performance-attribution

Performance attribution decomposes excess returns into sector allocation, stock selection, factor exposures, and timing drivers. By applying Brinson analysis and multi-factor models, it quantifies where active decisions added or detracted value relative to the chosen benchmark.

Brinson analysis is a performance attribution technique that decomposes excess return into allocation, selection, and interaction effects. It isolates whether active value originated from overweighting specific sectors or from superior stock picking within those sectors.

You test market timing ability by running alpha/beta regressions alongside Treynor-Mazuy or Henriksson-Merton timing tests. These models reveal whether excess performance stems from systematic tactical exposures or genuine timing bets.

Factor series data is optional for multi-factor attribution. Basic Brinson decomposition requires only portfolio weights and benchmark returns, but including factor series enables alpha/beta regression and deeper factor exposure analysis.

Yes, you can generate a client-ready risk report from monthly backtest returns. The analysis combines rolling Sharpe ratios, information ratios, and capture ratios with benchmark comparisons to contextualize portfolio performance.