skills.rest
GGwujun
GGwujunCOMMUNITY
Explore all skills by this author →
GitHub

performance-attribution

Decompose portfolio excess returns into allocation, selection, and interaction effects.

Updated Jun 12, 2026
Search Tags:#performance#portfolio#benchmark#attribution#factor#Brinson
One-click install
npx skills add https://github.com/GGwujun/SigmX --skill performance-attribution-ggwujun
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/GGwujun/SigmX/tree/main/agent/src/skills/performance-attribution
Command: npx skills add https://github.com/GGwujun/SigmX --skill performance-attribution-ggwujun

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Performance attribution helps explain why a portfolio outperformed or underperformed by decomposing excess returns into contributions from sector allocation, stock selection, factor exposures, and timing.

Core Features & Use Cases

  • Brinson attribution for sector allocation, stock selection, and interaction to reveal driving factors.
  • Factor attribution (alpha/beta decomposition) including multi-factor exposure (MKT, SMB, HML, MOM) for deeper insight.
  • Market-timing evaluation using classic models to assess timing skills and risk dynamics.
  • End-to-end reporting templates covering overview, attribution breakdown, factor exposure, and actionable conclusions.

Quick Start

Run an attribution analysis for a given portfolio against a benchmark to generate a full report.

Frequently Asked Questions about performance-attribution

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

FAQPage Schema
How do I decompose portfolio excess return into allocation and selection effects?▼

You need period weights and returns for both the portfolio and the benchmark. Providing these inputs allows the analysis to generate a comprehensive attribution report covering overview, breakdown, factor exposure, and conclusions.

What is Brinson attribution and how does it explain portfolio performance?▼

Factor attribution decomposes returns using alpha and beta breakdowns across multi-factor exposures like MKT, SMB, HML, and MOM. This provides deeper insight into how specific market factors drive portfolio performance beyond basic sector allocation.

Can I evaluate market timing skills using multi-factor attribution models?▼

This analysis supports performance reporting ranging from daily to monthly periods. It generates end-to-end reporting templates that cover the overview, attribution breakdown, factor exposure, and actionable conclusions for the evaluated timeframe.

How do I generate a performance attribution report for my portfolio?▼

Yes, attribution analysis handles both sector allocation and stock selection evaluation simultaneously. It applies Brinson attribution to reveal driving factors across both dimensions, along with interaction effects, to comprehensively explain excess returns.

Related Skills

Explore More Data & Analytics Skills→
loanntcloanntc

performance-attribution

Decompose portfolio excess returns into sector allocation, stock selection, factor exposure, and market-timing contributions.

Community
Advanced
Liangwei-zhangLiangwei-zhang

performance-attribution

Perform Brinson-style attribution and factor decomposition of portfolio returns against a benchmark.

Community
Advanced
philipcoller-777philipcoller-777

performance-attribution

Decompose portfolio excess returns into allocation, selection, timing, and factor exposures.

Community
Advanced
Snowflake-LabsSnowflake-Labs
12

multi-level-attribution

Decompose portfolio excess returns into allocation, selection, and interaction effects using Brinson analysis.

Official
Advanced