Performance Attribution for Equity Portfolios

Installations & Python Packages
1

Hi there, I have a data in excel file and I would like to code Attribution performance using Brinson Model with python I have a data in excel file and I would like to code Attribution performance using Brinson Model with python.



Any assistance will be appreciated



Thank yoy

2

Hey Tigran,



The most important data that you need for performance attribution is the weights and returns of all sectors in a portfolio and the corresponding benchmark.



With this blog, you can learn how to carry out performance attribution using Python.



Hope you find this helpful.



Thanks,

Rushda Ansari

3

Hey Rushda,



Thank you for your reply.  I have read your blog. It was very helpful.  As you know it is desirable for multiple period arithmetic attribution factors to add up over time. Can you please tell me how can i use smoothing algorithm for example Carino.



Thank you

4

Hi Tigran, 



You can refer to section 5.4 of this document which explains Carino smoothening with an example. You can also look into some of the other arithmetic smoothing algorithms that are mentioned in this document.



Hope this helps!



Thanks,

Bhavika