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Performance Attribution

Compute and analyze performance attribution using the Brinson model

Performance attribution supports methods for single periods over relatively short time spans (monthly) and multiple periods compounded over longer time spans (quarterly or a yearly). Use brinsonAttribution to create a brinsonAttribution object. Use the brinsonAttribution object with the categoryAttribution, categoryReturns, categoryWeights, totalAttribution, summary, categoryReturnsChart, categoryWeightsChart, and attributionsChart functions.


brinsonAttributionCreate brinsonAttribution object to analyze performance attribution (Since R2022b)


categoryAttributionCompute performance attribution for portfolio of each category (Since R2022b)
categoryReturnsCompute aggregate and periodic category returns (Since R2020b)
categoryWeightsCompute average and periodic category weights (Since R2022b)
totalAttributionCompute total performance attribution by Brinson model (Since R2022b)
summarySummarize performance attribution by Brinson model (Since R2022b)
categoryReturnsChartCreate horizontal bar chart of category returns (Since R2023a)
categoryWeightsChartCreate a horizontal bar chart for category weights (Since R2023a)
attributionsChartCreate horizontal bar chart of performance attribution (Since R2023a)