[R-SIG-Finance] performance attribution

[Brian G. Peterson]

Ben,

The Brinson model is a multi-factor model.

We're working on a package with Eric Zivot to do generalized
multi-factor modeling for finance in R, but right now you can reference
Eric's website for two recent seminars he's given on factor models for
attribution here:

http://faculty.washington.edu/ezivot/ezresearch.htm#Invited%20Lectures

code and slides are all there.

Regards,

   - Brian


On Thu, 2011-05-12 at 18:08 -0600, Ben Nachtrieb wrote:
> Hello,
> 
> Posting again with more detail...
> 
> Can someone point me to a package that has portfolio performance and
> exposure
> attribution? I searched, but could not find what I was looking for.
> Something like what our Bloomberg Terminal has, but I need to have the
> ability to modify it so it includes non-equities related exposures and
> returns etc. I realized there is a benchmark issue with non-equity
> securities...
> 
> I'm looking to determine return from selection, allocation, currency, and
> interaction (Brinson Attribution). I also want to look at exposures and
> associated returns from exposures. Standard PA stuff. We will have daily
> portfolio transaction data.
> 
> Thanks!
> 
> Ben
> 
> On Tue, 2011-05-10 at 19:50 -0600, Ben Nachtrieb wrote:
> > Can someone point me to a package that has portfolio performance
> > attribution? I searched, but could not find what I was looking for.
> 
> Could you be more specific, please?
> 
> Which particular attribution methods are you looking for?  References?
> 
> That would help me (and others) narrow in on functions that may do what
> you want.
> 
> Regards,
> 
>  - Brian
> 
> 

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock