import pandas as pd
data = pd.read_csv('file_name.txt',dtype={'PVALUE':'object'}, sep = ' ' )
PVALUE = data.groupby(['CHR', 'START', 'STOP', 'RSID', 'REF/ALT'])['PVALUE'].apply(','.join).reset_index()['PVALUE']
data = data.groupby(['CHR', 'START', 'STOP', 'RSID', 'REF/ALT'])['PHENOTYPE'].apply(','.join).reset_index()
data['PVALUE'] = PVALUE
print(data)
CHR START STOP RSID REF/ALT PHENOTYPE PVALUE
0 1 987654321 987654322 rs123456 A/T Height,Stroke 6E-9,8E-15