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Create Portfolio Sort Options

Source: R/portfolio_sort_options.R
portfolio_sort_options.Rd

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)
)
#> $filter_options
#> $exclude_financials
#> [1] TRUE
#> 
#> $exclude_utilities
#> [1] FALSE
#> 
#> $min_stock_price
#> NULL
#> 
#> $min_size_quantile
#> NULL
#> 
#> $min_listing_age
#> NULL
#> 
#> $exclude_negative_book_equity
#> [1] FALSE
#> 
#> $exclude_negative_earnings
#> [1] FALSE
#> 
#> attr(,"class")
#> [1] "tidyfinance_filter_options"
#> 
#> $breakpoint_options_main
#> $n_portfolios
#> [1] 10
#> 
#> $percentiles
#> NULL
#> 
#> $breakpoints_exchanges
#> NULL
#> 
#> $smooth_bunching
#> [1] FALSE
#> 
#> $breakpoints_min_size_threshold
#> NULL
#> 
#> attr(,"class")
#> [1] "tidyfinance_breakpoint_options"
#> 
#> $breakpoint_options_secondary
#> NULL
#> 
#> attr(,"class")
#> [1] "tidyfinance_portfolio_sort_options"