Performance attribution for equity portfolis

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.