exposure: Calculate and display the sector exposure of a portfolio

In pa: Performance Attribution for Equity Portfolios

Calculate and display the sector exposure of a portfolio

Description

Calculate and display the exposure of a portfolio based on any given category. Both the portfolio and benchmark exposures are displayed.

Usage

  exposure(object, var, ...)

Arguments

object	An object of either class brinson or class brinsonMulti.
var	Any user-defined category whose exposure is to be displayed.
...	Other options.

Value

Return a matrix if the input object is of class brinson with portfolio, benchmark exposures, and their differences, and return a list if the input object is of class brinsonMulti including portfolio, benchmark exposures, and their differences for each period.

If the input var is categorical, it will show exposure of each sub-groups within the category. If the input var is continuous, it will show exposure of the category in quintiles.

Author(s)

Yang Lu [e-mail]

Examples

## Single-period brinson analysis

data(jan)

p1 <- brinson(x = jan, date.var = "date", cat.var = "sector",
    bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var
    = "return")

exposure(p1, var = "size")

## 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")

exposure(p2, var = "sector")

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