Dear members of R-Sig-Finance,

Version 1.2 of the R package 'pa' is now available
on CRAN. This package provides tools for conducting
equity portfolio attribution. Two methods included
in the package are the Brinson Method and a
regression-based analysis. The new version allows
users to view attribution results for sub-categories
based on the Brinson Method.

URL:
http://cran.at.r-project.org/web/packages/pa/index.html

It also includes a vignette at
http://cran.at.r-project.org/web/packages/pa/vignettes/pa.pdf.

Sample code for the Brinson Method:

> 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)

> plot(br.single, var = "sector", type = "return")

Sample code for the regression-based analysis:

> data(jan)

> rb.single <- regress(jan, date.var = "date",
ret.var = "return", reg.var = c("sector", "growth",
"size"), benchmark.weight = "benchmark",
portfolio.weight = "portfolio")

> exposure(rb.single, var = "growth")

Best regards,

Yang

Yang Lu '14
SU 2896 Paresky Center
Williams College, MA
(413)884-4847

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