matixr / compsizer

Utilities for calculating CompetitorSize

compsizer

Package for calculating CompetitorSize, as in Jakab (2018) "Competitor Scale and Mutual Fund Behavior."

GenCompSize

The workhorse function. It eats two datasets as principal arguments: (i) a long-format data.table (or data.frame) of portfolio weights (or other characteristic used for measuring similarity), and (ii) a long-format data.table (or data.frame) of fund sizes. Returns a long-format data.table of CompetitorSize.

Cosine similarity is used as the measure of fund similarity. (In the future other measures might be implemented as well.)

SplitByDate

Utility for converting the long-format portfolio weight dataset and long-format fund size dataset into a list of matrices. Each list element corresponds to a date and includes an N x K matrix of portfolio weights (columns corresponding to funds and rows to securities), a K x 1 matrix of fund sizes, and a string specifying the date.

CosSim

Calculate cosine similarities. Returns a symmetric matrix of cosine similarities.

CompSize

Calculate CompetitorSize for a given date, based on a symmetric similarity matrix and a fund size matrix.