performance-attribution

Name: performance-attribution
Availability: InStock
Author: daddyelonmusk69

Decompose portfolio excess returns into allocation, selection, and timing metrics.

Updated Apr 12, 2026

Search Tags:#portfolio analysis #market timing #performance attribution #brinson #factor analysis #benchmark comparison

Ready to run

npx skills add https://github.com/DaddyElonMusk69/motis-agent --skill performance-attribution-daddyelonmusk69

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/DaddyElonMusk69/motis-agent/tree/main/skills/finance/performance-attribution
Command: npx skills add https://github.com/DaddyElonMusk69/motis-agent --skill performance-attribution-daddyelonmusk69

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Investors and portfolio managers struggle to understand why a strategy outperforms or underperforms its benchmark. This skill breaks down portfolio excess returns into explainable sources such as sector allocation, stock selection, factor exposures, and timing effects.

Core Features & Use Cases

Brinson attribution: calculates allocation, selection, and interaction effects for sector or stock-level analysis.
Factor alpha/beta decomposition: runs single-factor or multi-factor (e.g., Fama-French) regressions to isolate manager skill and systematic risk.
Market‑timing evaluation: applies Treynor‑Mazuy and Henriksson‑Merton models to assess timing ability.
Benchmark comparison: generates risk-adjusted performance metrics (Sharpe, Sortino, Information Ratio) against a chosen benchmark.
Use case example: a quarterly equity fund wants a detailed attribution report that explains the 4% excess return over the S&P 500.

Quick Start

Run the performance attribution skill on my Q1 portfolio data against the S&P 500 benchmark to get a detailed attribution report.

Frequently Asked Questions about performance-attribution

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

FAQPage Schema

How do I perform performance attribution analysis on portfolio returns against a benchmark?▼

Performance attribution analysis breaks down portfolio excess returns into explainable sources by applying Brinson sector attribution, factor alpha/beta decomposition, and market-timing evaluation against a chosen benchmark using portfolio and benchmark return series.

What is Brinson attribution and how does it explain sector allocation effects?▼

Brinson attribution calculates allocation, selection, and interaction effects for sector or stock-level analysis. It isolates how overweighting or underweighting specific sectors contributes to excess returns relative to the portfolio's benchmark comparison.

Can I use Fama-French factor analysis to isolate manager skill and systematic risk?▼

Factor alpha/beta decomposition runs single-factor or multi-factor regressions like Fama-French to isolate manager skill and systematic risk. This performance attribution technique separates true alpha generation from passive factor exposures.

How do I evaluate market timing ability using Treynor-Mazuy or Henriksson-Merton models?▼

Market-timing evaluation applies Treynor-Mazuy and Henriksson-Merton models to assess timing ability within performance attribution. These models measure how successfully a manager adjusts portfolio exposure in response to market movements.

What data do I need to calculate risk-adjusted performance metrics for benchmark comparison?▼

Risk-adjusted performance metrics like Sharpe, Sortino, and Information Ratio require portfolio and benchmark return series, sector weights, and factor data. These inputs generate comprehensive benchmark comparison reports during performance attribution.

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

Performance attribution applies to equity or multi-asset portfolios for calculating allocation, selection, interaction, and timing metrics. It supports detailed attribution reports explaining excess returns over benchmarks like the S&P 500.