Package org.drip.investing.factors

Class TopDownSegmentRanker

java.lang.Object
org.drip.investing.factors.TopDownSegmentRanker
All Implemented Interfaces:
FactorPortfolioRanker
public class TopDownSegmentRanker
extends java.lang.Object
implements FactorPortfolioRanker
TopDownSegmentRanker implements the Top-Down Sliced Ranking the Factor Portfolio Constituents. The References are:

  • Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
  • Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
  • Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
  • Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
  • Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TopDownSegmentRanker​(int topComponentCutoffCount, int bottomComponentCutoffCount, boolean flipBottomSign)
    TopDownSegmentRanker Constructor

  • Method Summary

    Modifier and Type Method Description
    int bottomComponentCutoffCount()
    Retrieve the Bottom Component Cutoff Count
    boolean flipBottomSign()
    Indicate if the Signs of the Bottom Components must be Flipped
    static TopDownSegmentRanker FullSuite​(boolean flipBottomSign)
    Build a Full-Suite Top/Bottom Portfolio Ranker
    java.util.Map<java.lang.String,​FactorComponentLoading> rank​(java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMap)
    Generate the Map of Ranked Factor Components from the Input Factor Component Loading Map
    int topComponentCutoffCount()
    Retrieve the Top Component Cutoff Count

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • TopDownSegmentRanker

      public TopDownSegmentRanker​(int topComponentCutoffCount, int bottomComponentCutoffCount, boolean flipBottomSign) throws java.lang.Exception
      TopDownSegmentRanker Constructor
      Parameters:
      topComponentCutoffCount - The Top Component Cutoff Count
      bottomComponentCutoffCount - The Bottom Component Cutoff Count
      flipBottomSign - TRUE - Signs of the Bottom Components must be Flipped
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FullSuite

      public static final TopDownSegmentRanker FullSuite​(boolean flipBottomSign)
      Build a Full-Suite Top/Bottom Portfolio Ranker
      Parameters:
      flipBottomSign - TRUE - Signs of the Bottom Components must be Flipped
      Returns:
      Full-Suite Top/Bottom Portfolio Ranker

    • topComponentCutoffCount

      public int topComponentCutoffCount()
      Retrieve the Top Component Cutoff Count
      Returns:
      The Top Component Cutoff Count

    • bottomComponentCutoffCount

      public int bottomComponentCutoffCount()
      Retrieve the Bottom Component Cutoff Count
      Returns:
      The Bottom Component Cutoff Count

    • flipBottomSign

      public boolean flipBottomSign()
      Indicate if the Signs of the Bottom Components must be Flipped
      Returns:
      TRUE - Signs of the Bottom Components must be Flipped

    • rank

      public java.util.Map<java.lang.String,​FactorComponentLoading> rank​(java.util.Map<java.lang.String,​FactorComponentLoading> factorComponentLoadingMap)
      Generate the Map of Ranked Factor Components from the Input Factor Component Loading Map
      Specified by:
      rank in interface FactorPortfolioRanker
      Parameters:
      factorComponentLoadingMap - Input Factor Component Loading Map
      Returns:
      The Map of Ranked Factor Components