performance-attribution

Break down portfolio excess returns into allocation, selection, and timing contributions.

30.4k|4.9k|Updated Apr 1, 2026

Search Tags:#brinson #portfolio-analytics #factor-analysis #performance-attribution #timing-evaluation #benchmark-comparison

Ready to run

npx skills add https://github.com/HKUDS/Vibe-Trading --skill performance-attribution-hkuds

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/HKUDS/Vibe-Trading/tree/main/agent/src/skills/performance-attribution
Command: npx skills add https://github.com/HKUDS/Vibe-Trading --skill performance-attribution-hkuds

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Portfolio managers and analysts often report returns without explaining the drivers, and this Skill reveals how allocation, selection, factors, and timing contributed to excess performance so stakeholders understand why a strategy gained or lost money.

Core Features & Use Cases

Brinson attribution shows how sector weights and stock picks added or subtracted from benchmark performance across single-period and linked multi-period horizons.
Factor exposure and timing evaluation provide alpha-beta decompositions, multi-factor regressions, and Treynor-Mazuy or Henriksson-Merton timing signals for systematic analysis.
Benchmark comparison and reporting highlights appropriate benchmarks, risk-adjusted metrics like Sharpe/Sortino/Information ratios, and style drift insights for investor communications.

Quick Start

Tell the agent to run performance attribution on your China A-share portfolio using the latest backtest metrics versus the CSI 300 benchmark.

Frequently Asked Questions about performance-attribution

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

FAQPage Schema

How do I break down portfolio excess returns into allocation and selection contributions?▼

You can break down portfolio excess returns into allocation and selection contributions by running Brinson attribution analysis, which compares your sector weights and stock picks against an appropriate benchmark across single or multi-period horizons.

How does Brinson attribution work for multi-period performance evaluation?▼

Brinson attribution for multi-period evaluation links single-period excess returns to show how continuous sector weights and stock selection decisions contributed to overall benchmark outperformance over extended time horizons.

Can I evaluate market timing ability using Treynor-Mazuy and Henriksson-Manton signals?▼

Yes, you can evaluate market timing ability by applying Treynor-Mazuy or Henriksson-Manton timing models, which generate signals to determine if your strategy successfully timed market movements relative to systematic risk factors.

What is the best way to analyze factor exposures and alpha-beta decompositions for a strategy?▼

The best way to analyze factor exposures and alpha-beta decompositions is through multi-factor regression analysis, which identifies systematic drivers and separates alpha from beta across your portfolio's investment strategies.

Does this performance attribution method support risk-adjusted benchmark comparison reporting?▼

Yes, this performance attribution method supports risk-adjusted benchmark comparison reporting by calculating Sharpe, Sortino, and Information ratios to highlight style drift and transparent risk-adjusted performance for investor communications.

How do I run performance attribution on a China A-share portfolio versus the CSI 300?▼

You can run performance attribution on a China A-share portfolio versus the CSI 300 by instructing your agent to process your latest backtest metrics, delivering Brinson attributions and regression-based factor exposures for comparison.