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
Text and figures are licensed under Creative Commons Attribution CC BY 4.0. The figures that have been reused from other sources don't fall under this license and can be recognized by a note in their caption: "Figure from ...".
For attribution, please cite this work as
Lu & Kane, "Performance Attribution for Equity Portfolios", The R Journal, 2013
BibTeX citation
@article{RJ-2013-025, author = {Lu, Yang and Kane, David}, title = {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} }