performance-attribution

Decompose portfolio excess returns into sector, selection, factor, and timing contributions.

Updated Apr 9, 2026

Search Tags:#benchmarking #risk-metrics #brinson #factor-analysis #performance-attribution #portfolio-insights #timing-metrics

Ready to run

npx skills add https://github.com/JacobHsu/vibe-trading-agent --skill performance-attribution-jacobhsu

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/JacobHsu/vibe-trading-agent/tree/main/agent/src/skills/performance-attribution
Command: npx skills add https://github.com/JacobHsu/vibe-trading-agent --skill performance-attribution-jacobhsu

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill turns confusing excess returns into explainable contributions across sectors, stocks, factors, and timing so you no longer guess why a strategy performed the way it did.

Core Features & Use Cases

Brinson sector and stock selection analysis: Decomposes allocation, selection, and interaction effects to quantify where active decisions added or detracted value.
Factor and market timing decomposition: Runs alpha/beta regression plus Treynor-Mazuy or Henriksson-Merton timing tests to reveal systematic and tactical exposures.
Benchmark comparison and risk metrics: Combines rolling Sharpe, information ratio, and capture ratios with benchmark choices tailored to multi-market strategies to contextualize performance.
Use Case: Feed monthly backtest returns and the chosen benchmark to produce a client-ready report that highlights whether alpha is driven by stock picking, factor tilts, or timing bets.

Quick Start

Ask the agent to run performance attribution on strategy returns versus a benchmark to see allocation, selection, and timing contributions.

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 returns to explain excess performance against a benchmark?▼

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.

What is Brinson analysis and how does it explain active return drivers?▼

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.

How do I test market timing ability in a portfolio backtest?▼

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.

Do I need factor series data to run multi-factor attribution?▼

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.

Can I generate a client-ready risk report from monthly backtest returns?▼

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.