Calculate Value-weighted RETURN after classified into Max portfolio by small size

[Irenelee]

How may I CALCULATE THE EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) COMPOUND DAILY RETURN FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO BY SMALL, MEDIUM, BIG SIZE. Thx a lot!!!

• AVERAGE DAILY PORTFOLIO BUY-AND-HOLD RETURNS (IN %) ARE MEASURED FOR THE SUBSEQUENT WEEK AND MONTH BEGINNING THE DAY AFTER A FIRM IS ASSIGNED TO THE MAX, MIN, OR COMPARISON PORTFOLIO.

  DM'LOG; CLEAR; OUT; CLEAR; ODSRESULTS; CLEAR;';
  %LET FOLDER=%STR(C:\USERS\ALAIN\ONEDRIVE\桌面\HIGH);
  LIBNAME HIGH "&FOLDER";
  
  DATA HH;
   SET HIGH.HH;
   IF CFACPR=0 THEN DELETE;
  RUN;
  
  DATA HH;
  	SET	HH;
  	IF _N_ <=1000;
  RUN;
  
  PROC SORT 
    DATA=HH (KEEP  =SHRCD EXCHCD PERMNO DATE PRC CFACPR SHROUT CFACSHR
                        WHERE =( SHRCD IN (10,11) AND EXCHCD IN (1,2,3,31,32,33) )
                        ) 
  
  OUT=HL(DROP=SHRCD EXCHCD );
    BY PERMNO DATE;
  RUN;
  
  DATA HL; 
      SET HL; 
      BY PERMNO DATE; 
      RETAIN H L 0; 
      P=ABS(DIVIDE (PRC, CFACPR));
      IF FIRST.PERMNO THEN H = P; 
      IF FIRST.PERMNO THEN L = P;
      H = MAX(H, P); 
      L = MIN(L, P);
   DROP  PRC CFACPR;
     RUN; /* PERMNO DATE  SHROUT CFACSHR H L P */
  
  DATA MK (DROP=_:);
    SET HL;
    BY PERMNO DATE; 
  
    RETAIN _FIRST_DATE_QUALIFIED . 
           _H   .                 
           _H_DATE .              
           _L   .                 
           _L_DATE .              
            PORTFOLIO 
  ;             
  LENGTH  PORTFOLIO $11;
  
    IF FIRST.PERMNO THEN DO;
      CALL MISSING(OF _:);
      _FIRST_DATE_QUALIFIED=INTNX('YEAR',DATE,1,'SAME')+1;
    END;
  
    IF _H=. THEN _H=P;
    IF _L=. THEN _L=P;
  
    IF P ^=. THEN DO;
      IF P > _H AND DATE >= INTNX('MONTH', _H_DATE, 1, 'SAME') THEN DO;
        _H=P;
        _H_DATE=DATE;
        PORTFOLIO='MAX';
      END;
  
      ELSE IF P < _L AND DATE >= INTNX('MONTH', _L_DATE, 1, 'SAME') THEN DO;
        _L=P;
        _L_DATE=DATE;
        PORTFOLIO='MIN';
      END;
  
      ELSE PORTFOLIO='COMPARISON';
    END;
  
    IF DATE >= _FIRST_DATE_QUALIFIED THEN DO;
        H = _H;
        H_DATE = _H_DATE;
        L = _L;
        L_DATE = _L_DATE;
    END;
  
    IF DATE < _FIRST_DATE_QUALIFIED THEN DO;
      PORTFOLIO = 'UNQUALIFIED';
    END;
  
    FORMAT H_DATE L_DATE YYMMDD10. ;
  
  RUN;
  
  
  DATA MV;
   SET MK;
   BY PERMNO DATE; 
  
   RETAIN 
   MV
   LAST_MONTH_END; 
  
   LAST_MONTH_END = INTNX('MONTH', DATE, -1, 'END');
   FORMAT LAST_MONTH_END YYMMDD10. ;
  
   MV = P * (SHROUT*CFACSHR) ;
  
  RUN;
  
  data LMV;
    set MV ;
    by permno date ;
    lag_MV = lag(MV);
    if first.permno then call missing(lag_MV,previous_MV);
    else if month(date) ne month(lag(date)) then previous_MV=lag_MV;
    retain previous_MV;
    drop lag_MV;
  run;
  
  PROC SORT DATA=LMV;
      BY DATE PERMNO DESCENDING previous_MV;
  RUN;
  
  PROC RANK DATA=LMV OUT=RANKED_DATA GROUPS=4TIES=LOW;
    BY DATE;
    VAR previous_MV;
    RANKS QUARTILE;
  RUN;
  
  DATA SMB;
      SET RANKED_DATA;
  	RETAIN 
      SIZE
  	;             
      LENGTH  SIZE $5;
     
      IF QUARTILE=1THEN SIZE= 'SMALL';
      ELSE IF QUARTILE=2 THEN SIZE= 'MID';
      ELSE SIZE = 'BIG';
  RUN;
  
  DATA SMB;
    SET SMB(OBS=500);
    PUT (_ALL_) (+0);
  RUN;
  
  PROC SORT DATA = SORTED;
    BY DATE SIZE_GROUP PORTFOLIO;
  RUN;
  
  DATA EW_RETURNS VW_RETURNS;
    SET SORTED;
    BY DATE SIZE_GROUP PORTFOLIO;
    
    RETAIN EW_RET VW_RET 0;
    
    IF FIRST.FLAG THEN DO;
      EW_RET = 1;
      VW_RET = 1;
      SUM_MV = 0;
    END;
    
    EW_RET = EW_RET * (1 + RET);
    SUM_MV = SUM_MV + LAST_MONTH_MV;
    VW_RET = VW_RET * (1 + RET * LAST_MONTH_MV / SUM_MV);
    
    IF LAST.PORTFOLIO THEN DO;
      EW_RETURN = EW_RET - 1;
      VW_RETURN = VW_RET - 1;
      OUTPUT EW_RETURNS;
      OUTPUT VW_RETURNS;
    END;
  RUN;
  
  PROC REGRESS DATA = EW_RETURNS;
    MODEL EW_RETURN = MKT_RF SMB HML UMD / NOINT;
    OUTPUT OUT = EW_ALPHA 
           P = EW_ALPHA;
  RUN;
  
  PROC REGRESS DATA = VW_RETURNS;
    MODEL VW_RETURN = MKT_RF SMB HML UMD / NOINT;
    OUTPUT OUT = VW_ALPHA
           P = VW_ALPHA;
  RUN;
  

• EQUAL-WEIGHTED (EW) AND VALUE-WEIGHTED (VW) PORTFOLIO RETURNS ARE CALCULATED DAILY, AND THE PORTFOLIO IS REBALANCED AT THE END EACH DAY.
• EW RETURNS ARE COMPOUNDED TO REDUCE BID ASK BIAS.

https://drive.google.com/file/d/1grx_6p-yVMVzrzvVjdtfwyFUjRpq10W6/view?usp=drive_link