What is Brinson attribution model?

Brinson attribution refers to performance attribution based on active weights. There are different variations, but the effects usually include allocation, security selection, currency, and potentially others. In contrast, risk-based performance attribution decomposes excess return to active risk factor exposures.

What is portfolio attribution analysis?

Attribution analysis is a sophisticated method for evaluating the performance of a portfolio or fund manager. Attribution analysis focuses on three factors: the manager’s investment picks and asset allocation, their investment style, and the market timing of their decisions and trades.

How does performance attribution work?

Performance attribution, or investment performance attribution is a set of techniques that performance analysts use to explain why a portfolio’s performance differed from the benchmark. This difference between the portfolio return and the benchmark return is known as the active return.

What is risk attribution?

Risk attribution is a methodology to decompose the total risk of a portfolio into smaller terms. The problem is solved in a way that the smaller decomposed units of the total risk are interpreted as the risk contribution of the corresponding subsets of the portfolio.

What is a portfolio benchmark?

A benchmark is a standard or measure that can be used to analyze the allocation, risk, and return of a given portfolio. A variety of benchmarks can also be used to understand how a portfolio is performing against various market segments.

What is risk factor attribution?

Risk-based performance attribution is a performance attribution model that utilizes a factor-based risk model. Excess returns are decomposed to active risk factor exposures, into a Risk Factors Effect (systematic), and a Risk Stock Specific Effect (stock selection).

What is the difference between contribution and attribution?

When assessing contribution who want to determine if the program contributed to or helped to cause the observed outcomes. When assessing attribution, you want to determine to what extent did the program cause the observed outcomes extent did the program cause the observed outcomes.