summary: Provide a summary for Brinson or regression analysis

In pa: Performance Attribution for Equity Portfolios

Provide a summary for Brinson or regression analysis

Description

Summarize a portfolio and its benchmark. Present the attribution information including basic portfolio information, expsosures, and returns. The input can be any of the four class objects including brinson, brinsonMulti, regression, and regressionMulti.

Usage

 summary(object, ...) 

Arguments

object	An object of brinson, brinsonMulti, regression or regressionMulti.
...	Other options.

Value

Return relevant information about a portfolio and its benchmark. It includes their exposures based on input categories (for Brinson analysis only) and the results of either Brinson analysis or regression analysis.

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")

summary(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")

summary(p2)

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