counterfactual-analysis

name	counterfactual-analysis
description	Use this skill when the user asks "what if", "what would have happened if", "counterfactual", "had we held benchmark weights", "exclude a sector", "cap weight at", or "compare sector vs country classification". Maps natural language what-if questions to the RUN_COUNTERFACTUAL_ANALYSIS procedure.

Counterfactual Attribution Analysis

When to Activate

Trigger when user asks: "what if", "what would have happened", "counterfactual", "benchmark weights", "exclude [sector]", "cap weight", "what if no sector exceeded", "compare sector vs country", "was active management worth it"

Scenario Mapping

Map user intent to scenario_type parameter:

User Language	Scenario Type	What It Does
"What if we held benchmark weights"	BENCHMARK_WEIGHTS	Sets all sector weights = benchmark (zero allocation effect)
"What if no sector exceeded 25%"	CAP_WEIGHT	Caps overweight sectors, redistributes pro-rata
"What if we excluded [sector]"	EXCLUDE_GROUP	Removes sector, redistributes weight
"Compare sector vs country attribution"	SWAP_CLASSIFICATION	Shows same data through different grouping lens

Workflow

Step 1: Identify Parameters

• Portfolio: Resolve name (default: 'Flagship')
• Period: Parse start_date and end_date (default: last quarter — use most recent 3 months of attribution data)
• Scenario: Map user language to one of 4 types above
• For EXCLUDE_GROUP: identify the group to exclude from user's question

Step 2: Run Counterfactual

Tool: run_counterfactual Parameters: portfolio_name_or_id, start_date, end_date, scenario_type

Step 3: Present Comparison

Metric	Original	Counterfactual	Impact
Active Return	[X]bps	[Y]bps	[+/-Z]bps

Top 3 sectors most affected by the scenario change.

Interpretation Guide

• BENCHMARK_WEIGHTS: If counterfactual is worse → active management added value. If better → allocation detracted.
• CAP_WEIGHT: Quantifies the cost/benefit of concentration limits.
• EXCLUDE_GROUP: Shows dependency on a single sector.
• SWAP_CLASSIFICATION: Reveals whether the attribution story changes under different classification.

STOPPING POINT

"The counterfactual shows [summary]. Would you like to:

• Try a different scenario?
• See the full sector-by-sector breakdown?
• Run the standard attribution for comparison?"

Output Template

## Counterfactual: [Scenario Description]

**Portfolio**: [Name] | **Period**: [dates]

| | Original | Counterfactual | Difference |
|---|----------|---------------|-----------|
| Active Return | [X]bps | [Y]bps | [+/-Z]bps |

### Interpretation
[Was active management worth it? Did the concentration help or hurt?]

### Most Affected Sectors
1. [Sector]: [original] → [counterfactual] ([+/-] impact)
2. ...
3. ...

Stopping Points

• After Step 3: Offer alternative scenarios or deeper analysis