brinson-performance-attribution

name	brinson-performance-attribution
description	Brinson-Fachler / BHB sector attribution with interaction, concentration (HHI), top contributors, and optional Carino multi-period linking. Use to explain active return as allocation vs selection.
quantSkills	{"organization":"https://github.com/quantskills","repository":"skill-brinson-performance-attribution","repository_url":"https://github.com/quantskills/skill-brinson-performance-attribution","project_type":"skill","category":"analyst","tags":["brinson","fachler","carino","attribution","portfolio"],"platforms":["claude-code","codex","cursor","hermes","openclaw"],"language":"zh-en","status":"draft","validation_level":"runnable","maintainer_type":"community","requires":[],"summary_zh":"Brinson归因（Fachler/BHB）+ HHI/贡献排序 + Carino多期链接。","summary_en":"Brinson Fachler/BHB attribution with HHI, contributors and Carino linking.","license":"GPL-3.0-only"}

Brinson Performance Attribution

把超额收益拆成配置 / 选股 / 交互，并支持多期几何链接。

Core Workflow

1. 校验行业唯一、字段有限值、组合和基准权重和接近 1
2. 按 Fachler 或 BHB 计算配置、选股、交互效应
3. 检查 active return 与效应和的残差
4. 输出 HHI 集中度及绝对贡献最大的行业
5. 多期 API 使用 Carino 方法链接到几何主动收益

Quick Start

pip install -r requirements.txt
python examples/run_demo.py

CLI Contract

输入 CSV 必须含 sector,w_p,w_b,r_p,r_b，每个行业仅一行：

python scripts/brinson.py \
  --input attribution.csv --method fachler --out report.json

Output Contract

输出组合/基准/主动收益、三类效应、残差、HHI、行业贡献和质量门禁。多期链接通过 Python API multiperiod_brinson() 使用。详见 references/methodology.md。

Boundaries

• 仅供研究和教育，不构成投资建议。

数据来源、假设、参数和风险边界详见 references/source_boundary.md。