net install http://researchata.com/stata/203/fetchyahookeystats.pkg, force
net install http://researchata.com/stata/203/fetchyahooquotes.pkg, force


* Create the portfolios
* Low dividend yield vs. high dividend yield
* ========================================================================
fetchyahookeystats AIV ABBV AEP A AAP AMG
keep symbol trailingAnnualDividendYield
destring trailingAnnualDividendYield, replace
rename trailingAnnualDividendYield dividend_yield
drop if dividend_yield == 0 
drop if dividend_yield == .
gsort -dividend_yield
save temp.dta, replace


* Compare the two portfolios
* ========================================================================
fetchyahooquotes SPY AIV ABBV AEP A AAP AMG, freq(d) chg(ln) start(01jan2020)
save temp_div_data.dta, replace

use temp_div_data.dta, clear
gen obs=_n
tsset obs
gen ln_port_1 = (ln_AIV / 3) + (ln_ABBV / 3) + (ln_AEP / 3)
gen ln_port_2 = (ln_A / 3) + (ln_AAP / 3) + (ln_AMG / 3)
save temp.dta, replace

use temp.dta, clear
collapse (sum) ln*
save temp_part1.dta, replace

use temp.dta, clear
collapse (sd) ln*
save temp_part2.dta, replace
use temp_part1.dta, clear

append using temp_part2.dta

xpose, clear varname
rename _varname symbol
rename v1 return
rename v2 sd
replace return = return * 100
gen ret_sd = return / sd
gsort -ret_sd

twoway (scatter return sd, mlabel(symbol)), scale (0.5)