Performance Attribution for Equity Portfolios

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.

Yang Lu , David Kane

CRAN packages used

pa, portfolio, PerformanceAnalytics, portfolio

CRAN Task Views implied by cited packages



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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

  author = {Lu, Yang and Kane, David},
  title = {The R Journal: Performance Attribution for Equity Portfolios},
  journal = {The R Journal},
  year = {2013},
  note = {},
  doi = {10.32614/RJ-2013-025},
  volume = {5},
  issue = {2},
  issn = {2073-4859},
  pages = {53-62}