R/summary.R

In pa: Performance Attribution for Equity Portfolios

## Yang Lu Yang.Lu@williams.edu

## the summary method for brinson class

## The summary has three parts. First, the essential info about the
## portfolio; second, the exposures; third, the returns of both the
## portfolio and the benchmark, and the attribution.

setMethod("summary",
          signature(object = "brinson"),
          function(object,
                   ...){
            
            cat(sprintf("Period:                              %-s",
                        paste(unique(as.character(object@universe[[object@date.var]])),
                              collapse = ", ")), "\n",
                sprintf("Methodology:                         %-s",
                        paste("Brinson")), "\n",
                sprintf("Securities in the portfolio:         %-s",
                        length(which(object@universe[[object@portfolio.weight]] > 0))), "\n",
                sprintf("Securities in the benchmark:         %-s",
                        length(which(object@universe[[object@bench.weight]] > 0))), "\n",
                sep = ""
                )
            
            cat("\n")
            
            cat("Exposures", "\n")
            print(exposure(object, var = object@cat.var))
            cat("\n")

            cat("Returns", "\n")
            print(returns(object))
            cat("\n")
          }
          )

##############################################

## For brinsonMulti class
## The summary has three parts. First, the essential info about the
## portfolio; second, the exposures; third, the returns of both the
## portfolio and the benchmark, and the attribution.

setMethod("summary",
          signature(object = "brinsonMulti"),
          function(object,
                   ...){
            
            cat(sprintf("Period starts:                       %-s",
                        paste(min(unique(as.character(object@date.var))),
                              collapse = ", ")), "\n",
                sprintf("Period ends:                         %-s",
                        paste(max(unique(as.character(object@date.var))),
                              collapse = ", ")), "\n",
                sprintf("Methodology:                         %-s",
                        paste("Brinson")), "\n",
                sprintf("Avg securities in the portfolio:     %-s",
                        do.call(mean, lapply(1:length(object@date.var),
                                             function(i){length(which(object@universe[[i]]@universe[[object@portfolio.weight]] > 0))}))), "\n",
                sprintf("Avg securities in the benchmark:     %-s",
                        do.call(mean, lapply(1:length(object@date.var),
                                             function(i){length(which(object@universe[[i]]@universe[[object@bench.weight]] > 0))}))), "\n",
                sep = ""
                )
            
            cat("\n")
            
            cat("Exposures", "\n")
            print(exposure(object, var = object@cat.var))
            cat("\n")
            
            cat("Returns", "\n")
            print(returns(object, type = "geometric"))
            cat("\n")
          }
          )




## summary for regression class object

## The summary has two parts. First, the essential info about the
## portfolio; second, the returns.

setMethod("summary",
          signature(object = "regression"),
          function(object,
                   ...){
            
            cat(sprintf("Period:                              %-s",
                        paste(unique(as.character(object@universe[[object@date.var]])),
                              collapse = ", ")), "\n",
                sprintf("Methodology:                         %-s",
                        paste("Regression")), "\n",
                sprintf("Securities in the portfolio:         %-s",
                        length(which(object@universe[[object@portfolio.weight]] > 0))), "\n",
                sprintf("Securities in the benchmark:         %-s",
                        length(which(object@universe[[object@benchmark.weight]] > 0))), "\n",
                sep = ""
                )
            
            cat("\n")
            
            cat("Returns", "\n")
            print(returns(object))
            cat("\n")
          }
          )


## summary for regressionMulti class object

## The summary has two parts. First, the essential info about the
## portfolio; second, the returns.

setMethod("summary",
          signature(object = "regressionMulti"),
          function(object,
                   ...){
            
            cat(sprintf("Period starts:                       %-s",
                        paste(min(unique(as.character(object@date.var))),
                              collapse = ", ")), "\n",
                sprintf("Period ends:                         %-s",
                        paste(max(unique(as.character(object@date.var))),
                              collapse = ", ")), "\n",
                sprintf("Methodology:                         %-s",
                        paste("Regression")), "\n",
                sprintf("Avg securities in the portfolio:     %-s",
                        do.call(mean, lapply(1:length(object@date.var),
                                             function(i){length(which(object@universe[[i]]@universe[[object@portfolio.weight]] > 0))}))), "\n",
                sprintf("Avg securities in the benchmark:     %-s",
                        do.call(mean, lapply(1:length(object@date.var),
                                             function(i){length(which(object@universe[[i]]@universe[[object@benchmark.weight]] > 0))}))), "\n",
                sep = ""
                )
            
            cat("\n")
                  
            cat("Returns", "\n")
            print(returns(object))
            cat("\n")
          }
          )