performance-attribution

Brinson attribution decomposes excess portfolio returns into allocation, selection, and interaction effects against a benchmark. You provide portfolio and benchmark returns with weights to generate a structured breakdown of sector and stock-level performance drivers.

Factor attribution quantifies alpha, beta, and factor exposures using standard models like Fama-French to evaluate performance. It requires portfolio returns and factor metrics to produce a structured breakdown of how specific risk factors drove excess returns.

Market timing assessment evaluates timing practices by applying timing indicators against benchmark data. This process produces structured timing assessments to determine whether portfolio allocation shifts successfully added value relative to the benchmark.

Multi-period attribution supports scenario analysis and rolling metrics to evaluate portfolio performance across multiple timeframes. By linking single-period attribution results over time, it produces a continuous breakdown of sector and stock-selection contributions.

Calculating portfolio attribution requires data on portfolio and benchmark returns, weights, factor metrics, and timing indicators. Providing these inputs allows the attribution process to generate sector, stock-selection, and factor contribution breakdowns.