performance-attribution

Portfolio excess returns are decomposed using Brinson attribution to break down performance into allocation, selection, and interaction effects, evaluating sector-level performance against specific benchmarks.

To isolate manager alpha from market beta, Fama-French extensions are applied to perform regression-based alpha-beta decomposition, separating stock-picking skill from systematic market exposure.

Market timing evaluation applies Treynor-Mazuy and Henriksson-Merton models to historical return data and benchmark indices, determining whether active timing decisions add value to the portfolio.

Yes, quantitative analysis of investment strategies supports specific benchmarks like CSI 300 or S&P 500, requiring historical return data and benchmark indices to calculate risk-adjusted metrics.

Historical return data and benchmark indices are required because regression-based alpha-beta decomposition and market timing models depend on time-series data to calculate accurate risk-adjusted metrics.

Brinson attribution focuses on sector allocation and stock selection effects but does not independently evaluate factor exposure or market timing, requiring additional models like Fama-French for comprehensive factor decomposition.