A sample portfolio edited based on Barra data set in Jan. 2010.

Description

An edited version of the data set based on Barra GEM2 data set in year 2010.

Usage

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Format

A data frame with 3000 observations on the following 6 variables.

name

name of a security

return

a numeric vector

date

a Date

sector

an ordered factor with levels Energy < Materials < Industrials < ConDiscre < ConStaples < HealthCare < Financials < InfoTech < TeleSvcs < Utilities

portfolio

a numeric vector

benchmark

a numeric vector

Details

A edited version of the data set jan. test contains all the information necessary to conduct a single-period Brinson analysis. date.var, cat.var, and return identify the columns containing the date, the factor to be analyzed, and the return variable, respectively. bench.weight and portfolio.weight specify the name of the benchmark weight column and that of the portfolio weight column in the data frame.

In the paper, we use this data set to showcase that the Brinson model is a special case of the regression approach.

In this data set, the universe of the portfolio is assumed to be the same as the benchmark.

Examples

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