fit.contribution: fit.contribution

In rogerjbos/fit.factor.models: Factor models for attribution and risk

Description

Helper function to show contributions nicely. The periodic contributions from attribution cannot be cummulated to longer time periods so the carino adjustment is made as per Carino (1999).

Usage

fit.contribution(fit, bm.wgt.var, port.wgt.var)

Arguments

fit	list output from "fit.attribution"
bm.wgt.var	string name of benchmark weight column (in fitdata passed to "fit.attribution")
port.wgt.var	string name of portfolio weight column (in fitdata passed to "fit.attribution")

Value

An object with S3 class "fir.factor.models" containing:

returns a table of periodic returns

returns.table a table of aggregate and annualized returns

Author(s)

Roger J. Bos, [e-mail]

References

David R Carino, Combining Attribution Effects Over Time, The Journal of Performance Measurement, pages 5 - 14.

Examples

stock <- as.data.table(stock)
stock[TICKER %in% c('SUNW','ORCL','MSFT'), portfolioWeight := 1/3, by=DATE]
stock[is.na(portfolioWeight), portfolioWeight := 0]
stock[, benchmarkWeight := 1/.N, by=DATE]
fit <- fit.attribution(fitdata = stock, date.var = 'DATE', id.var = 'TICKER', return.var = 'RETURN',
                       weight.var = 'LOG.MARKETCAP', exposure.vars = c('NET.SALES','BOOK2MARKET','GICS.SECTOR'),
                       rob.stats = TRUE, full.resid.cov = FALSE, z.score = FALSE,
                       stdReturn = TRUE, resid.EWMA = TRUE)
cfit <-fit.contribution(fit, bm.wgt.var = 'benchmarkWeight', port.wgt.var = 'portfolioWeight')

rogerjbos/fit.factor.models documentation built on July 23, 2020, 3:44 p.m.