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pa (version 1.0)

Performance Attribution for Equity Portfolios

Description

A package that performs equity portfolio attribution.

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Version

Install

install.packages('pa')

Monthly Downloads

238

Version

1.0

License

GPL-2

Maintainer

Yang Lu

Last Published

June 30th, 2012

Functions in pa (1.0)

year

Edited Barra data set in year 2010.
quarter

Edited Barra data set for Q1, 2010.
summary

Provide a summary for Brinson or regression analysis
returns

Calculate the attribution results
regression-class

Class "regression"
brinson-class

Class "brinson"
test

A sample portfolio edited based on Barra data set in Jan. 2010.
brinsonMulti-class

Class "brinsonMulti"
plot-methods

Plot the exposure or the return of a brinson, brinsonMulti, regression or regressionMulti object
jan

Edited Barra data set in Jan. 2010.
regressionMulti-class

Class "regressionMulti"
exposure

Calculate and display the sector exposure of a portfolio
brinson

Creating an object of either class brinson or class brinsonMulti
regress

Create an object of either class regress or class regressMulti
pa-package

Brinson analysis for equity portfolios
pa-internal

Internal functions in the package