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performance-attribution

Decompose portfolio excess returns into sector, stock, and factor attribution sources.

6.1k|1.2k|Updated Jun 9, 2022
Search Tags:#performance#analytics#portfolio#attribution#factor#brinson
One-click install
npx skills add https://github.com/charliedream1/ai_quant_trade --skill performance-attribution-charliedream1
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/charliedream1/ai_quant_trade/tree/main/a_%E5%85%A8%E7%BD%91%E4%BC%98%E7%A7%80%E8%B5%84%E6%BA%90/10_%E5%A4%A7%E6%A8%A1%E5%9E%8B/07_skill%E5%8C%85/vibe_trading_skills/performance-attribution
Command: npx skills add https://github.com/charliedream1/ai_quant_trade --skill performance-attribution-charliedream1

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Portfolio performance attribution breaks down excess returns into interpretable drivers, enabling precise understanding of value added or detracted from decisions.

Core Features & Use Cases

  • Brinson attribution (sector and stock allocation effects)
  • Factor attribution (alpha/beta decomposition, FF-style factors)
  • Market-timing and risk-adjusted performance evaluation
  • Benchmark-based diagnostics and visualization for reporting
  • Use cases include performance review, risk budgeting, and strategy evaluation across multi-asset portfolios.

Quick Start

Run the attribution workflow on your latest portfolio and benchmark data to produce a Brinson and factor attribution report.

Frequently Asked Questions about performance-attribution

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

FAQPage Schema
What is portfolio performance attribution and how does it explain excess returns?▼

Portfolio performance attribution decomposes excess returns into interpretable drivers like sector allocation, stock selection, and factor exposure, enabling precise understanding of value added or detracted from investment decisions.

How do I run a Brinson attribution analysis on my portfolio and benchmark data?▼

Run the attribution workflow on your historical portfolio and benchmark data to perform Brinson attribution, producing a structured report with metrics and visual summaries that explain sector and stock allocation effects.

Can I use multi-factor attribution for alpha-beta decomposition in an equity portfolio?▼

Yes, this skill supports factor attribution including alpha-beta decomposition and FF-style factors for equity portfolios, provided you supply historical holdings and benchmark data to evaluate risk-adjusted performance.

Does performance attribution work for multi-asset portfolios or only equity strategies?▼

Performance attribution is applicable to both equity and multi-asset portfolios, supporting Brinson, alpha-beta, and timing models to inform performance review, risk management, and strategy evaluation across diverse holdings.

What's the best way to evaluate market-timing and risk-adjusted performance for strategy review?▼

The best way is to run benchmark-based diagnostics using the attribution workflow, which evaluates market-timing and risk-adjusted performance, outputting visual summaries structured for performance reporting and risk budgeting.

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