I would like to ask for help regarding a question I've been pondering. I am replicating portfolio's from the "Quality minus Junk" paper (by Asness & Frazzini: http://www.econ.yale.edu/~shiller/be...i-pedersen.pdf).
In this paper they basically create 10 quality sorted portfolios containing stocks that each receive a quality score based on certain criteria that they must meet. I have already managed to give each stock (in each month) a certain quality score. This Quality score is made up of the 3 subcomponents of a stock (Profitability, Growth, Safety).
I have a monthly dataset of U.S. only stocks from jan 1962- dec 2019, so basically 696 months in total.
This dataset contains around 16000 stocks that have existed through this time period in the NYSE, Nasdaq, AMEX stock exchanges (each stock exchange has its own code in the data)
I have around 2.5 million observations.
I basically need to assign all these stocks to 10 different Quality-sorted portfolios in each calendar month. Furthermore, these portfolios must be value-weighted, refreshed every month and rebalanced every month to maintain the value weights. The "value" depends on the variable ME (Market Equity), basically the sum of all the MEs of all stocks in a given month is the market value of the whole stock market in that month.
an example of my data:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long datadate str8 tic str10 cusip float ME double exchg float(return zProfit zGrowth zSafety Quality) 7182 "SGI.2" "826588105" 15.79375 12 -.022305757 -.904848 -1.5013336 .3825867 -2.0235949 7212 "SGI.2" "826588105" 15.08125 12 -.04616204 -.8944374 -1.499703 .35482535 -2.0393155 7243 "SGI.2" "826588105" 10.09375 12 -.4015358 -.393708 -.7475409 .8147201 -.32652885 7273 "SGI.2" "826588105" 11.4 12 .12169693 -.5363941 -.8091926 .751304 -.59428275 7304 "SGI.2" "826588105" 13.7895 12 .189242 -.6279179 -.6645935 .6595777 -.6329337 7335 "SGI.2" "826588105" 14.7405 12 .066691376 -.4582379 -1.0410988 .8195408 -.6797959 7364 "SGI.2" "826588105" 12.363 12 -.17589067 -.38978845 -1.0613819 .3123595 -1.1388109 7395 "SGI.2" "826588105" 12.12525 12 -.019418085 -.3837294 -1.0644997 .7490196 -.6992095 7882 "SGMA.1" "826613101" 33.8325 14 . .13978979 -.3400794 1.1989115 .9986219 7913 "SGMA.1" "826613101" 27.066 14 -.22314355 .57329845 -.3380209 1.1201755 1.355453 7943 "SGMA.1" "826613101" 24.984 14 -.0800427 .5825597 -.32047 1.0610052 1.323095 7974 "SGMA.1" "826613101" 28.107 14 .11778303 1.1294665 -.2901447 .24416465 1.0834866 8004 "SGMA.1" "826613101" 26.025 14 -.07696104 1.0852712 1.6685475 .7322693 3.486088 8035 "SGMA.1" "826613101" 23.943 14 -.0833816 1.1214297 1.4806896 .7625755 3.364695 8066 "SGMA.1" "826613101" 24.4635 14 .021506205 1.4396784 1.527881 .3559664 3.323526 8094 "SGMA.1" "826613101" 22.3815 14 -.08894748 1.4144346 1.4220906 .7389647 3.57549 8125 "SGMA.1" "826613101" 20.2995 14 -.09763847 1.419679 -.50234103 .9626892 1.880027 8155 "SGMA.1" "826613101" 22.3385 14 .09763847 1.43505 -1.5833572 .10317506 -.04513226 8186 "SGMA.1" "826613101" 22.3385 14 0 1.5204192 -1.3395644 .752166 .9330208 8216 "SGMA.1" "826613101" 19.741 14 -.12361395 1.5233015 -1.2396612 .4900049 .7736452 8247 "SGMA.1" "826613101" 21.30975 14 .0759859 1.428565 1.366932 .10509898 2.900596 8278 "SGMA.1" "826613101" 27.54675 14 .25671986 1.1896391 1.241601 .445317 2.876557 8308 "SGMA.1" "826613101" 27.54675 14 0 1.1900645 1.2403766 .29000685 2.720448 8339 "SGMA.1" "826613101" 30.68 14 .10724553 .8129184 -.6114678 -.28597745 -.0845268 8369 "SGMA.1" "826613101" 31.2 14 .016807118 .9251416 -.5184898 .04121526 .447867 8400 "SGMA.1" "826613101" 29.12 14 -.06899287 .8996775 -.5703049 -.0651526 .26422 8431 "SGMA.1" "826613101" 31.245 14 .06899287 .4831056 -1.302887 -.7521274 -1.571909 8459 "SGMA.1" "826613101" 30.2035 14 -.03390155 .48356766 -1.3040712 -.25290722 -1.0734107 8490 "SGMA.1" "826613101" 35.93175 14 .1736635 .48085925 -1.3136277 -.54764754 -1.380416 8520 "SGMA.1" "826613101" 39.71 14 .09662683 1.4153862 -1.0415485 -1.0023841 -.6285464 8551 "SGMA.1" "826613101" 36.575 14 -.0822381 .7521121 -1.4705144 -.6423733 -1.3607756 8581 "SGMA.1" "826613101" 38.1425 14 .0419642 .7477313 -1.482956 -.29466724 -1.0298922 8612 "SGMA.1" "826613101" 31.395 14 -.1961149 1.0972514 -.41711265 -1.198525 -.5183862 8643 "SGMA.1" "826613101" 32.4415 14 .032789823 .9817664 -.4009158 -.6667878 -.0859372 8673 "SGMA.1" "826613101" 36.10425 14 .10697212 .9682081 -.4123471 -.6204031 -.064542115 8704 "SGMA.1" "826613101" 36.942 14 .021506205 -.3320117 .7052925 -1.4250026 -1.0517218 8734 "SGMA.1" "826613101" 38.252 14 .03484673 1.002622 .7934234 -1.0360687 .7599767 8765 "SGMA.1" "826613101" 38.776 14 .013605652 1.0152515 .7856306 -.9618622 .8390199 8796 "SGMA.1" "826613101" 38.961 14 0 -.6691055 .8953542 -1.381117 -1.1548682 8825 "SGMA.1" "826613101" 35.802 14 -.0845574 .7957094 1.0030637 -1.0317022 .7670709 8856 "SGMA.1" "826613101" 34.749 14 -.029852964 .7969189 .9996265 -.9455084 .851037 8886 "SGMA.1" "826613101" 33.696 14 -.03077166 .6309318 .7468241 -1.4162977 -.03854179 8917 "SGMA.1" "826613101" 30.0105 14 -.11583181 .6660623 .7563269 -.9988963 .42349285 8947 "SGMA.1" "826613101" 31.0635 14 .034486175 .6768184 .7550929 -.9895332 .442378 8978 "SGMA.1" "826613101" 32.66625 14 -.6435502 .4748054 -.7253925 -1.3462925 -1.5968795 9009 "SGMA.1" "826613101" 31.6125 14 -.032789823 .5912699 -.7067988 -.273121 -.3886499 9039 "SGMA.1" "826613101" 31.6125 14 0 .6011924 -.706153 -.2065828 -.3115435 9070 "SGMA.1" "826613101" 29.344 14 -.06899287 .6761398 -.8200309 -.780265 -.9241561 9100 "SGMA.1" "826613101" 29.344 14 0 .710171 -1.0089912 -.2301549 -.5289752 9131 "SGMA.1" "826613101" 28.296 14 -.036367644 .7604399 -.9945419 -.2510132 -.4851152 9162 "SGMA.1" "826613101" 32.52675 14 .13815033 -.2144503 -1.384211 -.8705583 -2.4692194 9190 "SGMA.1" "826613101" 28.32975 14 -.13815033 .069460206 -1.444348 -.3765238 -1.7514117 9221 "SGMA.1" "826613101" 28.32975 14 0 .069752716 -1.4390764 -.41325095 -1.7825747 9251 "SGMA.1" "826613101" 30.45 14 .071458966 .16047476 -1.0005629 -.9826099 -1.822698 9282 "SGMA.1" "826613101" 29.4 14 -.03509132 .6375924 -.813287 -.08602772 -.2617223 9312 "SGMA.1" "826613101" 25.2 14 -.1541507 .6343504 -.8122494 -.3314739 -.50937295 9343 "SGMA.1" "826613101" 28.647 14 .11778303 .4637481 -.55787504 -1.0230598 -1.1171868 9374 "SGMA.1" "826613101" 27.0555 14 -.05715841 .6922631 -.4956926 -.56152624 -.3649557 9404 "SGMA.1" "826613101" 28.647 14 .05715841 .6948391 -.51114607 .05031871 .23401177 9435 "SGMA.1" "826613101" 35.013 14 .2006707 .4075425 .16796695 -.7709894 -.19547993 9465 "SGMA.1" "826613101" 36.074 14 .029852964 .8482217 .29036307 -.17123054 .9673542 9496 "SGMA.1" "826613101" 42.44 14 .16251893 .8611218 .308336 -.09041255 1.0790453 9527 "SGMA.1" "826613101" 36.0995 14 -.16251893 .3641002 1.0480732 -.6903567 .7218167 9555 "SGMA.1" "826613101" 38.223 14 .05715841 .5631984 1.0832932 .02595587 1.6724474 9586 "SGMA.1" "826613101" 31.8525 14 -.18232156 .5644471 1.0811478 .09456871 1.7401636 9616 "SGMA.1" "826613101" 31.8525 14 0 -.4716276 .7161497 -.5612514 -.3167293 9647 "SGMA.1" "826613101" 35.03775 14 .09531018 .9122427 1.0112963 .16733856 2.0908775 9677 "SGMA.1" "826613101" 30.259874 14 -.14660348 .9068546 1.0307956 .10385885 2.0415092 9708 "SGMA.1" "826613101" 22.29675 14 -.3053817 .6316846 .6509266 -.9019834 .3806277 9739 "SGMA.1" "826613101" 27.6055 14 .2135741 .6168441 .6385389 -.4733275 .7820555 9769 "SGMA.1" "826613101" 23.889376 14 -.14458123 .6226215 .6468626 -1.2124445 .0570395 9800 "SGMA.1" "826613101" 23.3585 14 -.022472857 .7096598 .6962613 -1.5296923 -.1237712 9830 "SGMA.1" "826613101" 21.235 14 -.09531018 .9126512 .7014312 -1.1456245 .4684579 9861 "SGMA.1" "826613101" 22.29675 14 .04879016 .9429122 .7208858 -1.0162798 .6475182 9892 "SGMA.1" "826613101" 23.889376 14 .06899287 -.3611825 -.6346171 -1.590864 -2.586664 9920 "SGMA.1" "826613101" 22.29675 14 -.06899287 .3085502 -.5258574 -1.2652103 -1.4825175 9951 "SGMA.1" "826613101" 21.235 14 -.04879016 .3088641 -.5286109 -1.3219784 -1.541725 9981 "SGMA.1" "826613101" 21.235 14 0 1.1570412 -.8669893 -1.6363224 -1.3462706 10012 "SGMA.1" "826613101" 21.235 14 0 .9750245 -.9313188 -1.3190898 -1.275384 10042 "SGMA.1" "826613101" 21.235 14 0 .9766609 -.9305343 -1.3382547 -1.292128 10073 "SGMA.1" "826613101" 21.235 14 0 .4624018 -.4641969 -1.408453 -1.410248 10104 "SGMA.1" "826613101" 20.704124 14 -.02531781 1.0842124 .53759754 -.7715728 .8502372 10134 "SGMA.1" "826613101" 22.29675 14 .074107975 1.0893105 .5432917 -.6325774 1.0000248 10165 "SGMA.1" "826613101" 13.80275 14 -.4795731 1.0833185 -.3346466 -1.4110214 -.6623495 10195 "SGMA.1" "826613101" 15.92625 14 .14310084 1.193245 .4185636 -.8900397 .7217689 10226 "SGMA.1" "826613101" 13.537313 14 -.16251893 1.2294794 .4344717 -.9511412 .7128099 10257 "SGMA.1" "826613101" 20.704124 14 .4248832 1.5129596 1.5841116 -1.4902065 1.6068647 10286 "SGMA.1" "826613101" 40.3465 14 .6671717 1.4747086 1.5486495 -.5930199 2.430338 10317 "SGMA.1" "826613101" 42.47 14 .0512933 1.4720894 1.5505384 -.57145756 2.45117 942 "SGN.1" "826622102" . 11 . -.03440913 . -.18337996 -.2177891 973 "SGN.1" "826622102" . 11 -.020409487 -.022594307 . -.16534238 -.1879367 1003 "SGN.1" "826622102" . 11 -.09737428 -.08488791 . -.1639042 -.2487921 1034 "SGN.1" "826622102" . 11 -.05273007 -.12402533 . -.12759694 -.25162226 1064 "SGN.1" "826622102" . 11 .28923896 -.11930303 . -.15504125 -.27434427 1095 "SGN.1" "826622102" 269.90213 11 -.05040591 -.015629595 . -.4026078 -.4182374 1126 "SGN.1" "826622102" 272.4482 11 .009389117 .8411043 -.3530496 -.8623545 -.3742998 1154 "SGN.1" "826622102" 259.71716 11 -.04785531 .7406401 -.3353857 -.43862915 -.033374727 1185 "SGN.1" "826622102" 261.04092 11 .005083915 .7578776 -.27877602 -.4187074 .06039423 1215 "SGN.1" "826622102" 263.48538 11 .009320753 .601351 -.2368395 -.9145672 -.5500558 1246 "SGN.1" "826622102" 294.0405 11 .10971962 .5988517 -.2211059 -.3845393 -.006793529 end format %td datadate
Any help would be much appreciated!
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