pa: Performance Attribution for Equity Portfolios

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A package that provides tools for conducting performance attribution for equity portfolios. The package uses two methods: the Brinson method and a regression-based analysis.

Author
Yang Lu [aut, cre], David Kane [aut]
Date of publication
2013-12-21 16:18:56
Maintainer
Yang Lu <yang.lu2014@gmail.com>
License
GPL-2
Version
1.2-1

View on CRAN

Man pages

brinson
Creating an object of either class brinson or class...
brinson-class
Class "brinson"
brinsonMulti-class
Class "brinsonMulti"
exposure
Calculate and display the sector exposure of a portfolio
jan
Edited Barra data set in Jan. 2010.
pa-internal
Internal functions in the package
pa-package
Brinson analysis for equity portfolios
plot
Plot the exposure or the return of a brinson, brinsonMulti,...
quarter
Edited Barra data set for Q1, 2010.
regress
Create an object of either class regress or class...
regression-class
Class "regression"
regressionMulti-class
Class "regressionMulti"
returns
Calculate the attribution results
summary
Provide a summary for Brinson or regression analysis
test
A sample portfolio edited based on Barra data set in Jan....
year
Edited Barra data set in year 2010.

Files in this package

pa
pa/inst
pa/inst/doc
pa/inst/doc/LuKane_RJournal_submission_final.pdf
pa/inst/doc/pa.Rnw
pa/inst/doc/pa.R
pa/inst/doc/pa.pdf
pa/tests
pa/tests/exposure.test.R
pa/tests/returns.test.R
pa/tests/brinson.test.R
pa/tests/regress.test.RData
pa/tests/returns.test.RData
pa/tests/exposure.test.RData
pa/tests/summary.test.RData
pa/tests/show.test.R
pa/tests/show.test.RData
pa/tests/brinson.test.RData
pa/tests/regress.test.R
pa/tests/summary.test.R
pa/NAMESPACE
pa/data
pa/data/test.RData
pa/data/quarter.RData
pa/data/jan.RData
pa/data/year.RData
pa/data/datalist
pa/R
pa/R/AllClasses.R
pa/R/AllGenerics.R
pa/R/exposure.R
pa/R/plot.R
pa/R/internals.R
pa/R/regress.R
pa/R/returns.R
pa/R/show.R
pa/R/summary.R
pa/R/brinson.R
pa/vignettes
pa/vignettes/pa.bib
pa/vignettes/pa.Rnw
pa/MD5
pa/build
pa/build/vignette.rds
pa/DESCRIPTION
pa/man
pa/man/year.Rd
pa/man/pa-package.Rd
pa/man/jan.Rd
pa/man/pa-internal.Rd
pa/man/exposure.Rd
pa/man/quarter.Rd
pa/man/brinson.Rd
pa/man/brinsonMulti-class.Rd
pa/man/regression-class.Rd
pa/man/test.Rd
pa/man/regressionMulti-class.Rd
pa/man/returns.Rd
pa/man/brinson-class.Rd
pa/man/plot.Rd
pa/man/summary.Rd
pa/man/regress.Rd
pa/.Rinstignore