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pa (version 1.2-1)

Performance Attribution for Equity Portfolios

Description

A package that provides tools for conducting performance attribution for equity portfolios. The package uses two methods: the Brinson method and a regression-based analysis.

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Version

Install

install.packages('pa')

Monthly Downloads

275

Version

1.2-1

License

GPL-2

Maintainer

Yang Lu

Last Published

December 21st, 2013

Functions in pa (1.2-1)

test

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

exposure

Calculate and display the sector exposure of a portfolio

regressionMulti-class

Class "regressionMulti"

brinson-class

Class "brinson"

pa-package

Brinson analysis for equity portfolios

returns

Calculate the attribution results

brinson

Creating an object of either class brinson or class brinsonMulti

pa-internal

Internal functions in the package

plot-methods

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

summary

Provide a summary for Brinson or regression analysis

regression-class

Class "regression"

regress

Create an object of either class regress or class regressMulti

quarter

Edited Barra data set for Q1, 2010.

brinsonMulti-class

Class "brinsonMulti"

year

Edited Barra data set in year 2010.

jan

Edited Barra data set in Jan. 2010.