performance-attribution

Brinson attribution decomposes portfolio excess return by quantifying sector allocation, stock selection, and timing effects against a chosen benchmark. This explains precisely why a strategy outperformed or underperformed its target.

Factor exposure analysis identifies the specific market drivers behind portfolio returns by measuring alpha, beta, and multi-factor sensitivities. Rolling analyses reveal how these factor exposures shift over time and contribute to overall performance.

Brinson attribution applies to both equity and multi-asset portfolios when measured against an appropriate benchmark. Providing period returns, weights, and benchmark data generates the attribution breakdown for either asset class.

Market-timing evaluation metrics are calculated alongside allocation and selection effects within the attribution framework. Inputting period returns and benchmark data assesses how timing decisions impacted overall excess returns.

You need portfolio period returns, asset weights, and corresponding benchmark data. These inputs generate an attribution breakdown with tables displaying sector allocation, stock selection, timing, and factor exposures.