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> ## summary.test.R
> ## Yang Lu Yang.Lu@williams.edu
> 
> library(pa)
> 
> ## data(jan)
> ## b1 <- brinson(x = jan)
> ## truth <- summary(b1)
> ## data(quarter)
> ## b2 <- brinson(x = quarter)
> ## truth.multi <- summary(b2)
> ## save(truth, truth.multi, file = "summary.test.RData")
> 
> 
> load("summary.test.RData")
> 
> ## Single-period
> 
> data(jan)
> b1 <- brinson(x = jan)
> result <- summary(b1)
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


> stopifnot(all.equal(result, truth))
> 
> ## Multi-period
> 
> data(quarter)
> b2 <- brinson(x = quarter)
> result.multi <- summary(b2)
Period starts:                       2010-01-01
Period ends:                         2010-03-01
Methodology:                         Brinson
Avg securities in the portfolio:     200
Avg securities in the benchmark:     1000

Exposures 
$Portfolio
            2010-01-01 2010-02-01 2010-03-01
Energy           0.085      0.085      0.085
Materials        0.070      0.070      0.070
Industrials      0.045      0.045      0.045
ConDiscre        0.050      0.050      0.050
ConStaples       0.030      0.030      0.030
HealthCare       0.015      0.015      0.015
Financials       0.370      0.370      0.370
InfoTech         0.005      0.005      0.005
TeleSvcs         0.300      0.300      0.300
Utilities        0.030      0.030      0.030

$Benchmark
            2010-01-01 2010-02-01 2010-03-01
Energy          0.2782     0.2667    0.26985
Materials       0.0277     0.0354    0.02493
Industrials     0.0330     0.0357    0.03809
ConDiscre       0.0188     0.0196    0.01676
ConStaples      0.0148     0.0137    0.01381
HealthCare      0.0608     0.0590    0.07144
Financials      0.2979     0.2943    0.30752
InfoTech        0.0129     0.0119    0.00616
TeleSvcs        0.1921     0.1983    0.19225
Utilities       0.0640     0.0656    0.05919

$Diff
            2010-01-01 2010-02-01 2010-03-01
Energy        -0.19319    -0.1817   -0.18485
Materials      0.04230     0.0346    0.04507
Industrials    0.01201     0.0093    0.00691
ConDiscre      0.03124     0.0304    0.03324
ConStaples     0.01518     0.0163    0.01619
HealthCare    -0.04576    -0.0440   -0.05644
Financials     0.07215     0.0757    0.06248
InfoTech      -0.00787    -0.0069   -0.00116
TeleSvcs       0.10792     0.1017    0.10775
Utilities     -0.03399    -0.0356   -0.02919


Returns 
$Raw
              2010-01-01 2010-02-01 2010-03-01
Allocation       -0.0014     0.0062     0.0047
Selection         0.0142     0.0173    -0.0154
Interaction       0.0019    -0.0072    -0.0089
Active Return     0.0147     0.0163    -0.0196

$Aggregate
              2010-01-01, 2010-03-01
Allocation                    0.0092
Selection                     0.0173
Interaction                  -0.0139
Active Return                 0.0127


> stopifnot(all.equal(result.multi, truth.multi))
> 
> 
> proc.time()
   user  system elapsed 
   1.40    0.26    1.62