The Brinson Performance Attribution feature provides a systematic breakdown of a portfolio’s performance relative to a selected benchmark. It decomposes Active Return into three core components Asset Allocation, Security Selection, and Interaction at both the group and security levels using a robust multi-period Brinson framework.
How to access Brinson Attribution
Select the Portfolio you want to analyze.
Choose the desired benchmark from the benchmark selector.
Navigate to Performance → Brinson.
The Brinson table displays group and security level attribution over the selected date range.
Single-Period Brinson Attribution
Each day, the portfolio’s daily active return defined as Portfolio Return minus Benchmark Return, is decomposed into Allocation, Selection, and Interaction effects, defined as follows:
Asset Allocation Effect - The Allocation Effect captures the portion of active return attributable to differences in group weightings between the portfolio and the benchmark. It reflects the value added or lost solely from group allocation decisions, independent of stock selection within those groups. Specifically, it measures whether overweighting or underweighting a group relative to the benchmark led to higher or lower returns than simply following the benchmark's group allocation. It is calculated as the difference in group weights between portfolio and benchmark, multiplied by the difference between that group’s return in the benchmark and the overall benchmark return.
Formula =
[ W(p,t-1) - W(b,t-1) ] * [ r(b,t) - R(b,t) ]
Selection Effect - The Selection Effect measures the portion of active return attributable to security selection within groups- i.e., whether the portfolio’s holdings performed better or worse than the benchmark’s holdings within the same group. To isolate selection, it assumes the portfolio holds groups at the benchmark’s group weights, so the result reflects stock-picking skill rather than allocation differences. It is calculated as the benchmark’s group weight multiplied by the difference between the portfolio’s group return and the benchmark’s group return.
Formula =
W(b,t-1) * [ r(p,t) - r(b,t) ]
Interaction Effect - The Interaction Effect is the residual component of active return that arises when both sector weights and security selection differ from the benchmark at the same time. It captures the joint impact of allocation and selection decisions occurring simultaneously. It is calculated as the difference in group weights between portfolio and benchmark, multiplied by the difference in group return between portfolio and benchmark.
Formula =
[ W(p,t-1) - W(b,t-1) ] * [ r(p,t) - r(b,t) ]
Linking Multi-Period Performance Attribution
Most analysis of active returns is conducted over multi-period horizons rather than single-periods. Because the Brinson attribution model is inherently a single-period framework, a simple summation of period-by-period allocation, selection, and interaction effects will not reconcile with the true cumulative active return, given that portfolio and benchmark returns compound geometrically over time. To extend Brinson into a robust multi-period attribution framework, we employ the Carino method, which applies a period-specific scaling factor to each attribution effect. This ensures that the Carino-scaled allocation, selection, and interaction components are additive across time.
Portfolio Level Performance Attribution
The Brinson tab presents a consolidated view of the portfolio’s performance decomposition having the following components:
Portfolio Return - Represents the cumulative total return of the portfolio over the selected period.
Benchmark Return - Represents the cumulative total return of the benchmark over the chosen time period.
Active Return - Represents the active return of the portfolio over the benchmark (cumulative portfolio return - cumulative benchmark return) over the selected period.
Asset Allocation - Represents the portion of active return attributable to the Allocation Effect.
Security Selection - Represents the portion of active return attributable to the Selection Effect.
Interaction - Represents the portion of active return attributable to the Interaction Effect.
Transaction Return - Captures the performance impact arising from the portfolio’s trading and execution activities. This includes returns from intraday trading, execution costs, as well as tracking differences that occur when comparing the benchmark’s constituent-level portfolio with its actual traded market price.
Group Level Performance Attribution
We extend the portfolio-level decomposition into a detailed group (e.g., sector, industry, country) and security-level breakdown:
Asset Allocation Effect
Security Selection Effect
Interaction Effect
Portfolio and Benchmark average weights
Contribution to returns
Total returns
Asset Level Performance Attribution
Expanding any group reveals the underlying security-level attribution. Each security’s contribution to the group’s Selection and Interaction effects is shown, allowing users to trace contributions from individual holdings through to the group and overall portfolio.
Asset Allocation is not defined at the security level and is therefore only presented at the group level.
This hierarchical structure provides a transparent and intuitive linkage from high-level performance drivers down to specific securities.
