| returns {pa} | R Documentation |
Calculate the attribution results
Description
Calculate and display the attribution results. Allocation effect, selection effect, interaction, and active return are displayed for brinson analysis. Returns of user-defined input variables, portfolio return, benchmark return, and active return are shown for regression analysis.
Usage
returns(object, ...) Arguments
object |
An object of either class |
... |
Other options including type which refers to the
type of returns to be shown for regression analysis. They
include |
Value
When the input is an object of class brinson, return a list of
two matrices. The first one is the allocation, selection, and
interaction for each groups in the specified category. The second
matrix has 4 rows including Allocation, Selection,
Interaction, and Active Return.
When the input is an object of class brinsonMulti, return a
list including brison attribution for each individual period and the
aggregate.
When the input is an object of class regression, return a
matrix including contributions of input variables, Portfolio
Return, Benchmark Return, and Active Return.
When the input is an object of class regressionMulti, return a
list including regression analysis for each individual period and the
aggregate.
Author(s)
Yang Lu Yang.Lu@williams.edu
Examples
## Single-period brinson analysis
data(jan)
p1 <- brinson(x = jan, date.var = "date", cat.var = "sector",
bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var =
"return")
returns(p1)
## Multi-period brinson analysis
data(quarter)
p2 <- brinson(x = quarter, date.var = "date", cat.var = "sector",
bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var =
"return")
returns(p2, type = "linking")