pa (version 1.2-4)

Performance Attribution for Equity Portfolios

Description

It 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

277

Version

1.2-4

License

GPL-2

Maintainer

Yang Lu

Last Published

August 21st, 2023

Functions in pa (1.2-4)

regressionMulti-class

Class "regressionMulti"

year

Edited Barra data set in year 2010.

summary

Provide a summary for Brinson or regression analysis

brinsonMulti-class

Class "brinsonMulti"

quarter

Edited Barra data set for Q1, 2010.

pa-internal

Internal functions in the package

pa-package

Brinson analysis for equity portfolios

exposure

Calculate and display the sector exposure of a portfolio

brinson-class

Class "brinson"

plot-methods

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

brinson

Creating an object of either class brinson or class brinsonMulti

regress

Create an object of either class regress or class regressMulti

jan

Edited Barra data set in Jan. 2010.

test

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

returns

Calculate the attribution results

regression-class

Class "regression"