just a very short question regarding value-weighted portfolios. As the results are not as expected I try to cancel out any possible wrong assumptions.
I created five portfolios à 100 companies out of the S&P500 depending on their market-to-book-value ratio. As I'm calculating value-weighted monthly returns for each portfolio I multiply each monthly returns with (MCap company/ total MCap portfolio) right? Thought a second about the weight on the S&P but it doesn't make sense in my eyes yet I want to be sure I'm not having a error in reasoning.