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The R Journal
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Date of this Version
12-2013
Document Type
Article
Citation
The R Journal (December 2013) 5(2); Editor: Hadley Wickham
Abstract
The pa package provides tools for conducting performance attribution for long-only, single currency equity portfolios. The package uses two methods: the Brinson-Hood-Beebower model (hereafter referred to as the Brinson model) and a regression-based analysis. The Brinson model takes an ANOVA-type approach and decomposes the active return of any portfolio into asset allocation, stock selection, and interaction effect. The regression-based analysis utilizes estimated coefficients, based on a regression model, to attribute active return to different factors.
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Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2013, The R Foundation. Open access material. License: CC BY 3.0 Unported