What problem does it solve?
Decompose a portfolio's excess returns into explainable sources so analysts can understand why performance occurred rather than only how much was earned. The Skill clarifies contributions from sector allocation, stock selection, interaction effects, factor exposures, and market-timing decisions to support more transparent performance review and decision-making.
Core Features & Use Cases
- Brinson Attribution: Single-period decomposition into allocation, selection, and interaction effects and guidance for linked multi-period attribution to reduce residuals.
- Factor Decomposition & Alpha/Beta: OLS regression templates for single- and multi-factor models (market, SMB, HML, MOM) to quantify alpha, betas, and factor contributions.
- Timing Evaluation & Rolling Analysis: Implements Treynor-Mazuy and Henriksson-Merton timing tests, bull/bear capture metrics, and rolling-window Sharpe, beta, and information ratio for style drift detection.
- Use Case: Turn a backtest or live trade journal plus a chosen benchmark into an attribution report that highlights whether excess returns came from sector bets, stock-picking, factor tilts, or timing skill.
Quick Start
Run a Brinson sector attribution and multi-factor regression on your portfolio returns against a chosen benchmark to produce an attribution report.
