factorModelPerformanceAttribution: Compute performance attribution
In R-Finance/FactorAnalytics: factor analysis

Description Usage Arguments Details Value Author(s) References Examples

Decompose total returns into returns attributed to factors and specific returns. Class of FM.attribution is generated and generic function plot() and summary(),print() can be applied.

1	factorModelPerformanceAttribution(fit, ...)

`fit`	Class of "TimeSeriesFactorModel", "FundamentalFactorModel" or "statFactorModel".
`...`	Other controled variables for fit methods.

Total returns can be decomposed into returns attributed to factors and specific returns.
R_t = ∑ b_j * f_jt + u_t,t=1...T
b_j is exposure to factor j and f_jt is factor j. The returns attributed to factor j is b_j * f_jt and specific returns is u_t.

an object of class FM.attribution containing

cum.ret.attr.f N X J matrix of cumulative return attributed to factors.
cum.spec.ret 1 x N vector of cumulative specific returns.
attr.list list of time series of attributed returns for every portfolio.

Yi-An Chen.

Grinold,R and Kahn R, Active Portfolio Management, McGraw-Hill.

## Not run: 
data(managers.df)
fit.ts <- fitTimeSeriesFactorModel(assets.names=colnames(managers.df[,(1:6)]),
                                     factors.names=c("EDHEC.LS.EQ","SP500.TR"),
                                      data=managers.df,fit.method="OLS")
# withoud benchmark
fm.attr <- factorModelPerformanceAttribution(fit.ts)

## End(Not run)