If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?

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If I create a portfolio based on a list of PERMNOs and one or more of the securities associated with those PERMNOs were delisted prior to the end of the given period, how are the returns for the remainder of the period calculated?

Once delisted, an issue is given no weight in the portfolio. The returns reflect the value- or equal-weighted average of the returns of the remaining securities.

EXAMPLE:

We create two portfolios. Port1 has two PERMNOs (10106 and 10107) and Port2 contains only one PERMNO 10107. PERMNO 10106 was delisted on 19950105.

PERMNO	Begdt-	 Enddt
10106	19860312-19950105

PERMNO	Begdt-	 Enddt
10107	19860313-20071130

Beginning 19950106, the first day PERMNO 10106 is no longer in the portfolio and the returns in Port1 match the returns on Port2.

             
                  Weight        Usdcnt  Ret
port1 19950103    35565600.00      2   -0.015290
port1 19950104    35021812.50      2    0.007232
port1 19950105    35275100.00      2   -0.016467
port1 19950106    34642125.00      1    0.016771
port1 19950109    35223125.00      1   -0.006186
port1 19950110    35005250.00      1    0.012448

                  Weight        Usdcnt  Ret
Port2 19950103    35513625.00      1   -0.015337
Port2 19950104    34968937.50      1    0.007269
Port2 19950105    35223125.00      1   -0.016495
Port2 19950106    34642125.00      1    0.016771
Port2 19950109    35223125.00      1   -0.006186
Port2 19950110    35005250.00      1    0.012448