performance-attribution
Performance Attribution
Purpose
Decompose portfolio returns into explainable components to understand where value was added or lost. This skill covers equity attribution (Brinson-Fachler), factor-based attribution, fixed-income attribution, currency effects, and multi-period linking methods.
Layer
5 — Policy & Planning
Direction
retrospective
When to Use
- Explaining where portfolio returns came from relative to a benchmark
- Evaluating whether a manager added value through allocation, selection, or both
- Decomposing returns into systematic factor exposures and residual alpha
- Attributing fixed-income returns to yield, curve, spread, and credit components
- Handling currency effects in international portfolio attribution
- Linking single-period attribution results across multiple periods
- Conducting holdings-based vs returns-based attribution analysis
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