PMwR (version 0.11-0)

rc: Return Contribution

Description

Return contribution of portfolio segments.

Usage

rc(R, weights, timestamp, segments = NULL)

Arguments

R

returns: a numeric matrix

weights

the segment weights: a numeric matrix. weights[i,j] must correspond to R[i,j]

timestamp

character or numeric

segments

character. If missing, column names of R or of weights are used (if they are not NULL).

Value

A list of two components

period_contributions

a data.frame

total_contributions

a numeric vector

Details

The function computes segment contribution, potentially over time. Returns and weights must be arranged in matrices, with rows corresponding to time periods and columns to portfolio segments

Weights can be missing, in which case R is assumed to already comprise segment returns.

References

Feibel, Bruce (2003), Investment Performance Measurement, Wiley.

See Also

returns

Examples

# NOT RUN {
weights <- rbind(c( 0.25, 0.75),
                 c( 0.40, 0.60),
                 c( 0.25, 0.75))

R <- rbind(c( 1  ,    0),
           c( 2.5, -1.0),
           c(-2  ,  0.5))/100

rc(R, weights, segment = c("equities", "bonds"))
# }