portfolio_sort_options: Create Portfolio Sort Options

In tidyfinance: Tidy Finance Helper Functions

Create Portfolio Sort Options

Description

Creates a list of options of class tidyfinance_portfolio_sort_options that bundles sample construction filters and breakpoint specifications for use with implement_portfolio_sort().

Usage

portfolio_sort_options(
  filter_options = NULL,
  breakpoint_options_main,
  breakpoint_options_secondary = NULL,
  ...
)

Arguments

filter_options	A list of class tidyfinance_filter_options created by filter_options(), or NULL (the default, which applies no filters). The arguments accepted by filter_options() include exclude_financials A logical indicating whether to exclude financial firms (SIC codes 6000–6799). Defaults to FALSE. exclude_utilities A logical indicating whether to exclude utility firms (SIC codes 4900–4999). Defaults to FALSE. min_stock_price A single positive numeric specifying the minimum stock price required to include an observation. NULL (the default) applies no price filter. min_size_quantile A single numeric strictly between 0 and 1 specifying the minimum cross-sectional size quantile (based on lagged market cap) required to include an observation. NULL (the default) applies no size quantile filter. min_listing_age A single non-negative integer or numeric specifying the minimum number of months a stock must have been listed in CRSP. NULL (the default) applies no listing age filter. exclude_negative_book_equity A logical indicating whether to exclude observations with non-positive book equity. Defaults to FALSE. exclude_negative_earnings A logical indicating whether to exclude observations with non-positive earnings. Defaults to FALSE.
breakpoint_options_main	A list of class tidyfinance_breakpoint_options created by breakpoint_options(), specifying breakpoints for the primary sorting variable. The arguments accepted by breakpoint_options() include n_portfolios An optional integer specifying the number of equally sized portfolios to create. This parameter is mutually exclusive with percentiles. percentiles An optional numeric vector specifying the percentiles for determining the breakpoints of the portfolios. This parameter is mutually exclusive with n_portfolios. breakpoints_exchanges An optional character vector specifying exchange names to filter the data before computing breakpoints. Exchanges must be stored in a column given by data_options (defaults to exchange). If NULL, no filtering is applied. smooth_bunching An optional logical parameter specifying if to attempt smoothing non-extreme portfolios if the sorting variable bunches on the extremes (TRUE), or not (FALSE, the default). breakpoints_min_size_threshold An optional numeric value between 0 and 1 (exclusive). When set, stocks with market capitalization below this quantile are excluded from breakpoint computation.
breakpoint_options_secondary	A list of class tidyfinance_breakpoint_options created by breakpoint_options(), specifying breakpoints for the secondary sorting variable, or NULL (the default) for univariate sorts. The arguments accepted by breakpoint_options() are the same as for breakpoint_options_main.
...	Additional arguments to be included in the options list.

Value

A list of class tidyfinance_portfolio_sort_options containing the specified options.

See Also

Other portfolio functions: assign_portfolio(), breakpoint_options(), compute_breakpoints(), compute_long_short_returns(), compute_portfolio_returns(), data_options(), filter_options(), filter_sorting_data(), implement_portfolio_sort()

Examples

portfolio_sort_options(
  filter_options = filter_options(exclude_financials = TRUE),
  breakpoint_options_main = breakpoint_options(n_portfolios = 10)
)

tidyfinance documentation built on June 1, 2026, 1:06 a.m.