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# Creating and summarizing monthly portfolios

[ Edited ]

Hi everyone,

I have the following variables:

CompanyID | Year | Month | EarnRank | MV | Return | EarnRank Quintile (0-4)

I wish to find the following:

1. The average monthly return from each earnrank quintile ie. for quintile 1, each month, buying the companies with EarnRank quintile=0

2. A portfolio of selling quintile 0 and buying quintile 4 each month

3. Additional limitation: only include months has more than 10 companies

4. I also need both equal weighted and value weighted portfolios

I'm not sure if this explanation is clear enough, please let me know if it is not. Thank you all in advance.

Henry

Posts: 1,345

## Re: Creating and summarizing monthly portfolios

Posted in reply to chiaihuang
1. Exactly how many portfolios are you asking to be constructed?  What are their attributes?
2. Are you rebalancing every month?
3. How many equities should be in the portfolio?  Do you intend to include all companies every month?  If a company is present in month K but no present in K+1, does that mean it equities are to be sold at the end of month K?
4. What is the total portfolio starting value?
5. What does the phrase "include only months with 10 companies" mean?  No rebalancing for any month with fewer than 10 companies?  No portfolio?  Carry forward the previous month's portfolio?
6. When you refer to an "equal weighted" portfolio, do you mean that every month should include transactions to redivide current and new holdings into equal amounts?
7. When you say "value weighted", what is the value measure?

This is far from a description which allows someone to operationalize the topic.  How about some actual data?  Not just a list of variables.

New Contributor
Posts: 3

## Re: Creating and summarizing monthly portfolios

Sorry for the unclarity.

Quintile portfolios mean five portfolios based on the quintile variable which has values of 0-4. I do not need rebalancing or compounding, just simple returns. I'll put it this way, I have five groups labeled 0-4, and each group needs to be further subgrouped by year and month, and each month's equal-weighted returns and value-weighted returns are the simple average returns and market value (MV) weighted average returns, respectively, of the individual stocks that month. There is no need to consider starting value, because everything will be in terms of percentage returns. Also, they are monthly portfolios, so literally it means holding for the month only. Number of stocks in each portfolio depends on the data, they are not the same for each portfolio, but I'd like to include only portfolios have more than 10 stocks. The following is what the actual dataset looks like.

 Company Year Quarter EPS EarnRank Date date_pred year_stated month MV Return retpercent rank_er X13194E 2009 4 -1.36 9.4 18484 18849 2009 8 5706.43 -0.04531 -4.53138 2 X13194E 2010 1 -4.54 8.6 18564 18929 2010 10 5819.21 0.007602 0.760184 2 X13194E 2010 2 4.86 11.6 18655 19020 2010 1 6811.63 2 X13194E 2010 3 11 15.8 18380 18745 2010 4 5864.32 -0.05186 -5.18571 2 X13194E 2010 4 4.34 7.2 18849 19214 2010 8 7014.63 0.016144 1.614413 2 X13194E 2011 1 -5.64 7.6 18928 19293 2011 10 7014.63 0.003276 0.327562 2 X13194E 2011 2 0.27 11.4 19022 19387 2011 1 7691.28 0.042808 4.280803 2 X13194E 2011 3 10.14 16 18745 19110 2011 4 7713.83 -0.01756 -1.75573 2 X13194E 2011 4 7.94 8.8 19214 19579 2011 8 8819.04 -0.03526 -3.52556 2 X13194E 2012 1 0.71 6.4 19296 19661 2012 10 9292.69 0.061905 6.190519 2 X13194E 2012 2 7.9 10 19388 19753 2012 1 9450.57 0.036804 3.6804 2 X13194E 2012 3 13.36 16.4 19110 19475 2012 4 9112.25 0.097753 9.775325 2 X13194E 2012 4 3.21 10.2 19578 19943 2012 8 9105.9 -0.0115 -1.14952 2 X13194E 2013 1 6.385 5.6 19659 20024 2013 10 9681.44 0.010461 1.04607 2 X13194E 2013 2 13.509 9.8 19753 20118 2013 1 9701.99 -0.03024 -3.02444 2 X13194E 2013 3 16.725 15.6 19474 19839 2013 4 9044.58 -0.01728 -1.72788 2 X13194E 2013 4 7.213 10 19942 20307 2013 8 10154.21 -0.02736 -2.73604 2 X13194E 2014 1 6.53 5.6 20023 20388 2014 10 10544.75 0.050631 5.063119 2 X13194E 2014 2 9.966 10.4 20117 20482 2014 1 9311.45 -0.1122 -11.2196 2 X13194E 2014 3 17.65 15.4 19841 20206 2014 4 10298.09 0.055309 5.530861 2 X13194E 2014 4 9.989 8 20310 20675 2014 8 9229.23 -0.0302 -3.02009 2 X13194E 2015 1 8.536 4.8 20390 20755 2015 10 9969.21 0.049979 4.997879 2

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