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

brinsonAttribution Create brinsonAttribution object to analyze performance attribution

`categoryAttribution`	Compute performance attribution for portfolio of each category
`categoryReturns`	Compute aggregate and periodic category returns
`categoryWeights`	Compute average and periodic category weights
`totalAttribution`	Compute total performance attribution by Brinson model
`summary`	Summarize performance attribution by Brinson model

Analyze Performance Attribution Using Brinson Model
This example shows how to prepare data, create a brinsonAttribution object, and then analyze the performance attribution with respect to category (sector) weights and returns.