Man pages for R-Finance/PortfolioAttribution
Performance attribution tools used for identifying sources of portfolio return and risk.

attribHypothetical Portfolio Data with Returns, Weights, Hierarchy,...
Attributionperforms sector-based single-level attribution
AttributionFixedIncomefixed income attribution
Attribution.geometricperforms sector-based geometric attribution
Attribution.levelsprovides multi-level sector-based geometric attribution
Carinocalculates total attribution effects using logarithmic...
Conv.optionconvert information about options, warrants or convertible...
DaviesLakercalculates total attribution effects using Davies and Laker...
Frongellocalculates total attribution effects using Frongello...
Grapcalculates total attribution effects using GRAP smoothing
HierarchyQuintilesreplaces numeric values in the hierarchy by quintiles
Mencherocalculates total attribution effects using Menchero smoothing
Return.levelaggregates portfolio returns up to the chosen level from the...
Weight.levelaggregates portfolio weights up to the chosen level from the...
Weight.transformtransforms weights for the attribution functions
R-Finance/PortfolioAttribution documentation built on May 9, 2017, 9:40 p.m.