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
与 categoryAttribution
、categoryReturns
、categoryWeights
、totalAttribution
和 summary
函数结合使用。
对象
brinsonAttribution | Create brinsonAttribution object to analyze performance
attribution |
函数
categoryAttribution | Compute performance attribution for portfolio of each category |
categoryReturns | Compute aggregate and periodic category returns |
categoryWeights | Compute average and periodic category weights |
totalAttribution | Compute total performance attribution by Brinson model |
summary | Summarize performance attribution by Brinson model |
主题
- Analyze Performance Attribution Using Brinson Model
This example shows how to prepare data, create a
brinsonAttribution
object, and then analyze the performance attribution with respect to category (sector) weights and returns.