An edited version of the data set based on Barra GEM2 data set in year 2010.
data(jan)A data frame with 3000 observations on the following 6 variables.
namename of a security
returna numeric vector
datea Date
sectoran ordered factor with levels Energy < Materials < Industrials < ConDiscre < ConStaples < HealthCare < Financials < InfoTech < TeleSvcs < Utilities
portfolioa numeric vector
benchmarka numeric vector
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.