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 (Since R2022b)

`categoryAttribution`	Compute performance attribution for portfolio of each category (Since R2022b)
`categoryReturns`	Compute aggregate and periodic category returns (Since R2020b)
`categoryWeights`	Compute average and periodic category weights (Since R2022b)
`totalAttribution`	Compute total performance attribution by Brinson model (Since R2022b)
`summary`	Summarize performance attribution by Brinson model (Since R2022b)
`categoryReturnsChart`	Create horizontal bar chart of category returns (Since R2023a)
`categoryWeightsChart`	Create a horizontal bar chart for category weights (Since R2023a)
`attributionsChart`	Create horizontal bar chart of performance attribution (Since R2023a)

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.