Forming 25 portfolios in a double sort

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Sascha Winter
Sascha Winter 2017-4-13
评论： Sascha Winter 2017-4-13
Hello everyone, i've got the following problem. I want to create 25 portfolios sorted by two variables. So at the end i should sort one variable at the quintiles and the other variable at the quintiles which will give me 25 portfolios if I combine them. I have a solution for this, but my loops work too long (over 2 hours). Here is my first and my second loop out of an overall of 6 loops in overall.
Loop 1 for a quintile sort for the first variable
% 5 portfolios sorted for size
s1 = NaN(size(NSI));
s2 = NaN(size(NSI));
s3 = NaN(size(NSI));
s4 = NaN(size(NSI));
s5 = NaN(size(NSI));
u = 1;
for m=1:12:589;
n=min(594, m + 12 - 1);
for i=1:size(NSI,2)
if me(u,i) <= prctile(me(u,:),20,2);
s1(m:n,i) = 1;
elseif me(u,i) > prctile(me(u,:),20,2) & me(u,i) <= prctile(me(u,:),40,2);
s2(m:n,i) = 1;
elseif me(u,i) > prctile(me(u,:),40,2) & me(u,i) <= prctile(me(u,:),60,2);
s3(m:n,i) = 1;
elseif me(u,i) > prctile(me(u,:),60,2) & me(u,i) <= prctile(me(u,:),80,2);
s4(m:n,i) = 1;
elseif me(u,i) > prctile(me(u,:),80,2);
s5(m:n,i) = 1;
end
end
u = u + 12;
end
Loop 2 where I take the first portfolio of the first variable
% 5 portfolios sorted for book-to market for the smallest size portfolio
s1b1 = NaN(size(NSI));
s1b2 = NaN(size(NSI));
s1b3 = NaN(size(NSI));
s1b4 = NaN(size(NSI));
s1b5 = NaN(size(NSI));
u = 1;
for m=1:12:589;
n=min(594, m + 12 - 1);
for i=1:size(NSI,2)
if beme(u,i) <= prctile(beme(u,:),20,2);
s1b1(m:n,i) = s1(m:n,i);
elseif beme(u,i) > prctile(beme(u,:),20,2) & beme(u,i) <= prctile(beme(u,:),40,2);
s1b2(m:n,i) = s1(m:n,i);
elseif beme(u,i) > prctile(beme(u,:),40,2) & beme(u,i) <= prctile(beme(u,:),60,2);
s1b3(m:n,i) = s1(m:n,i);
elseif beme(u,i) > prctile(beme(u,:),60,2) & beme(u,i) <= prctile(beme(u,:),80,2);
s1b4(m:n,i) = s1(m:n,i);
elseif beme(u,i) > prctile(beme(u,:),80,2);
s1b5(m:n,i) = s1(m:n,i);
end
end
u = u + 12;
end
to be continued for the other 4 portfolios.
Is there a smarter way to get the 25 portfolios?. Thanks in advance.

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