Dear Statalists,

I have done a quintile portfolio analysis and there is a declining pattern of equal-weighted alphas between quintile portfolio 1 and quintile portfolio 5. I am trying to calculate value-weighted portfolio alphas based on market cap for each month. However, I found an increasing pattern of value-weighted alphas between quintile portfolio 1 and quintile portfolio 5 by using the following codes:

Code:
bys P ym: asgen vw_exret= exret_m, w(mcap)
bys P: reg vw_exret mktrf smb hml
However, when I use the following code and find a consistent declining pattern as equal-weighted portfolio alphas.

Code:
bys P: reg exret_m mktrf smb hml [aweight = mcap]
May I ask that does anyone know why is like that? Why I can't get the same pattern in the first part of codes? Many thanks for your help in advance!

Here are my codes:

----------------------- copy starting from the next line -----------------------
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(P ym vw_exret exret_m) double(mktrf smb hml) float mcap
4 342   .05436157   .06092979                 .0421                -.0076                 .0509       6.2
4 343   .05767355       .0754                 .0475                 .0333                -.0168     6.696
4 344 -.011548947   -.0806963                -.0227                 .0613  .0070999999999999995     6.076
4 345  .006385217  .026012246   .005600000000000001                 .0096                 .0168     6.262
4 346 -.006150517   .01470198                -.0029                -.0263                 .0231     6.386
4 347   .06497628 -.016938835                 .0479                 .0216  -.010700000000000001       6.2
4 348 -.010845808       .0249                -.0125                -.0021                 .0226     6.386
4 349  -.03264222  .023226215                -.0331                 .0012                 .0217     6.572
4 350  .036047593 -.027332077                  .033  -.013300000000000001  -.006999999999999999   6.36225
4 351  .007225713   .03311569                 .0115  -.028900000000000002                 .0172   6.61175
4 352 -.026488435      -.0057                -.0229                -.0177                 .0121   6.61175
4 353   .02260741 -.027432077                 .0149                 .0189  -.014199999999999999   6.36225
5 354   .05359982  .014107844                  .061                -.0212                 .0053     6.487
5 355 .0014075635   .03236154                -.0225                 .0278   .009399999999999999    6.7365
5 356  .028052976  .011077778   .015700000000000002                 .0074                 .0049    6.7365
5 357   .04849536   .06737407                 .0433 -.0055000000000000005  -.014499999999999999    7.2355
5 358   .05732636  -.04238276                 .0335                 .0004                -.0074     6.986
5 359 -.012244605  .010042856  -.013500000000000002                -.0101                 .0218     7.007
5 360   .08421724   .02871429    .07200000000000001   -.04019999999999999                -.0287   7.25725
5 361   .01969332   .26846206                 .0144   .004699999999999999   .006999999999999999   9.25925
5 362 .0018891596 -.033527028                -.0076                  .003                -.0128  9.043625
5 363 -.029537164  .063622534  -.036699999999999997                -.0326                -.0102    9.6805
5 364  .008222812   .03257368                 .0103                -.0128                -.0109 10.062625
5 365  .012511844  .031874683                 .0116  -.023799999999999998                 .0027  10.34775
5 366  -.08471905  -.02421852                -.0785  -.013000000000000001   .008100000000000001 10.156125
5 367   .02825908 -.011989308                 .0111                 .0102                 .0063  10.09225
5 368  .033395946  .006258228                 .0183                 .0152                -.0291 10.141625
5 369 -.032637626      -.0069                -.0336                -.0051                -.0252 10.141625
5 370    .0972823  -.01945823                 .0842                -.0254                -.0375  10.01325
5 371 -.023722647  .007802564                -.0109   .013999999999999999                -.0202  10.05225
5 372  -.02719226  .018841026                 -.019                -.0321                -.0002     10.31
5 373   -.1057502      -.0566                -.1015                -.0359                 .0158    9.7945
5 374   -.0701362  .034789473  -.061200000000000004                -.0364                 .0077    10.179
5 375  -.04673808 -.019620514                -.0192                -.0553                 .0024   10.0485
5 376   .07832105      -.0057                 .0635  .0034000000000000002  -.031400000000000004   10.0485
5 377  .031162707 -.004701298                 .0246  .0078000000000000005                 -.016    10.013
3 378   .04443233  .007957895   .046900000000000004                 .0381                -.0183  10.14475
3 379  .071847744  .008187013                 .0719                 .0394                -.0053   10.2765
3 380   .03454387  -.01593846                 .0265                 .0391                -.0121    10.013
3 381 -.001912998  .034173682 -.0028000000000000004                 .0049                 .0137  10.40825
3 382    .0380427      -.0047                 .0365                -.0033  -.005600000000000001  10.40825
3 383   -.0418153  .074281015  -.049400000000000006  .0007000000000000001                 .0123   11.2665
3 384   .04475927  -.04061429                 .0424  -.009399999999999999  -.013000000000000001 10.864125
3 385  .026998766   .13120246                 .0232                 .0161 -.0078000000000000005   12.3395
3 386  .004083647  .008443479                -.0159                 .0165                -.0096   12.3395
