Univariate Portfolio Sorts

Version 1.0.0 (4,34 KB) von Gerrit Liedtke
Perform single-sorting of assets based on one sorting variable.
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Aktualisiert 24. Jan 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.

Zitieren als

Gerrit Liedtke (2026). Univariate Portfolio Sorts (https://de.mathworks.com/matlabcentral/fileexchange/179644-univariate-portfolio-sorts), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2023b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
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Version Veröffentlicht Versionshinweise
1.0.0