sparseIndexTracking

0.1.1

Design of Portfolio of Stocks to Track an Index

0packages depend

6.9Kdownloads / year

–test coverage

11/13checks pass

Overview

About

Maintained by Daniel P. PalomarFirst published 2018-05-172 releasesCRAN page ↗GitHub ↗

Computation of sparse portfolios for financial index tracking, i.e., joint selection of a subset of the assets that compose the index and computation of their relative weights (capital allocation). The level of sparsity of the portfolios, i.e., the number of selected assets, is controlled through a regularization parameter. Different tracking measures are available, namely, the empirical tracking error (ETE), downside risk (DR), Huber empirical tracking error (HETE), and Huber downside risk (HDR). See vignette for a detailed documentation and comparison, with several illustrative examples. The package is based on the paper: K. Benidis, Y. Feng, and D. P. Palomar, "Sparse Portfolios for High-Dimensional Financial Index Tracking," IEEE Trans. on Signal Processing, vol. 66, no. 1, pp. 155-170, Jan. 2018. doi:10.1109/TSP.2017.2762286.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("sparseIndexTracking", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("dppalomar/sparseIndexTracking")

Development version from dppalomar/sparseIndexTracking. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-sparseindextracking

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-sparseIndexTracking

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-sparseIndexTracking

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

2NOTE11OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-clang
NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 1.2 min · r-devel-linux-x86_64-fedora-gcc

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

None

Vignettes

Yes

README

Dependencies · direct

Check history

NOTE2026-03-10
12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Downloads

6.9K

CRAN downloads in the past year

Rank #5,925 · ~19/day · ~576/mo

Releases R versions

Daily download trend is not available in this view yet.

61430 days

1.8K90 days

6.9K1 year

Compare downloads with other packages →

Also on143 r2u14 autocran

Repository

GitHub ↗ dppalomar/sparseindextracking

59Stars

17Forks

3Open issues

0Open PRs

2Releases

87Commits

portfolioindextrackingfinancial-markets

License GPL-3.0 · 87 commits · 0% stars, 30d

Stars over time

2025-06-13 · 542026-07-07 · 59

Dependencies

Declared dependencies

6 external dependencies (excludes base and recommended)

Depends (0)

none

Imports (0)

none

LinkingTo (0)

none

Suggests (6)

bookdown knitr prettydoc rmarkdown R.rsp xts

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

Code & Tests

Code Composition

R 538 (81%)Rd 113 (17%)Other 12 (2%)

Code characteristics

Cyclomatic complexity: 1.0 median / 58 max
Documented parameters: 88%

Test coverage

Line coverage

–

Expression

–

Tests / Examples

–

Functions

6 1 exported

Complexity

13.8 avg / 58 max

Call network

6 nodes / 9 edges

Test coverage has not been measured for this package yet; nodes fall back to a neutral fill.

Call graph

Open call graph →

Loading call graph…

Lowest coverage

Per-function coverage is not measured for this package yet.

People & History

People (2)

Maintainer (1)

Daniel P. Palomar

Maintainer, Author

Authors (2)

Daniel P. Palomar

Maintainer, Author

Konstantinos Benidis

Author

Release timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
0.1.1Latest
2019-06-02 · current release · diff ↗
R
R 3.6.0 released · 2019-04-26
0.1.0
2018-05-17
R
R 3.5.0 released · 2018-04-23

Package metadata

First published: 2018-05-17
Total releases: 2 / 8 yrs
License: GPL-3 | file LICENSE OSI
Bundled data: 726 KB / 1 file
Download size: 2.3 MB
Installed size: not tracked yet
With dependencies: not tracked yet