3 387   .02995125   .12623478                 .0129                 .0091                -.0044    13.949
3 388  -.01519494   .13071539   -.04190000000000001                -.0048                -.0192  15.82675
3 389    .1125177  -.01057966                 .1084                -.0222                -.0401   15.5875
4 390 -.009907824  -.05512414                -.0059                 .0848   .045599999999999995  14.78125
4 391 .0004630688      -.2028                 .0109                 .0088                 .0637    11.825
4 392  -.02554098   .07841819  -.026600000000000002                -.0104                 .0366  12.63125
4 393   .02569698  .007438297   .010700000000000001  -.061200000000000004                  .043 12.765625
4 394  .003933695  .007726316                  .003  .0039000000000000003                 .0126      12.9
4 395 -.007550934 -.010908334  -.023399999999999997                 -.031                  .034  12.63125
4 396   .04167596   .06072979                 .0377                -.0043                -.0052   13.4375
4 397 -.009489463       .0374  -.023799999999999998                 -.001                -.0102    13.975
4 398  .006254136   .16336153   .011899999999999999   .005600000000000001                 -.002    16.125
4 399  .009983153      -.0273                 .0102                 .0204                 -.021 15.721875
4 400  .032877937  -.01939402   .041299999999999996                 .0368                -.0148 15.453125
4 401  .004111029 -.017930435   .015300000000000001                 .0165                 .0254     15.12
1 402   .02786315      -.0023   .009300000000000001                 .0203                 .0587     15.12
1 403  .010636798  .015657144                 .0012  -.034300000000000004                 .0642     15.39
1 404  .025319545  .008552631                  .023                 .0024                 .0123  15.31875
1 405  -.02397839  .067775436                -.0305                -.0069   .026099999999999998  16.39375
1 406   .04808808  -.01039672   .028900000000000002                 .0195                -.0342 16.259375
1 407  -.00146982   .09997934                 .0031                -.0029                 .0263    17.985
1 408 -.009923947 -.009975757 -.0034000000000000002   .009399999999999999                 .0323  17.84875
1 409   .04174441  -.03303435                 .0371                  .003                 -.004  17.30375
1 410 -.015738498   .06354173                -.0012                 .0311                -.0046  18.27425
1 411  .032422014  .027650746                 .0141   .014499999999999999  -.015700000000000002  18.81975
1 412 .0003361588 -.016992753                -.0189                -.0141                -.0026    18.547
1 413   .01163809   .08887647                 .0165   .012199999999999999  .0060999999999999995 20.047125
3 414   .03906288  -.05011905                 .0287                 .0011                  .021   19.0925
3 415  -.02615417      -.0021                -.0255   .027000000000000003                -.0137   19.0925
3 416  -.03970158 -.006985715                -.0478                -.0098   .013000000000000001  18.81975
3 417  .014786337  -.14762753  .0068000000000000005                -.0092                 .0165  16.09225
3 418 -.004657065   .06469661                 .0058  -.020099999999999996                 .0013  17.18325
3 419 -.025457945   .10420159  -.030299999999999997                -.0048                 .0176 18.897375
3 420  .035223477   .06966376                 .0282                -.0173                 .0058  20.26675
3 421  .033094533 -.030727027                 .0401   .013500000000000002                -.0281    19.719
3 422  -.02268692  .034633335                -.0231   .028300000000000002                -.0189  20.45175
3 423   .03231816  -.05785406                 .0134                -.0235                -.0176  19.34625
3 424 -.030952735  -.04655714                -.0404                 .0027                -.0096 18.517124
3 425  .009814958  -.03783284                 .0086                 .0004  .0055000000000000005    17.792
3 426  .019585105     -.03545   .018000000000000002                -.0265   .008199999999999999    17.236
3 427   .03732891  -.03020968                 .0363                -.0067   .010700000000000001  16.78425
3 428   .02217477 .0017768113                 .0219 -.0070999999999999995  -.010700000000000001     16.83
3 429  .030243495      -.0044   .021099999999999997                -.0062                 .0226     16.83
3 430   .03204386       .0446   .028999999999999998  -.022000000000000002                  .017   17.6715
3 431  .037113477   .05561746   .027200000000000002   .029300000000000003                -.0229   18.5955
3 432  .036696006      -.0045   .037200000000000004                 .0209                -.0169   18.5955
3 433  .007194822 -.035003033  .0055000000000000005                 .0158   .026699999999999998    18.032
3 434   .04234629      .03945                 .0335                -.0206                -.0076     18.81
3 435 -.006548882 -.035003033                -.0152                -.0374                -.0072     18.24
3 436    .0197876      .08955   .039599999999999996  -.011699999999999999   .009000000000000001     19.95
3 437  .005676421   .07795714                 .0103   .005600000000000001                 .0084 21.384375
1 438  .029102586  -.03096667                 .0226                -.0268                  .004 20.814125
1 439   .01577219   .00979863   .013300000000000001                  .019                -.0138  21.09925
1 440   .03019898   .03224865                 .0073                 .0129                 .0103  21.89942
1 441  .029468754   -.0754402                 .0206                 .0493                -.0391  20.34806
end
format %tm ym1
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