performance-attribution - Performance Attribution: Decompose Portfolio Returns
Decompose portfolio returns into allocation, selection, factor, fixed-income, and currency attribution components to identify sources of active return.
Tags
Updated: 2026-06-30Capabilities
Typical Inputs
Typical Outputs
What this skill does
- decompose portfolio active returns
- calculate allocation effects
- calculate selection effects
- calculate interaction effects
- link multi-period attribution effects
- run factor-based return decomposition
- compute fixed-income return attribution
- compute currency return attribution
- calculate factor contributions and alpha
- verify attribution results against examples
Inputs
- Portfolio holdings and weights
- Benchmark holdings and weights
- Portfolio and benchmark sector returns
- Factor model specification
- Factor return data
- Bond portfolio characteristics
- Currency exchange rate data
- Risk-free rate
Outputs
- Attribution effect breakdown by sector
- Factor contribution analysis
- Alpha estimates
- Fixed-income return decomposition
- Currency return decomposition
- Multi-period linked attribution results
Requirements
- Python 3 runtime
- numpy and scipy libraries
- Run via uv or pip install numpy scipy