I am writing my master's thesis about analyst star-rankings and whether their recommendations have investment value. For these purposes I am trying to construct calendar time portfolios as it was made in previous research. I would like to ask whether I am on the right way with my methodology. Many thanks beforehand! The literature gives this kind of formula :

Source: Yuri Kucheev, The Value of Ranked Analysts' Recommendations, 2017 Link

I am trying to repeat it by doing this kind of operation in excel. I am calculating the cumulative returns, I am also calculating the total cumulative return for the last day of investment. And I repeat it for every single company in my portfolio enter image description here


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