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st: Value Weighted Portfolios Momentum Strategy

From   "Anna Steinforth" <>
Subject   st: Value Weighted Portfolios Momentum Strategy
Date   Tue, 19 Mar 2013 00:19:35 +0100

Hi everyone,

I am trying to implement a Momentum Strategy in Stata. I am very happy, that statalist already helped me with a code for the beginning! :-)

Now I am trying to form value weighted portfolios, but all my trials failed! Now I feel like a stupid girl! :-( 

the table at the beginning looks like this:

date    stock    price    mv
1992m1    1    14.17    28.08
1992m2    1    17.5    34.69
1992m3    1    16.88    33.45

i have stocks from 1 to 300 and dates until 2012m12

I am using this code to build equal weighted portfolios:

gen return6 = ln(price/l6.price)
drop if return6==.
egen portfolio6_6 = xtile(return6), nquantiles(4) by(date)
collapse (mean) f6.return6, by(date portfolio6_6)
gen monthly_r6_6 = F6return6/6
tsset date portfolio6_6                                                                   
gen momentum6_6 = S3.monthly_r6_6 

now,when i use: 

collapse (mean) f6.return6, by(date portfolio6_6)

i need that the return of every reit in the portfolio is weighted with its market value.

How can I change the collapse code to value weight? Is that possible at all? Any idea would be highly appreciated!

Thanks a lot!!! :-)

Best, Anna 
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