An edited version of the data set based on Barra GEM2 data set in year
2010.
Usage
data(year)
Arguments
Details
year contains all the information necessary to conduct a
multi-period Brinson analysis. date.var, cat.var, and
return identify the columns containing the date, the factor to
be analyzed, and the return variable,
respectively. bench.weight and portfolio.weight specify
the name of the benchmark weight column and that of the portfolio
weight column in the data frame.