Like Joost mentioned, erdport1 is not complete.

Therefore, it is a good idea to build our own decile portiflio. I think DSF database include all securities, the output data of this code will be comparable to the erdport1 database, but more complete.

This post will be updated later. I only post the idea down for my own record.

*start from DSF database.
*calculate the cap size. share#*price.
*Proc Rank to generate 10 deciles.

Reference:
http://www.nesug.org/Proceedings/nesug09/ap/ap01.pdf

hi Zenghui,

People often use NYSE size deciles (instead of their own). There is a macro in the repository that should do that. http://www.wrds.us/index.php/repository/view/6

good luck

Joost