Frongello: calculates total attribution effects using Frongello...

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

Description

Calculates total attribution effects over multiple periods using Frongello linking method. Used internally by the Attribution function. Arithmetic attribution effects do not naturally link over time. This function uses Frongello smoothing algorithm to adjust attribution effects so that they can be summed up over multiple periods Adjusted attribution effect at period t are:

A_{t}' = A_{t}\times∏^{t-1}_{i=1}(1+r_{pi})+R_{bt} \times∑^{t-1}_{i=1}A_{i}'

At' - adjusted attribution effects at period t, At - unadjusted attribution effects at period t, Rpi - portfolio returns at period i, Rbi - benchmark returns at period, Rp - total portfolio returns, Rb - total benchmark returns, n - number of periods

Usage

  Frongello(rp, rb, attributions, adjusted)

Arguments

rp	xts of portfolio returns
rb	xts of benchmark returns
attributions	xts with attribution effects
adjusted	TRUE/FALSE, whether to show original or smoothed attribution effects for each period

Value

returns a data frame with original attribution effects and total attribution effects over multiple periods

Author(s)

Andrii Babii

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 199-201
Frongello, A. (2002) Linking single period attribution results. Journal of Performance Measurement. Spring, p. 10-22.

See Also

Attribution
Menchero
Grap
Carino
Attribution.geometric

Examples

data(attrib)
Frongello(rp = attrib.returns[, 21], rb = attrib.returns[, 22], attributions = attrib.allocation, adjusted = FALSE)

R-Finance/PortfolioAttribution documentation built on May 8, 2019, 4:48 a.m.