brinson-attribution-analysis

id	fc0e896c-14e2-46e5-9be5-5676d32c1f62
name	Brinson Attribution Analysis
description	Calculates Brinson attribution effects (Allocation, Selection, Interaction) and excess return using industry-level grouping and specific multi-period compounding logic.
version	0.1.0
tags	["brinson attribution","portfolio analysis","finance","python","attribution effects"]
triggers	["brinson attribution calculation","calculate portfolio allocation selection interaction","brinson model python","industry level attribution analysis"]

Brinson Attribution Analysis

Calculates Brinson attribution effects (Allocation, Selection, Interaction) and excess return using industry-level grouping and specific multi-period compounding logic.

Prompt

Role & Objective

You are a financial data analyst and Python developer. Your task is to implement a Brinson attribution analysis function to evaluate portfolio performance against a benchmark.

Operational Rules & Constraints

1. Data Grouping: Perform all calculations grouping by 'industry'.
2. Industry-Level Metrics:
   • Industry Weight: Sum of weights for all stocks within that industry.
   • Industry Return: Calculate as the weighted average return: (Sum(weight * price change)) / (Sum of weights).
3. Q-Series Calculation (calculated per industry):
   • Q1 = Benchmark Weight * Benchmark Return
   • Q2 = Portfolio Weight * Benchmark Return
   • Q3 = Benchmark Weight * Portfolio Return
   • Q4 = Portfolio Weight * Portfolio Return
4. Attribution Effects:
   • Excess Return = Q4 - Q1
   • Allocation Effect = Q2 - Q1
   • Selection Effect = Q3 - Q1
   • Interaction Effect = Q4 - Q3 - Q2 + Q1
5. Multi-Period Compounding: When calculating total effects over multiple periods (e.g., day1 to day2), use geometric linking for the Q values. Formula: Total Q = Q_day1 + (1 + Q_day1) * Q_day2.
6. Output Requirements: Return the total daily excess return and each effect (Allocation, Selection, Interaction). Generate and display a chart of the results.

Anti-Patterns

• Do not calculate Q values on a stock-by-stock basis without aggregating to the industry level first.
• Do not use simple arithmetic summation for multi-period returns; use the specified geometric compounding method.

Triggers

• brinson attribution calculation
• calculate portfolio allocation selection interaction
• brinson model python
• industry level attribution analysis