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Performance Attribution

Compute and analyze performance attribution using the Brinson model

Performance attribution supports methods for single periods over relatively short time spans (monthly) and multiple periods compounded over longer time spans (quarterly or a yearly). Use brinsonAttribution to create a brinsonAttribution object. Use the brinsonAttribution object with the categoryAttribution, categoryReturns, categoryWeights, totalAttribution, and summary functions.

Objects

brinsonAttributionCreate brinsonAttribution object to analyze performance attribution

Functions

categoryAttributionCompute performance attribution for portfolio of each category
categoryReturnsCompute aggregate and periodic category returns
categoryWeightsCompute average and periodic category weights
totalAttributionCompute total performance attribution by Brinson model
summarySummarize performance attribution by Brinson model

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