brinsonMulti-class: Class "brinsonMulti"

In pa: Performance Attribution for Equity Portfolios

Class "brinsonMulti"

Description

Class "brinsonMulti" holds the results of an original portfolio, its benchmark, and the results of brinson analysis of a multi-period portfolio.

Slots

date.var:

Object of class character storing all the dates occurred in the universe data frame.

cat.var:

Object of class character storing the variable name of the categories in the universe data frame.

bench.weight:

Object of class character storing the benchmark weight variable name in the universe data frame.

portfolio.weight:

Object of class character storing the portfolio weight variable name in the universe data frame.

ret.var:

Object of class character storing the return variable name in the universe data frame.

weight.port:

Object of class matrix storing the sector weights of the original portfolio.

weight.bench:

Object of class matrix storing the sector weights of the benchmark portfolio.

ret.port:

Object of class matrix storing the sector returns of the original portfolio.

ret.bench:

Object of class matrix storing the sector returns of the benchmark portfolio.

brinson.mat:

Object of class matrix storing the information of the brinson matrix across period.

universe:

Data frame storing the universe environment.

Methods

show

signature(object = "brinson"). Summarize the essential information about the portfolio.

summary

signature(object = "brinson"). Summarize the portfolio and the brinson analysis.

exposure

signature(object = "brinson"). Calculate and display the sector exposure of a portfolio.

returns

signature(object = "brinson"). Calculate the contribution of various effects based on the brinson model.

plot

signature(x = "brinson", var = "character", type = "character"). Plot the exposure or the return of a portfolio class object.

Author(s)

Yang Lu [e-mail]

Examples

## Multi-period brinson analysis
data(quarter)
p2 <- brinson(x = quarter, date.var = "date", cat.var = "sector",
bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var = "return")
summary(p2)

pa documentation built on Aug. 21, 2023, 5:06 p.m.