I have some code that replicates Kenneth French’s industry portfolios!
My problem is I need this adapting so that it can be run with a different dataset.
I have data in excel:
DATE: INDUSTRY: COMPANY NAME: RETURN: MARKET CAP
Likewise to the above data I would like value weighted returns that are rebalanced every June.
I think this isn’t such as difficult task but the problem I am having is that I am very new to SAS so any advice on how I could do this would be appreciated.
Here is the link to the SAS code that I believe does this already. By problem is that I have different data in the above format.