pa (version 1.2-4)

brinson-class: Class "brinson"

Description

Class brinson holds the results of an original portfolio, its benchmark, and the results of Brinson analysis of a single-period portfolio.

Slots

date.var:

Object of class "character" storing the date variable name.

cat.var:

Object of class "character" storing the name(s) of the categories in the Brinson analysis.

bench.weight:

Object of class "character" storing the name of the benchmark weight variable.

portfolio.weight:

Object of class "character" storing the name of the portfolio weight variable in the universe data frame.

ret.var:

Object of class "character" storing the name of the return variable.

weight.port:

Object of class "array" storing the weights of the input category of the portfolio.

weight.bench:

Object of class "array" storing the weights of the input category of the benchmark.

ret.port:

Object of class "array" storing the returns of the input category of the portfolio.

ret.bench:

Object of class "array" storing the returns of the input category of the benchmark.

q4:

Object of class "numeric" storing the information of the 4th quadrant in the brinson matrix. It refers to return of the benchmark portfolio.

q3:

Object of class "numeric" storing the information of the 3rd quadrant in the brinson matrix. It refers to return of the portfolio with benchmark sector weights and portfolio sector returns.

q2:

Object of class "numeric" storing the information of the 2nd quadrant in the brinson matrix. It refers to return of the portfolio with portfolio sector weights and benchmark sector returns.

q1:

Object of class "numeric" storing the information of the 1st quadrant in the brinson matrix. It refers to return of the original portfolio.

universe:

Object of class "data.frame" storing the data frame on which the Brinson attribution is based.

Methods

show

signature(object = "brinson"). Summarize the essential information about the portfolio.

summary

signature(object = "brinson"). Summarize the portfolio and the Brinson attribution.

exposure

signature(object = "brinson"). Calculate and display the exposure of the input category of a portfolio.

returns

signature(object = "brinson"). Calculate the contribution of various effects based on the Brinson analysis.

plot

signature(x = "brinson", var = "character", type = "character"). Plot the exposure or the return of a portfolio class object.

Author

Yang Lu

Examples

data(jan)

## Single-period brinson analysis

p1 <- brinson(x = jan, date.var = "date", cat.var = "sector",
    bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var
    = "return")

summary(p1)

exposure(p1, var = "sector")

returns(p1)

plot(p1, var = "sector", type = "exposure")

plot(p1, var = "sector", type = "return")