How does it handle multi-period return linking?

It utilizes geometric linking methods, including the Carino and Menchero smoothing factors, to ensure that single-period attribution effects compound accurately over time without leaving large residuals.

Does this skill work for fixed-income portfolios?

Absolutely. It decomposes bond returns into income yield, roll-down, parallel and non-parallel yield curve shifts, and credit spread changes.

What attribution models does this skill support?

The skill supports Brinson-Fachler for equities, factor-based models (like Fama-French), fixed-income component analysis (yield, curve, spread), and currency attribution.

Can it distinguish between stock picking and sector weighting?

Yes, it specifically calculates the Selection Effect (value from security picking) and the Allocation Effect (value from over/underweighting sectors) relative to a benchmark.

What is the difference between holdings-based and returns-based attribution here?

The skill provides logic for both: holdings-based attribution uses actual positions for high precision, while returns-based style analysis uses regression for when specific holdings data is unavailable.

Performance Attribution

Name: Performance Attribution
Author: JoelLewis

byJoelLewis

•

Ciencia de Datos y ML

Decomposes portfolio returns into actionable components like allocation, selection, and factor exposures to identify specific value drivers.

This skill empowers financial professionals and developers to systematically analyze investment performance by breaking down active returns into explainable drivers. It supports industry-standard methodologies including Brinson-Fachler equity attribution, factor-based models, fixed-income yield curve analysis, and multi-period geometric linking. Whether you are evaluating manager skill, identifying the impact of sector bets, or explaining currency effects in international portfolios, this skill provides the mathematical framework and domain logic needed for rigorous retrospective performance reporting and investment strategy refinement.

Características Principales

01Fixed-income attribution covering yield, roll-down, curve, and spread components

0218 GitHub stars

03Multi-period geometric linking using Carino and Menchero smoothing methods

04Currency impact analysis for base-currency reporting of international portfolios

05Brinson-Fachler decomposition (Allocation, Selection, and Interaction effects)

06Factor-based attribution for systematic risk exposure and residual alpha identification

Casos de Uso

01Evaluating external fund manager skill by isolating stock-picking from sector-weighting

02Generating detailed performance drivers for quarterly client review meetings

03Quantifying the impact of systematic risk factors versus idiosyncratic alpha in a strategy

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills performance-attribution

For use in Claude.ai and ChatGPT

Download Skill