pa (version 1.0)

brinson: Creating an object of either class brinson or class brinsonMulti

Description

Conduct Brinson analysis for equity portfolio attribution. Create a class object of either brinson for a single-period data set or brinsonMulti for a multi-period data set.

Usage

brinson(x, date.var = "date", cat.var = "sector", bench.weight =
"benchmark", portfolio.weight = "portfolio", ret.var = "return")

Arguments

x

A data frame containing the data from which brinson analysis will be conducted.

date.var

A character vector which indicates the name of the column in x to be used as a date for each observation. If the unique number of levels of date.var is one, a class object of brinson will be formed. If it is

cat.var

A character vector which indicates the name of the column in x to be used as categorical variables.

bench.weight

A character vector which indicates the name of the column or columns in x to be used as benchmark weight.

portfolio.weight

A character vector which indicates the name of the column or columns in x to be used as portfolio weight.

ret.var

A character vector which indicates the name of the column in x to be used as return variable.

Value

• Return an object of class brinson when there is only one unique date in the data frame x. Otherwise, an object of class brinsonMulti is returned.

Examples

## Single-period brinson analysis

data(jan)

p1 <- brinson(x = jan, date.var = "date", cat.var = "sector",
bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var =
"return")

summary(p1)

## Multi-period brinson analysis

data(quarter)

p2 <- brinson(x = quarter, date.var = "date", cat.var = "sector",
bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var =
"return")

summary(p2)