attriblink 0.1.2

Multi-period attribution linking for portfolio returns

attriblink

Multi-period attribution linking for portfolio returns.

Overview

Attribution linking is a technique used in investment performance analysis to decompose portfolio returns across multiple periods while preserving additivity. This package provides implementations of linking methods, starting with the Carino method.

Installation

pip install attriblink

Usage

Basic Usage (Decimal)

import pandas as pd
from attriblink import link

# Quarterly portfolio and benchmark returns
portfolio_returns = pd.Series(
    [0.025, 0.035, -0.012, 0.048],
    index=pd.date_range("2025-01-01", periods=4, freq="ME")
)
benchmark_returns = pd.Series(
    [0.018, 0.028, -0.015, 0.038],
    index=portfolio_returns.index
)

# Attribution effects from Brinson-Fachler
effects = pd.DataFrame({
    "allocation":    [0.005, 0.006, 0.002, 0.008],
    "selection":     [0.003, 0.002, -0.001, 0.004],
    "interaction":   [0.001, 0.001, 0.000, 0.002]
}, index=portfolio_returns.index)

# Link effects using Carino method
result = link(effects, portfolio_returns, benchmark_returns)

# View results
print(result.summary())

# Access individual effects
print(f"Allocation: {result['allocation']:.4%}")
print(f"Selection:  {result['selection']:.4%}")

# k-factor interpretation
print(f"k-factor: {result.k_factor:.4f}")
# k > 1: volatile excess returns, k < 1: consistent excess

Using Basis Points (BPS)

If your data is in basis points, use the unit parameter:

import pandas as pd
from attriblink import link

# Returns in decimal
portfolio_returns = pd.Series([0.02, 0.03], index=pd.date_range("2024-01-01", periods=2, freq="ME"))
benchmark_returns = pd.Series([0.015, 0.02], index=portfolio_returns.index)

# Effects in basis points (e.g., 50 bps = 0.50%)
effects_bps = pd.DataFrame({
    "allocation": [50, 80],
    "selection": [20, 50]
}, index=portfolio_returns.index)

result = link(effects_bps, portfolio_returns, benchmark_returns, unit="bps")
print(result.summary())

Using Percent

Similarly for percentage input:

# Effects in percent (e.g., 5% = 5, not 0.05)
effects_percent = pd.DataFrame({
    "allocation": [0.5, 0.8],
    "selection": [0.2, 0.5]
}, index=portfolio_returns.index)

result = link(effects_percent, portfolio_returns, benchmark_returns, unit="percent")

Batch Processing (Multiple Funds)

For processing multiple funds from a single DataFrame (e.g., from Snowflake):

import pandas as pd
from attriblink import link_batch

# Long-format DataFrame from Snowflake/warehouse
data = pd.DataFrame({
    "date": ["2024-01-31", "2024-01-31", "2024-02-28", "2024-02-28"],
    "fund_id": ["fund_a", "fund_b", "fund_a", "fund_b"],
    "allocation": [0.5, 0.3, 0.8, 0.6],
    "selection": [0.2, 0.1, 0.5, 0.3],
    "portfolio_return": [0.02, 0.015, 0.03, 0.025],
    "benchmark_return": [0.015, 0.01, 0.02, 0.018]
})

result = link_batch(
    data,
    group_by="fund_id",
    date_col="date",
    effects_cols=["allocation", "selection"],
    portfolio_col="portfolio_return",
    benchmark_col="benchmark_return",
)

# Returns DataFrame with linked effects for all funds:
# DATE       | FUND_ID | portfolio_return | benchmark_return | active_return | allocation | selection
# 2024-01-31| fund_a  | 0.020            | 0.015           | 0.005         | ...        | ...

Understanding the k-Factor

The k-factor is a smoothing coefficient that scales attribution effects to achieve geometric additivity:

• k = 1.0: No adjustment needed (arithmetic = geometric)
• k > 1: Volatile excess returns — effects scaled up
• k < 1: Consistent excess returns — effects scaled down

The sum of linked effects always equals the cumulative excess return.

API

link(effects, portfolio_returns, benchmark_returns, method='carino', unit='decimal', check_effects_sum=True, strict=False)

Links attribution effects across multiple periods.

Parameters:

• effects (pd.DataFrame): DataFrame where each column is an attribution effect (e.g., allocation, selection). Index must align with return series.
• portfolio_returns (pd.Series): Portfolio returns for each period.
• benchmark_returns (pd.Series): Benchmark returns for each period.
• method (str): Linking method to use. Currently only "carino" is supported.
• unit (str): Unit of input effects and returns. Options: "decimal" (default), "bps" (basis points), "percent".
• check_effects_sum (bool): If True, validates that period-by-period effects sum to period-by-period excess returns. Default is True.
• strict (bool): If True and check_effects_sum is True, raises EffectsSumMismatchError when effects don't sum to excess. If False, issues a UserWarning but continues. Default is False.

Returns:

• AttributionResult: An object containing linked effects and attribution data.

Raises:

• AttributionError: If inputs are invalid or misaligned.
• EffectsSumMismatchError: If effects don't sum to excess return and strict=True.

Understanding the AttributionResult object

The link() function returns an AttributionResult object with useful methods:

result.summary()

Prints a formatted table showing:

• Period-by-period returns (portfolio, benchmark, active)
• Period-by-period effects per category
• Totals row with linked effects
• k-factor

result = link(effects, portfolio_returns, benchmark_returns)
result.summary()

result.data

Returns a DataFrame with all attribution data:

• Period-by-period returns and effects
• Totals row with linked effects (cumulative)
• Column names: "Portfolio Return", "Benchmark Return", "Active Return", effect columns

df = result.data
# Access cumulative linked effects:
total_allocation = df.loc['Total', 'allocation']

Accessing Individual Effects

# Access linked effect directly:
result['allocation']  # Returns the linked allocation effect
result['selection']  # Returns the linked selection effect

link_batch(data, group_by, date_col, effects_cols, portfolio_col, benchmark_col, unit='decimal', method='carino', check_effects_sum=True)

Process attribution for multiple funds from a single DataFrame.

Parameters:

• data (pd.DataFrame): Long-format DataFrame containing all funds' data.
• group_by (str): Column name to group by (e.g., "fund_id").
• date_col (str): Column name for dates.
• effects_cols (list[str]): List of effect column names.
• portfolio_col (str): Column name for portfolio returns.
• benchmark_col (str): Column name for benchmark returns.
• unit (str): Unit of input data. Options: "decimal", "bps", "percent".
• method (str): Linking method to use. Currently only "carino".
• check_effects_sum (bool): If True, validates effects sum to excess.

Returns:

• pd.DataFrame: Combined DataFrame with DATE, FUND_ID, portfolio_return, benchmark_return, active_return, and linked effect columns.

Understanding link_batch Output

link_batch() returns a DataFrame directly (not AttributionResult), with one row per fund at the as-of date:

Column	Description
DATE	As-of date (last date in the period)
FUND_ID	Fund identifier
portfolio_return	Cumulative/geometrically linked portfolio return
benchmark_return	Cumulative benchmark return
active_return	Portfolio - Benchmark (at as-of)
allocation, selection, ...	Linked effect values

Validation Behavior: By default, the function validates that each period's effects sum to that period's excess return (portfolio - benchmark). This helps catch attribution errors early. Use check_effects_sum=False to disable this check for legacy data or when using custom scaling.

Development

# Install dependencies (requires uv)
uv sync

# Activate the virtual environment
source .venv/bin/activate

# Run tests
uv run pytest

License

MIT License - see LICENSE file for details.