Hi ALL, Again, thank you so much for getting the help so far. Currently, I am working on rebalance the portfolio, and make it ten groups. based on the monthly return of the stocks. Before I know how to rebalance it each month, but at this moment, I need to rebalance it using the market cap of each June as the weights for the coming one year. I do not know how to deal with it. there are two difficulties here, First is how to deal with the missing value, for example, in June 1986 we have 10 stocks and according to the market cap you rank them from 1 to 10. but for July 1986, you may have some refill of the stocks, either the original 10 stocks could delist some or there are some new adding stock in July. Second is how to use this weight for each June to group the data for next coming 12 month. I upload a very simple dataset which the first problem is excluded, but I still would be more than happy if you can include the code that solve this first difficulty as well. here is the dataset, please let me know if you have any suggestions, thanks a lot. MTHCALDT PERMNO MTHCAP MTHRET year month 1/31/86 10000 16100 0.707317 1986 1 1/31/86 10001 6033.125 0.065217 1986 1 1/31/86 10002 13659.38 -0.01064 1986 1 1/31/86 10003 41800 0.189189 1986 1 2/28/86 10000 11960 -0.25714 1986 2 2/28/86 10001 6156.25 0.020408 1986 2 2/28/86 10002 15568.75 0.139785 1986 2 2/28/86 10003 42275 0.011364 1986 2 3/31/86 10000 16330 0.365385 1986 3 3/31/86 10001 6217.813 0.025352 1986 3 3/31/86 10002 16670.31 0.070755 1986 3 3/31/86 10003 41800 -0.01124 1986 3 4/30/86 10000 15172 -0.09859 1986 4 4/30/86 10001 6279.375 0.009901 1986 4 4/30/86 10002 17551.56 0.052863 1986 4 4/30/86 10003 39187.5 -0.0625 1986 4 5/30/86 10000 11793.86 -0.22266 1986 5 5/30/86 10001 6217.813 -0.0098 1986 5 5/30/86 10002 17184.38 -0.02092 1986 5 5/30/86 10003 44792.5 -0.00606 1986 5 6/30/86 10000 11734.59 -0.00503 1986 6 6/30/86 10001 6033.125 -0.01324 1986 6 6/30/86 10002 14907.81 -0.13248 1986 6 6/30/86 10003 47523.75 0.060976 1986 6 7/31/86 10000 10786.34 -0.08081 1986 7 7/31/86 10001 5971.563 -0.0102 1986 7 7/31/86 10002 15642.19 0.049261 1986 7 7/31/86 10003 42061.25 -0.11494 1986 7 8/29/86 10000 4148.594 -0.61538 1986 8 8/29/86 10001 6402.5 0.072165 1986 8 8/29/86 10002 15642.19 0 1986 8 8/29/86 10003 42607.5 0.012987 1986 8 9/30/86 10000 3911.531 -0.05714 1986 9 9/30/86 10001 6317.625 -0.00397 1986 9 9/30/86 10002 16743.75 0.070423 1986 9 9/30/86 10003 40149.38 -0.05769 1986 9 10/31/86 10000 3002.344 -0.24242 1986 10 10/31/86 10001 6565.375 0.039216 1986 10 10/31/86 10002 15715.63 -0.0614 1986 10 10/31/86 10003 45338.75 0.129252 1986 10 11/28/86 10000 3182.484 0.06 1986 11 11/28/86 10001 6937 0.056604 1986 11 11/28/86 10002 15715.63 0 1986 11 11/28/86 10003 44246.25 -0.0241 1986 11 12/31/86 10000 1981.547 -0.37736 1986 12 12/31/86 10001 6937 0.016154 1986 12 12/31/86 10002 14540.63 -0.07477 1986 12 12/31/86 10003 42061.25 -0.04938 1986 12 1/30/87 10000 1581.531 -0.21212 1987 1 1/30/87 10001 6689.25 -0.03571 1987 1 1/30/87 10002 15935.94 0.09596 1987 1 1/30/87 10003 47523.75 0.12987 1987 1 2/27/87 10000 1581.531 0 1987 2 2/27/87 10001 6193.75 -0.07407 1987 2 2/27/87 10002 15715.63 -0.01382 1987 2 2/27/87 10003 48070 0.011494 1987 2 3/31/87 10000 973.25 -0.38462 1987 3 3/31/87 10001 6317.625 0.037486 1987 3 3/31/87 10002 15128.13 -0.03738 1987 3 3/31/87 10003 48070 0 1987 3 4/30/87 10000 912.4219 -0.0625 1987 4 4/30/87 10001 6069.875 -0.03922 1987 4 4/30/87 10002 15275 0.009709 1987 4 4/30/87 10003 45611.88 -0.05114 1987 4 5/29/87 10000 851.5938 -0.06667 1987 5 5/29/87 10001 5636.313 -0.07143 1987 5 5/29/87 10002 15862.5 0.038462 1987 5 5/29/87 10003 39985.75 -0.12575 1987 5 6/30/87 10000 851.5938 0 1987 6 6/30/87 10001 5822.125 0.052687 1987 6 6/30/87 10002 15862.5 0 1987 6 6/30/87 10003 38890.25 -0.0274 1987 6 7/31/87 10001 5946 0.021277 1987 7 7/31/87 10002 16450 0.037037 1987 7 7/31/87 10003 36973.13 -0.0493 1987 7 8/31/87 10001 6441.5 0.083333 1987 8 8/31/87 10002 15862.5 -0.03571 1987 8 8/31/87 10003 39164.13 0.065144 1987 8 9/30/87 10001 6200 -0.02163 1987 9 9/30/87 10002 14687.5 -0.07407 1987 9 9/30/87 10003 37520.88 -0.04196 1987 9 10/30/87 10001 6324 0.02 1987 10 10/30/87 10002 11750 -0.2 1987 10 10/30/87 10003 29030.75 -0.22628 1987 10 11/30/87 10001 6138 -0.02941 1987 11 11/30/87 10002 11896.88 0.0125 1987 11 11/30/87 10003 31813 0.113208 1987 11 12/31/87 10001 5828 -0.03354 1987 12 12/31/87 10002 11750 -0.01235 1987 12 12/31/87 10003 30716 -0.03448 1987 12
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