Implementation in MantaRisk

in the next few sections the implementation in mantarisk is explained note that mantarisk not only calculates performance attribution but also risk attribution of each category thanks to its risk model the asset classes which are supported are equities fixed income instruments cash funds / etfs commodities excess return as of now only the arithmetic excess return is defined the time horizons which can be chosen are day week month the next iteration should implement the geometric excess return to facilitate multi period calculations types of return attribution & performance attribution models there are 2 implementations in mantarisk the classical brinson fachler model with a holdings based attribution type the hierarchical model with a returns based attribution type 1\ brinson fachler model the brinson fachler model is implemented as a holdings based attribution type and performs attribution at the total portfolio level, instrument level, and for various categories such as asset class, sector, country, etc 2\ hierarchical model the hierarchical model follows the implementation by s campisi and is implemented as a returns based attribution type where each instrument is decomposed into exposures to a given risk factor set generates attribution data from betas for funds and indexes uses exposures (betas) from the risk factor model to perform attribution analysis calculates the idiosyncratic components performs attribution at the total portfolio level, instrument level, and for various categories a key feature of our hierarchical attribution implementation is the use of exposures (betas) from the risk factor model this approach allows for a more accurate attribution analysis by taking the betas from the risk factor model for both portfolio and benchmark computing weighted betas for each risk factor creating a comprehensive attribution framework that accounts for the complex relationships between instruments and risk factors roadmap the attribution model is being actively improved with the following roadmap integration of the interaction effect into the selection effect may 2025 support of geometric excess return may 2025 transaction based attribution end of q2 2025 extension of the supported asset classes to stock options tbd