Methodologies
Performance Attribution
3 min
the interconnected web excess return, attribution models, and attribution types understanding investment performance attribution requires recognizing the interplay between three core concepts how excess return is defined, the attribution model used to dissect it, and the type of attribution (which dictates the data and granularity of the analysis) these elements work together to paint a picture of why a portfolio performed as it did here is how they connect excess return the chosen excess return methodology sets the target for the attribution analysis the sum of the calculated attribution effects (from the model) should reconcile back to this specific definition of excess return see definition of excess return docid\ egtukita45j0q8ldwkelr for more details attribution models these are the mathematical frameworks that break down the pre defined excess return into specific sources of value add the choice of excess return methodology (arithmetic or geometric) directly influences how the model calculates these effects and how it handles issues like multi period linking and residuals see performance attribution models docid\ wezpcnpqje1qz3gogupug for more details type of attribution this determines the level of detail and the type of input data used by the attribution model see types of return attribution docid\ gg ngvvbmntqehonokcfv for more details in essence, the excess return methodology sets the goal, the attribution model provides the analytical engine, and the type of attribution dictates the quality and granularity of the fuel (data) for that engine each choice influences the nature, accuracy, and interpretability of the resulting performance attribution content the set of documents provides an overview of the attribution models implemented in the mantarisk library and contains the following pages definition of excess return docid\ egtukita45j0q8ldwkelr types of return attribution docid\ gg ngvvbmntqehonokcfv performance attribution models docid\ wezpcnpqje1qz3gogupug implementation in mantarisk docid 54i2gki7okcvwqbbwtj c note the current implementation of the performance attribution doesn't support derivatives please contact us if this is a requirement