I’m working in MATLAB to create a value stock portfolio using historical series through the Fama-French 5-factor model. As you can see, I’ve used historical data from 1999 to 2005 to identify (from a random sample of S&P 500 stocks) value stocks, which I then used to create a portfolio using Markowitz optimization, with the standard constraints of non-negative weights and the sum of weights equal to 1.