portfolio.frequency: Calculate Sub-Portfolio Concentration

In portsort: Factor-Based Portfolio Sorts

Description

Computes the frequency that an asset appears in each sub-portfolio based on its rank.

Usage

portfolio.frequency(sort.output, rank)

Arguments

sort.output	object returned from either the conditional.sort or unconditional.sort function.
rank	input the rank of the security you would like to return the frequency for.

Details

Returns the frequency that the security appears in each sub-portfolio based on the rank input.

Author(s)

Alexander Dickerson and Jonathan Spohnholtz

Examples

# Load the included data
library(portsort)
data(Factors)

# Specifiy the sort dimension - in this case, a double-sort on lagged returns and Bitcoin volumes
dimA = 0:3/3
dimB = 0:3/3

# Specify the factors
# Lagged returns, lagged volumes are stored in the Factors list
R.Forward = Factors[[1]]; R.Lag = Factors[[2]]; V.Lag = Factors[[3]]

# Subset the data from late 2017
R.Forward = R.Forward["2017-12-01/"]
R.Lag = R.Lag["2017-11-30/2018-09-05"]
V.Lag = V.Lag["2017-11-30/2018-09-05"]

Fa = R.Lag
Fb = V.Lag



# Conduct an unconditional sort (in this case) or a conditional sort
sort.output = unconditional.sort(Fa = Fa, Fb = Fb , R.Forward = R.Forward, dimA = dimA, dimB = dimB)

# We want to see which security appeared the most in each sub-portfolio, 
# i.e the secruity with a rank of 1.

rank = 1
portfolio.frequency(sort.output,rank)

portsort documentation built on May 2, 2019, 6:36 a.m.