Man pages for R-Finance/PortfolioAttribution
Performance attribution tools used for identifying sources of portfolio return and risk.
| attrib | Hypothetical Portfolio Data with Returns, Weights, Hierarchy,... |
| Attribution | performs sector-based single-level attribution |
| AttributionFixedIncome | fixed income attribution |
| Attribution.geometric | performs sector-based geometric attribution |
| Attribution.levels | provides multi-level sector-based geometric attribution |
| Carino | calculates total attribution effects using logarithmic... |
| Conv.option | convert information about options, warrants or convertible... |
| DaviesLaker | calculates total attribution effects using Davies and Laker... |
| Frongello | calculates total attribution effects using Frongello... |
| Grap | calculates total attribution effects using GRAP smoothing |
| HierarchyQuintiles | replaces numeric values in the hierarchy by quintiles |
| Menchero | calculates total attribution effects using Menchero smoothing |
| Return.level | aggregates portfolio returns up to the chosen level from the... |
| Weight.level | aggregates portfolio weights up to the chosen level from the... |
| Weight.transform | transforms weights for the attribution functions |
