What this category covers
Techniques for measuring return quality and explaining where portfolio performance came from. Each concept page explains the quantitative meaning, how the idea is used in portfolio or market analysis, the relevant formula or analytical framework, variables, a compact example and the main limitations to keep in view.
Core concepts
Quick entry pointsAll Performance Measurement & Attribution concepts
35 entriesArithmetic Attribution
Arithmetic Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceAttribution Linking
Attribution Linking is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBenchmark Attribution
Benchmark Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBrinson Attribution
Brinson Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBrinson-Fachler Attribution
Brinson-Fachler Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceBrinson-Hood-Beebower Attribution
Brinson-Hood-Beebower Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCarry Attribution
Carry Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCash Drag Attribution
Cash Drag Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceConvexity Attribution
Convexity Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCountry Attribution
Country Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCurrency Attribution
Currency Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCurrency Overlay Attribution
Currency Overlay Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceCustom Benchmark Attribution
Custom Benchmark Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceDuration Attribution
Duration Attribution is a quantitative measure used to summarize a specific property of returns, risk, dependence or model performance. Its interpretation depends on the sampling window, benchmark, frequency and assumptions used to construct it.
Quantitative FinanceFactor Alpha
Factor Alpha is a factor-based concept used to describe a systematic source of return, risk or cross-sectional variation. Factor analysis separates broad common exposures from security-specific behavior so that portfolio bets can be measured and controlled more explicitly.
Quantitative FinanceFactor Attribution
Factor Attribution is a factor-based concept used to describe a systematic source of return, risk or cross-sectional variation. Factor analysis separates broad common exposures from security-specific behavior so that portfolio bets can be measured and controlled more explicitly.
Quantitative FinanceFee Attribution
Fee Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceFixed-Income Performance Attribution
Fixed-Income Performance Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceGeometric Attribution
Geometric Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceLeverage Attribution
Leverage Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceModigliani Risk-Adjusted Performance
Modigliani Risk-Adjusted Performance is a quantitative risk concept used to identify, measure or allocate a particular source of portfolio uncertainty. It becomes decision-useful when the measure is tied to positions, factors, scenarios and a clearly stated horizon.
Quantitative FinanceMulti-Period Attribution
Multi-Period Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinancePerformance Attribution
Performance Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinancePortfolio Alpha
Portfolio Alpha is a portfolio-construction or portfolio-analysis concept that formalizes how capital, exposures or risk are combined across positions. It is typically evaluated together with constraints, turnover, liquidity and estimation uncertainty rather than in isolation.
Quantitative FinanceProfit Factor
Profit Factor is a factor-based concept used to describe a systematic source of return, risk or cross-sectional variation. Factor analysis separates broad common exposures from security-specific behavior so that portfolio bets can be measured and controlled more explicitly.
Quantitative FinanceReturn on Risk
Return on Risk is a quantitative risk concept used to identify, measure or allocate a particular source of portfolio uncertainty. It becomes decision-useful when the measure is tied to positions, factors, scenarios and a clearly stated horizon.
Quantitative FinanceRisk Attribution
Risk Attribution is a quantitative risk concept used to identify, measure or allocate a particular source of portfolio uncertainty. It becomes decision-useful when the measure is tied to positions, factors, scenarios and a clearly stated horizon.
Quantitative FinanceRoll-Down Attribution
Roll-Down Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceSector Attribution
Sector Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceSecurity Selection Attribution
Security Selection Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceSpread Attribution
Spread Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceTax Attribution
Tax Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceTrading Attribution
Trading Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceTransaction Cost Attribution
Transaction Cost Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.
Quantitative FinanceYield Curve Attribution
Yield Curve Attribution is a quantitative-finance concept used within performance measurement & attribution. It provides a precise language for describing how market data, uncertainty, models or portfolio decisions are measured and tested.