performance-attribution

To decompose portfolio excess returns, you can use the Brinson-Fachler model to isolate sector allocation, stock selection, and interaction effects. This identifies whether outperformance stems from deliberate asset weighting or specific security choices.

Analyzing portfolio exposure to market, size, and value factors is best achieved using Fama-French models. This factor alpha and beta decomposition quantifies risk-adjusted performance metrics to reveal underlying investment strategy drivers.

Yes, you can evaluate market-timing skill using Treynor-Mazuy and Henriksson-Merton models. These models assess manager skill in timing market movements by measuring the portfolio's sensitivity to market returns across different market conditions.

To justify investment strategy outperformance against a benchmark, apply performance attribution to prove returns were driven by deliberate stock selection rather than just high market beta. This provides rigorous risk-adjusted metrics for stakeholders.

Yes, performance attribution works with various asset classes and market benchmarks. It supports quantitative analysis of investment strategies by comparing portfolio returns against specified benchmarks like the CSI 300.