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.
pa, portfolio, PerformanceAnalytics, portfolio
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For attribution, please cite this work as
Lu & Kane, "The R Journal: Performance Attribution for Equity Portfolios", The R Journal, 2013
BibTeX citation
@article{RJ-2013-025,
author = {Lu, Yang and Kane, David},
title = {The R Journal: Performance Attribution for Equity Portfolios},
journal = {The R Journal},
year = {2013},
note = {https://doi.org/10.32614/RJ-2013-025},
doi = {10.32614/RJ-2013-025},
volume = {5},
issue = {2},
issn = {2073-4859},
pages = {53-62}
}