pa package in R - performance attribution

General
2

I'm not familiar with the package, but it looks like the arguments for brinson() have specific requirements:

  • x A data frame containing the data from which brinson analysis will be conducted.
  • date.var A character vector which indicates the name of the column in x to be used as a date for each observation. If the unique number of levels of date.var is one, a class object of brinson will be formed. If it is more than one, a class object of brinsonMulti will be formed.
  • cat.var A character vector which indicates the name of the column in x to be used as categorical variables.
  • bench.weight A character vector which indicates the name of the column or columns in x to be used as benchmark weight.
  • portfolio.weight A character vector which indicates the name of the column or columns in x to be used as portfolio weight.
  • ret.var A character vector which indicates the name of the column in x to be used as return variable.

I'm able to create a reproducible example from the vignette, so the package itself seems to be working as it should:

library(pa)
#> Loading required package: grid
data(jan)
br.single <- brinson(x = jan, date.var = "date",
                     cat.var = "sector",
                     bench.weight = "benchmark",
                     portfolio.weight = "portfolio",
                     ret.var = "return")
br.single
#> Period:                              2010-01-01
#> Methodology:                         Brinson
#> Securities in the portfolio:         200
#> Securities in the benchmark:         1000

Created on 2019-02-14 by the reprex package (v0.2.1.9000)

Could you please turn this into a self-contained reprex (short for reproducible example)? It will help us help you if we can be sure we're all working with/looking at the same stuff.

install.packages("reprex")

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