Decompose portfolio active returns into allocation, selection, and interaction effects.
npx skills add https://github.com/tmcga/alpha-stack --skill attribution-tmcga
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
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.
Provide beginning-of-period weights and returns for both portfolio and benchmark, then run the attribution workflow to generate the report.
High-intent search queries and answers about installing and using this skill.
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.
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.
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.
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.
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.
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.
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