Performance Attribution
Compute and analyze performance attribution using the Brinson
model
Performance attribution supports methods for single periods over
relatively short time spans (monthly) and multiple periods compounded
over longer time spans (quarterly or a yearly). Use brinsonAttribution
to create a
brinsonAttribution
object. Use the
brinsonAttribution
object with the categoryAttribution
, categoryReturns
, categoryWeights
, totalAttribution
, and summary
functions.
Objects
brinsonAttribution | Create brinsonAttribution object to analyze performance
attribution |
Functions
categoryAttribution | Compute performance attribution for portfolio of each category |
categoryReturns | Compute aggregate and periodic category returns |
categoryWeights | Compute average and periodic category weights |
totalAttribution | Compute total performance attribution by Brinson model |
summary | Summarize performance attribution by Brinson model |
Topics
- Analyze Performance Attribution Using Brinson Model
This example shows how to prepare data, create a
brinsonAttribution
object, and then analyze the performance attribution with respect to category (sector) weights and returns.