portfolios.portfolio_sort_options()

Create portfolio sort options.

Usage

portfolios.portfolio_sort_options(
    filter_options=None,
    breakpoint_options_main=None,
    breakpoint_options_secondary=None,
    **kwargs
)

Creates a dict of options that bundles sample construction filters and breakpoint specifications for use with ‘implement_portfolio_sort’.

Parameters

filter_options: dict = None

Dict produced by ‘filter_options’, or None (the default, which applies no filters). The accepted entries include:

‘exclude_financials’ (bool): Whether to exclude financial firms (SIC codes 6000 to 6799). Defaults to False.
‘exclude_utilities’ (bool): Whether to exclude utility firms (SIC codes 4900 to 4999). Defaults to False.
‘min_stock_price’ (float, optional): Minimum stock price required to include an observation. None (the default) applies no price filter.
‘min_size_quantile’ (float, optional): Minimum cross-sectional size quantile (based on lagged market cap) required to include an observation. None (the default) applies no size quantile filter.
‘min_listing_age’ (float, optional): Minimum number of months a stock must have been listed in CRSP. None (the default) applies no listing age filter.
‘exclude_negative_book_equity’ (bool): Whether to exclude observations with non-positive book equity. Defaults to False.
‘exclude_negative_earnings’ (bool): Whether to exclude observations with non-positive earnings. Defaults to False.

breakpoint_options_main: dict = None

Dict produced by ‘breakpoint_options’, specifying breakpoints for the primary sorting variable, or None (the default) when no primary breakpoints are required. The accepted entries include:

‘n_portfolios’ (int, optional): Number of equally sized portfolios. Mutually exclusive with ‘percentiles’.
‘percentiles’ (list of float, optional): Percentiles for defining the breakpoints. Mutually exclusive with ‘n_portfolios’.
‘breakpoints_exchanges’ (str or list of str, optional): Exchange names to filter the data before computing breakpoints. If None, no filtering is applied.
‘smooth_bunching’ (bool, optional): Whether to attempt smoothing non-extreme portfolios if the sorting variable bunches on the extremes.
‘breakpoints_min_size_threshold’ (float, optional): Value between 0 and 1 (exclusive) below which stocks are excluded from breakpoint computation.

breakpoint_options_secondary: dict = None

Dict produced by ‘breakpoint_options’, specifying breakpoints for the secondary sorting variable, or None (the default) for univariate sorts. The accepted entries are the same as for ‘breakpoint_options_main’.

**kwargs

Additional optional arguments, stored verbatim in the dict.

Returns

dict: Dict containing the specified options.

Examples

from tidyfinance import (
    portfolio_sort_options,
    filter_options,
    breakpoint_options,
)
portfolio_sort_options(
    filter_options=filter_options(exclude_financials=True),
    breakpoint_options_main=breakpoint_options(n_portfolios=10),
)