业绩归因
使用 Brinson 模型计算和分析业绩归因
业绩归因支持用于相对较短时间跨度的单个周期（每月）和更长时间跨度的多个周期（每季度或每年）的方法。使用 brinsonAttribution 创建一个 brinsonAttribution 对象。将 brinsonAttribution 对象与 categoryAttribution、categoryReturns、categoryWeights、totalAttribution、summary、categoryReturnsChart、categoryWeightsChart 和 attributionsChart 函数结合使用。
对象
brinsonAttribution | Create brinsonAttribution object to analyze performance
attribution (自 R2022b 起) |
函数
categoryAttribution | Compute performance attribution for portfolio of each category (自 R2022b 起) |
categoryReturns | Compute aggregate and periodic category returns |
categoryWeights | Compute average and periodic category weights (自 R2022b 起) |
totalAttribution | Compute total performance attribution by Brinson model (自 R2022b 起) |
summary | Summarize performance attribution by Brinson model (自 R2022b 起) |
categoryReturnsChart | Create horizontal bar chart of category returns (自 R2023a 起) |
categoryWeightsChart | Create a horizontal bar chart for category weights (自 R2023a 起) |
attributionsChart | Create horizontal bar chart of performance attribution (自 R2023a 起) |
主题
- Analyze Performance Attribution Using Brinson Model
This example shows how to prepare data, create a
brinsonAttributionobject, and then analyze the performance attribution with respect to category (sector) weights and returns. - Backtest with Brinson Attribution to Evaluate Portfolio Performance
This example shows how to compute Brinson attribution using the output of the MATLAB® backtest framework.
