[R-SIG-Finance] performance attribution output
Bos, Roger
roger.bos at rothschild.com
Wed Jun 5 22:17:17 CEST 2013
I have been trying out the performance attribution package and find it very interesting, but I can't figure out how to get the output into a data.frame or other object that would make it easy for me to store it. Here is some example code:
library(pa)
data(jan)
br.single <- brinson(x = jan, date.var = "date", cat.var = "sector", bench.weight = "benchmark", portfolio.weight = "portfolio", ret.var = "return")
summary(br.single)
Running this example will produce the following output (which looks better in R than it does here)
Period: 2010-01-01
Methodology: Brinson
Securities in the portfolio: 200
Securities in the benchmark: 1000
Exposures
Portfolio Benchmark Diff
Energy 0.085 0.2782 -0.19319
Materials 0.070 0.0277 0.04230
Industrials 0.045 0.0330 0.01201
ConDiscre 0.050 0.0188 0.03124
ConStaples 0.030 0.0148 0.01518
HealthCare 0.015 0.0608 -0.04576
Financials 0.370 0.2979 0.07215
InfoTech 0.005 0.0129 -0.00787
TeleSvcs 0.300 0.1921 0.10792
Utilities 0.030 0.0640 -0.03399
Returns
$`Attribution by category in bps`
Allocation Selection Interaction
Energy 110.934 -37.52 26.059
Materials -41.534 0.48 0.734
Industrials 0.361 1.30 0.473
ConDiscre -28.688 -4.23 -7.044
ConStaples 5.467 -3.59 -3.673
HealthCare -6.692 -4.07 3.063
Financials -43.998 70.13 16.988
InfoTech -3.255 -5.32 3.255
TeleSvcs -23.106 41.55 23.348
Utilities 16.544 83.03 -44.108
Total -13.966 141.77 19.095
$Aggregate
2010-01-01
Allocation Effect -0.00140
Selection Effect 0.01418
Interaction Effect 0.00191
Active Return 0.01469
My question is, how can I, say, save the $Aggregate output into a data.frame? I have been trying to read about S4 objects, but I am still not able to figure this out. As long as I am asking, could anyone tell me how to see the code behind the "summary" function being used here? The following is not very enlightening:
> showMethods("summary", classes="brinson")
Function: summary (package base)
object="brinson"
Thanks in advance for any help!
More information about the R-SIG-Finance
mailing list