The R Journal: article published in 2013, volume 5:2

Performance Attribution for Equity Portfolios
Yang Lu and David Kane , The R Journal (2013) 5:2, pages 53-62.

Abstract 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.

Received: 2012-10-11; online 2013-09-23
CRAN packages: pa, portfolio, PerformanceAnalytics, portfolio
CRAN Task Views implied by cited CRAN packages: Finance

This article is licensed under a Creative Commons Attribution 3.0 Unported license .

@article{RJ-2013-025,
  author = {Yang Lu and David Kane},
  title = {{Performance Attribution for Equity Portfolios}},
  year = {2013},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2013-025},
  url = {https://doi.org/10.32614/RJ-2013-025},
  pages = {53--62},
  volume = {5},
  number = {2}
}