performance-attribution

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.

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.

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.

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.

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.

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.