Univariate Portfolio Sorts

Version 1.0.0 (4.34 KB) by Gerrit Liedtke
Perform single-sorting of assets based on one sorting variable.
0.0
(0)
7 Downloads
Updated 24 Jan 2025

View License

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.

Cite As

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

MATLAB Release Compatibility
Created with R2023b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Tags Add Tags

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Published Release Notes
1.0.0