret;
py = 100*meanc(r);
px = 100*stdc(r);
pyy = py[1:10]|zeros(60,1);
pxx = px[1:10]|zeros(60,1);
pyyy = zeros(10,1)|py[11:30]|zeros(40,1);
pxxx = zeros(10,1)|px[11:30]|zeros(40,1);
pyyyy = zeros(30,1)|py[31:50]|zeros(20,1);
pxxxx = zeros(30,1)|px[31:50]|zeros(20,1);
pyyyyy = zeros(50,1)|py[51:70];
pxxxxx = zeros(50,1)|px[51:70];

_plegstr = "Deciles-CRSP\000EW-DEC\000VW-BRkPT\000VW-MRET";
_pstype = 2|9|4|12;
/*xtics(0,12,1,0);
ytics(0,4.5,.5,1);*/
xy(pxx~pxxx~pxxxx~pxxxxx,pyy~pyyy~pyyyy~pyyyyy);

"        CRSPmeans          EWmeans      VW-10ymeans      VW-10mmeans";
(py[1:10]|zeros(10,1))~py[11:30]~py[31:50]~py[51:70];
"        CRSPstddv          EWstddv      VW-10ystddv      VW-10mstddv";
(px[1:10]|zeros(10,1))~px[11:30]~px[31:50]~px[51:70];

output off;
*/
/* compare returns */
/* select returns to evaluate */
graphset;
title("Compare Avg. Rets. Among Size Ports.");
xlabel("Period");
ylabel("Return");
_pltype = 6|6;
_pcolor = 1|4;
col = 1;
row = 50;
do while col<10;
    xy(seqa(1,1,rows(row)),avdecret[1:row,col]~avvw10y[1:row,col]);
    col = col + 1;
endo;