returns: Calculate the attribution results

In pa: Performance Attribution for Equity Portfolios

Calculate the attribution results

Description

Calculate and display the attribution results. Allocation effect, selection effect, interaction, and active return are displayed for brinson analysis. Returns of user-defined input variables, portfolio return, benchmark return, and active return are shown for regression analysis.

Usage

 returns(object, ...) 

Arguments

object	An object of either class brinson or class brinsonMulti.
...	Other options including type which refers to the type of returns to be shown for regression analysis. They include arithmetic, geometric, and linking. The default is geometric.

Value

When the input is an object of class brinson, return a list of two matrices. The first one is the allocation, selection, and interaction for each groups in the specified category. The second matrix has 4 rows including Allocation, Selection, Interaction, and Active Return.

When the input is an object of class brinsonMulti, return a list including brison attribution for each individual period and the aggregate.

When the input is an object of class regression, return a matrix including contributions of input variables, Portfolio Return, Benchmark Return, and Active Return.

When the input is an object of class regressionMulti, return a list including regression analysis for each individual period and the aggregate.

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")

returns(p1)

## 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")

returns(p2, type = "linking")

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