I had to write some time ago a function to generate the Carhart (1997) model for assessing mutual fund performance.
Here I give you an example how to create equally weighted and cap weighted portfolios rebalanced with maximum frequency:
% Generate 100 time points and 1000 stocks: returns and volumes
A = randn(100,1000);
B = abs(randn(100,1000)*1e4);
% Random NaNs
A(randi(100000,[10000,1])) = NaN(10000,1);
B(isnan(A)) = NaN;
% Form 9 edges for quantile ptf
q = quantile(B,.1:.1:.9,2);
% sizes
szA = size(A);
szq = size(q);
% Preallocate
EW = zeros(szA(1),szq(2)+1);
CW = EW;
% sort volumes into quantiles
for r = 1:szA(1)
% Index stocks into 10 quantile ptf (11 edges)
[c,idx] = histc(B(r,:).',[0 q(r,:) inf]);
nonNaN = idx ~= 0;
% Form equally weighted ptf
EW(r,:) = accumarray(idx(nonNaN),A(r,nonNaN),[],@mean);
% Form cap weighted ptf
totV = accumarray(idx(nonNaN),B(r,nonNaN));
CW(r,:) = accumarray(idx(nonNaN),A(r,nonNaN).*B(r,nonNaN)./totV(idx(nonNaN)).');
end
If you want to rebalance it with a lower freq. you need to put an if statement inside the loop to skip the histc call.
Oleg
