Performance Attribution

Compute and analyze performance attribution using the Brinson model

Performance attribution supports methods for single periods over relatively short time spans (monthly) and multiple periods compounded over longer time spans (quarterly or a yearly). Use brinsonAttribution to create a brinsonAttribution object. Use the brinsonAttribution object with the categoryAttribution, categoryReturns, categoryWeights, totalAttribution, summary, categoryReturnsChart, categoryWeightsChart, and attributionsChart functions.

Objects

brinsonAttribution Create brinsonAttribution object to analyze performance attribution

`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
`categoryReturnsChart`	Create horizontal bar chart of category returns
`categoryWeightsChart`	Create a horizontal bar chart for category weights
`attributionsChart`	Create horizontal bar chart of performance attribution

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.
Backtest with Brinson Attribution to Evaluate Portfolio Performance
This example shows how to compute Brinson attribution using the output of the MATLAB® backtest framework.