A edited version of the data set jan. test contains all the
information necessary to conduct a single-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. In the paper, we use this data set to showcase that the Brinson model
is a special case of the regression approach.
In this data set, the universe of the portfolio is assumed to be the
same as the benchmark.