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performance-attribution

Decompose portfolio excess returns into sector allocation, stock selection, factor exposure, and market-timing contributions.

Updated Apr 14, 2026
Search Tags:#portfolio analysis#market timing#performance attribution#brinson model#benchmark comparison#factor regression#rolling metrics
One-click install
npx skills add https://github.com/loanntc/Paave --skill performance-attribution-loanntc
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: performance-attribution
Source: https://github.com/loanntc/Paave/tree/main/skills/performance-attribution
Command: npx skills add https://github.com/loanntc/Paave --skill performance-attribution-loanntc

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

It explains why a portfolio generated performance by breaking excess returns into interpretable drivers like sector allocation, stock selection, factor exposure, and timing effects instead of only reporting final returns.

Core Features & Use Cases

  • Brinson sector attribution (single- and multi-period) to quantify allocation, selection, and interaction contributions versus a benchmark.
  • Factor attribution (alpha/beta and multi-factor models) to measure market and style tilts (e.g., SMB/HML/MOM) and estimate whether alpha is statistically meaningful.
  • Market-timing evaluation (Treynor–Mazuy, Henriksson–Merton) to test whether performance is linked to shifting exposure across bull/bear regimes.
  • Benchmark comparison framework and rolling analysis using risk-adjusted metrics (Sharpe/Sortino/Calmar/Information Ratio) to assess stability and persistence.

Quick Start

Use performance attribution to compare your strategy against a chosen benchmark by asking: “Generate a performance attribution report that includes Brinson sector effects, factor alpha/beta decomposition, timing metrics, and risk-adjusted benchmark comparison for my monthly results.”

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 excess returns into sector allocation and stock selection?▼

Portfolio excess returns are decomposed using Brinson sector attribution, which breaks down performance into sector allocation, stock selection, and interaction contributions versus a benchmark for single- and multi-period analysis.

What is factor regression in performance attribution and how does it estimate alpha?▼

Factor regression in performance attribution measures market and style tilts using alpha/beta and multi-factor models like SMB/HML/MOM. It estimates whether alpha is statistically meaningful based on sufficient regression sample size.

Can I test market timing ability using Treynor-Mazuy and Henriksson-Merton models?▼

Yes, market-timing evaluation uses Treynor-Mazuy and Henriksson-Merton models to test whether portfolio performance is linked to shifting exposure across bull and bear regimes, evaluating timing contributions relative to a benchmark.

How do I run a Brinson analysis for multi-period equity strategies?▼

Running Brinson analysis for multi-period equity strategies requires benchmark return series, portfolio and sector weights, and factor/frequency-aligned inputs to quantify allocation and selection effects across linked periods.

What data do I need for factor attribution and rolling performance evaluation?▼

Factor attribution and rolling performance evaluation require benchmark return series, portfolio or sector weights, sufficient regression sample size for alpha/beta estimation, and factor/frequency-aligned inputs for model-based attribution.

What are the limitations of performance attribution for rolling metrics?▼

Performance attribution for rolling metrics requires sufficient regression sample size for alpha/beta estimation and factor/frequency-aligned inputs. Without adequate data and aligned inputs, model-based attribution results may lack statistical significance.

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