portsort (version 0.1.0)

Factor-Based Portfolio Sorts

Description

Designed to aid both academic researchers and asset managers in conducting factor based portfolio sorts. Provides functionality to sort assets into portfolios for up to three factors via a conditional or unconditional sorting procedure.

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Version

Install

install.packages('portsort')

Monthly Downloads

Version

0.1.0

License

GPL (>= 2)

Maintainer

Alex Dickerson

Last Published

September 30th, 2018

Functions in portsort (0.1.0)

portfolio.mean.size

Calculate Mean Sub-Portfolio Size

portfolio.frequency

Calculate Sub-Portfolio Concentration

unconditional.sort

Unconditional Portfolio Sort

portfolio.turnover

Calculate Sub-Portfolio Turnover

Factors

Cryptocurrency Returns and Volume Data

conditional.sort

Conditional Portfolio Sort