categoryReturnsChart
Description
categoryReturnsChart(
creates a
horizontal bar chart of portfolio and benchmark category returns, aggregated over all time
periods using a BrinsonPAObj
)brinsonAttribution
object.
additionally returns the figure handle h
= categoryReturnsChart(ax
,BrinsonPAObj
)h
.
Examples
Create Horizontal Bar Chart of Category Returns
This example shows how to create a brinsonAttribution
object that you can then use with the categoryReturnsChart
function to generate a bar chart of category returns.
Prepare Data
Create a table for the monthly prices for four assets.
GM =[17.82;22.68;19.37;20.28]; HD = [39.79;39.12;40.67;40.96]; KO = [38.98;39.44;40.00;40.20]; PG = [56.38;57.08;57.76;55.54]; MonthlyPrices = table(GM,HD,KO,PG);
Use tick2ret
to define the monthly returns.
MonthlyReturns = tick2ret(MonthlyPrices.Variables)'; [NumAssets,NumPeriods] = size(MonthlyReturns);
Define the periods.
Period = ones(NumAssets*NumPeriods,1); for k = 1:NumPeriods Period(k*NumAssets+1:end,1) = Period(k*NumAssets,1) + 1; end
Define the categories (sectors) for the four assets.
Name = repmat(string(MonthlyPrices.Properties.VariableNames(:)),NumPeriods,1); Categories = repmat(categorical([ ... "Consumer Discretionary"; ... "Consumer Discretionary"; ... "Consumer Staples"; ... "Consumer Staples"]),NumPeriods,1);
Define benchmark and portfolio weights.
BenchmarkWeight = repmat(1./NumAssets.*ones(NumAssets, 1),NumPeriods,1); PortfolioWeight = repmat([1;0;1;1]./3,NumPeriods,1);
Create AssetTable
Input
Create AssetTable
as the input for the brinsonAttribution
object.
AssetTable = table(Period, Name, ... MonthlyReturns(:), Categories, PortfolioWeight, BenchmarkWeight, ... VariableNames=["Period","Name","Return","Category","PortfolioWeight","BenchmarkWeight"])
AssetTable=12×6 table
Period Name Return Category PortfolioWeight BenchmarkWeight
______ ____ _________ ______________________ _______________ _______________
1 "GM" 0.27273 Consumer Discretionary 0.33333 0.25
1 "HD" -0.016838 Consumer Discretionary 0 0.25
1 "KO" 0.011801 Consumer Staples 0.33333 0.25
1 "PG" 0.012416 Consumer Staples 0.33333 0.25
2 "GM" -0.14594 Consumer Discretionary 0.33333 0.25
2 "HD" 0.039622 Consumer Discretionary 0 0.25
2 "KO" 0.014199 Consumer Staples 0.33333 0.25
2 "PG" 0.011913 Consumer Staples 0.33333 0.25
3 "GM" 0.04698 Consumer Discretionary 0.33333 0.25
3 "HD" 0.0071306 Consumer Discretionary 0 0.25
3 "KO" 0.005 Consumer Staples 0.33333 0.25
3 "PG" -0.038435 Consumer Staples 0.33333 0.25
Create brinsonAttribution
Object
Use brinsonAttribution
to create the brinsonAttribution
object.
BrinsonPAobj = brinsonAttribution(AssetTable)
BrinsonPAobj = brinsonAttribution with properties: NumAssets: 4 NumPortfolioAssets: 3 NumBenchmarkAssets: 4 NumPeriods: 3 NumCategories: 2 AssetName: [4x1 string] AssetReturn: [4x3 double] AssetCategory: [4x3 categorical] PortfolioAssetWeight: [4x3 double] BenchmarkAssetWeight: [4x3 double] PortfolioCategoryReturn: [2x3 double] BenchmarkCategoryReturn: [2x3 double] PortfolioCategoryWeight: [2x3 double] BenchmarkCategoryWeight: [2x3 double] PortfolioReturn: 0.0598 BenchmarkReturn: 0.0540 ActiveReturn: 0.0059
Generate Horizontal Bar Chart for Category Returns
Use the brinsonAttribution
object with categoryReturnsChart
to generate a horizontal bar chart of portfolio and benchmark category returns, aggregated over all time periods.
categoryReturnsChart(BrinsonPAobj)
Input Arguments
BrinsonPAObj
— brinsonAttribution
object to analyze performance attribution
brinsonAttribution
object
brinsonAttribution
object to analyze performance attribution. Use
brinsonAttribution
to
create the brinsonAttribution
object.
Data Types: object
ax
— Valid axis object
ax
object
(Optional) Valid axis object, specified as an ax
object that you
create using axes
.
categoryReturnsChart
creates the plot on the axes specified by the
optional ax
argument instead of on the current axes (gca). The
optional argument ax
can precede any of the input argument
combinations. If you do not specify an axes
object,
categoryReturnsChart
plots into the current axes.
Data Types: object
Output Arguments
h
— Figure handle
handle object
Figure handle for the category returns chart, returned as handle object. You can use the figure handle to access and change the properties of the chart.
Version History
Introduced in R2023a
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