Univariate Portfolio Sorts

Versión 1.0.0 (4,34 KB) por Gerrit Liedtke
Perform single-sorting of assets based on one sorting variable.
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Actualizado 24 ene 2025

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The fSingleSort MATLAB function conducts single sorting of assets based on a specified sorting variable. It calculates equally and value-weighted portfolio returns, along with statistics such as average returns, volatilities, annualized Sharpe ratios, t-tests, skewness, kurtosis, and maximum drawdowns for each portfolio. Users can configure the data frequency and quantile levels for sorting. The results are returned in a structured format for analysis.
The fSingleSortTable MATLAB function creates a table, showing the most important metrics.

Citar como

Gerrit Liedtke (2025). Univariate Portfolio Sorts (https://la.mathworks.com/matlabcentral/fileexchange/179644-univariate-portfolio-sorts), MATLAB Central File Exchange. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2023b
Compatible con cualquier versión
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Versión Publicado Notas de la versión
1.0.0