attribution

Decompose portfolio active returns into allocation, selection, and interaction effects.

2|Updated Mar 26, 2026

Search Tags:#analytics #portfolio #attribution #risk #factor #brinson-fachler #multi-period

Ready to run

npx skills add https://github.com/tmcga/alpha-stack --skill attribution-tmcga

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: attribution
Source: https://github.com/tmcga/alpha-stack/tree/main/skills/attribution
Command: npx skills add https://github.com/tmcga/alpha-stack --skill attribution-tmcga

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Analysts need to understand what drove portfolio returns—whether value came from allocation, stock picking, or both—and to quantify how much each source contributed across periods.

Core Features & Use Cases

Brinson-Fachler attribution (allocation, selection, and interaction) to explain active returns.
Multi-period attribution with Carino or GRAP linking to produce consistent cumulative results.
Factor-based attribution to separate alpha from factor exposures.
Currency and fixed-income attribution support for multi-asset portfolios.
Fully structured Attribution Report with per-sector detail, waterfall visuals, and interpretation.

Quick Start

Provide beginning-of-period weights and returns for both portfolio and benchmark, then run the attribution workflow to generate the report.

Frequently Asked Questions about attribution

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I decompose portfolio active return into allocation and selection effects?▼

Portfolio active return decomposition breaks down performance into allocation, selection, and interaction effects using Brinson-Fachler attribution. You provide beginning-of-period weights and returns for both portfolio and benchmark to quantify each source's contribution.

What is multi-period attribution and how does it link returns consistently?▼

Multi-period attribution uses Carino or GRAP linking methods to produce consistent cumulative results across several periods. This approach ensures that aggregated allocation and selection effects reconcile with total portfolio active return over time.

Can I separate alpha from factor exposures in portfolio performance analysis?▼

Factor-based attribution separates alpha from factor exposures by incorporating optional factor data alongside portfolio and benchmark weights. This analysis diagnoses whether returns derive from systematic factor risks or active manager skill.

Does this attribution method support fixed-income and currency effects for multi-asset portfolios?▼

Currency and fixed-income attribution support is available for multi-asset portfolios to diagnose performance drivers. The structured Attribution Report details sector contributions and interprets currency impacts alongside allocation and selection effects.

What data do I need to run a Brinson-Fachler attribution report?▼

Running Brinson-Fachler attribution requires beginning-of-period weights and returns for both the portfolio and the benchmark. Optionally, you can provide factor data to generate a structured report with per-sector detail and waterfall visuals.

Why does my portfolio attribution show large interaction effects?▼

Large interaction effects in portfolio attribution occur when allocation and selection decisions overlap within sectors. The Brinson-Fachler framework isolates this residual component to help you diagnose whether value came from asset allocation, stock picking, or both.