Portfolio Attribution Engine (Brinson-style) with Interaction Terms
Seed: portfolio_returns, benchmark_weights, sector_allocations, security_selection_returnsADVERTISEMENT - IN-ARTICLE
Implementation Guide
An attribution engine that decomposes active performance into allocation, selection and interaction effects using Brinson-Fachler methodology, with extensions for FX, trading timing and transaction cost attribution. Helps PMs and client reporting teams explain sources of alpha and areas for improvement.
💡 Expert Q&A Insights
Q: Is interaction significant?
For multi-level allocations, interaction can be material and should be reported. \n
Q: Can attribution be done at custodian level?
Yes—map returns to custody accounting with unified data feeds.