The first day of using SAS so please bear with me if I ask the question in the wrong way etc. I have a list of companies and I would like to create portfolios (equally weighted) for each month. I currently have the data in excel and this is how the sheet is set up (in case this helps): Company Name Trading Year Trading Month Category Total Market Value Return Div Return No Div China Baoan Group Co., Ltd. 1991 6 1 1080144 China Baoan Group Co., Ltd. 1991 7 1 787605 -0.270833 -0.270833 Gintian Industry (Group) Co., Ltd. 1991 7 2 222124.92 China Baoan Group Co., Ltd. 1991 8 1 810108 0.028571 0.028571 Gintian Industry (Group) Co., Ltd. 1991 8 2 211445.83 -0.048077 -0.048077 China Baoan Group Co., Ltd. 1991 9 1 798856.5 -0.013889 -0.013889 Gintian Industry (Group) Co., Ltd. 1991 9 2 200766.75 -0.050505 -0.050505 And the list continues down from 1991 until 2017 with lots of companies. I need to create portfolios based on each of the categories, i.e. value-weighted returns for all of the companies in Category 1, 2, etc. (There are 6 categories in total). Also, the portfolio is set up every year in June (trading month 6), if and only if, there is no missing return data in June. Then there is a buy and hold strategy, where I used the market weights based on June of each year and then the investment weights are based on the returns. Then every June the portfolios are rebalanced. In a similar way to Kenneth Frenches portfolios if anyone has experience with them. Thanks in advance if anyone can help. Tony
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