Description Usage Arguments Details Author(s) Examples

View source: R/portfolio.frequency.R

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

1 | ```
portfolio.frequency(sort.output, rank)
``` |

`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. |

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

Alexander Dickerson and Jonathan Spohnholtz

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 | ```
# 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)
``` |

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